YearOnYearInflationSwap Class Reference
Year-on-year inflation-indexed swap. More...
#include <ql/instruments/yearonyearinflationswap.hpp>
Inheritance diagram for YearOnYearInflationSwap:

Classes | |
class | arguments |
Arguments for YoY swap calculation More... | |
class | results |
Results from YoY swap calculation More... | |
Public Types | |
enum | Type { Receiver = -1, Payer = 1 } |
Public Member Functions | |
YearOnYearInflationSwap (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &yoySchedule, const boost::shared_ptr< YoYInflationIndex > &yoyIndex, const Period &observationLag, Spread spread, const DayCounter &yoyDayCount, const Calendar &paymentCalendar, BusinessDayConvention paymentConvention=ModifiedFollowing) | |
virtual Real | fixedLegNPV () const |
virtual Rate | fairRate () const |
virtual Real | yoyLegNPV () const |
virtual Spread | fairSpread () const |
virtual Type | type () const |
virtual Real | nominal () const |
virtual const Schedule & | fixedSchedule () const |
virtual Rate | fixedRate () const |
virtual const DayCounter & | fixedDayCount () const |
virtual const Schedule & | yoySchedule () const |
virtual const boost::shared_ptr < YoYInflationIndex > & | yoyInflationIndex () const |
virtual Period | observationLag () const |
virtual Spread | spread () const |
virtual const DayCounter & | yoyDayCount () const |
virtual Calendar | paymentCalendar () const |
virtual BusinessDayConvention | paymentConvention () const |
virtual const Leg & | fixedLeg () const |
virtual const Leg & | yoyLeg () const |
void | setupArguments (PricingEngine::arguments *args) const |
void | fetchResults (const PricingEngine::results *) const |
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:
- These instruments have now been changed to follow typical VanillaSwap type design conventions w.r.t. Schedules etc.
Member Function Documentation
void setupArguments | ( | PricingEngine::arguments * | ) | const [virtual] |
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Swap.
void fetchResults | ( | const PricingEngine::results * | r | ) | const [virtual] |
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
Reimplemented from Swap.