YearOnYearInflationSwap Class Reference
#include <ql/instruments/yearonyearinflationswap.hpp>
Inheritance diagram for YearOnYearInflationSwap:

Detailed Description
Year-on-year inflation-indexed swap.
Quoted as a fixed rate
. At start:
where
is the maturity time,
is the nominal discount factor at time
,
is the notional, and
is the inflation index value at time
.
- Note:
- The allowAmbiguousPayments parameter is to allow for payment arithmetic being ambiguous. If the maturity is in, say, 30.01 years according to the day-counter and roll rules, does this mean that there is a payment in 0.01 years? If allowAmbiguousPayments is false, the ambiguousPaymentPeriod parameter sets the period within which the answer is no.
Public Member Functions | |
| YearOnYearInflationSwap (const Date &start, const Date &maturity, const Period &lag, Rate fixedRate, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS, const Handle< YoYInflationTermStructure > &inflationTS, bool allowAmbiguousPayments=false, const Period &ambiguousPaymentPeriod=Period(1, Months)) | |
Instrument interface | |
| bool | isExpired () const |
| returns whether the instrument is still tradable. | |
InflationSwap interface | |
| Rate | fairRate () const |
the rate such that NPV = 0. | |
Inspectors | |
| Rate | fixedRate () const |
in the above formula. | |
| std::vector< Date > | paymentDates () const |
Protected Member Functions | |
Instrument interface | |
| void | setupExpired () const |
| void | performCalculations () const |
Protected Attributes | |
| Rate | fixedRate_ |
| Handle< YoYInflationTermStructure > | inflationTS_ |
| bool | allowAmbiguousPayments_ |
| Period | ambiguousPaymentPeriod_ |
| std::vector< Date > | paymentDates_ |
| Rate | fairRate_ |
Member Function Documentation
| void setupExpired | ( | ) | const [protected, virtual] |
This method must leave the instrument in a consistent state when the expiration condition is met.
Reimplemented from Instrument.
| void performCalculations | ( | ) | const [protected, virtual] |
In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.
Reimplemented from Instrument.
such that NPV = 0.