InflationSwap Class Reference
[Financial instruments]
#include <ql/instruments/inflationswap.hpp>
Inheritance diagram for InflationSwap:

Detailed Description
Abstract base class for inflation swaps.
Inflation swaps need two term structures: a yield curve, and an inflation term structure (either zero-based, i.e., the rate
equals
where
if the index and
is the base time, or year-on-year, i.e.,
where the previous time
is defined as
minus one year.)
Public Member Functions | |
| InflationSwap (const Date &start, const Date &maturity, const Period &lag, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS) | |
| the constructor sets common data members | |
| virtual Rate | fairRate () const =0 |
Inspectors | |
| Date | baseDate () const |
| Period | lag () const |
| Date | startDate () const |
| Date | maturityDate () const |
| Calendar | calendar () const |
| BusinessDayConvention | businessDayConvention () const |
| DayCounter | dayCounter () const |
Protected Attributes | |
| Date | start_ |
| Date | maturity_ |
| Period | lag_ |
| Calendar | calendar_ |
| BusinessDayConvention | bdc_ |
| DayCounter | dayCounter_ |
| Handle< YieldTermStructure > | yieldTS_ |
| Date | baseDate_ |
Member Function Documentation
| Date baseDate | ( | ) | const |
The inflation rate is taken relative to the base date, which is a lag period before the start date of the swap.