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QuantLib_yoyInflationLeg

NAME

QuantLib::yoyInflationLeg -

SYNOPSIS

#include <ql/cashflows/yoyinflationcoupon.hpp>

Public Member Functions

yoyInflationLeg (const Schedule &schedule, const Calendar &cal, const boost::shared_ptr< YoYInflationIndex > &index, const Period &observationLag)

yoyInflationLeg & withNotionals (Real notional)

yoyInflationLeg & withNotionals (const std::vector< Real > &notionals)

yoyInflationLeg & withPaymentDayCounter (const DayCounter &)

yoyInflationLeg & withPaymentAdjustment (BusinessDayConvention)

yoyInflationLeg & withFixingDays (Natural fixingDays)

yoyInflationLeg & withFixingDays (const std::vector< Natural > &fixingDays)

yoyInflationLeg & withGearings (Real gearing)

yoyInflationLeg & withGearings (const std::vector< Real > &gearings)

yoyInflationLeg & withSpreads (Spread spread)

yoyInflationLeg & withSpreads (const std::vector< Spread > &spreads)

yoyInflationLeg & withCaps (Rate cap)

yoyInflationLeg & withCaps (const std::vector< Rate > &caps)

yoyInflationLeg & withFloors (Rate floor)

yoyInflationLeg & withFloors (const std::vector< Rate > &floors)

operator Leg () const

Detailed Description

Helper class building a sequence of capped/floored yoy inflation coupons payoff is: spread + gearing x index

Author

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