QuantLib: YoYInflationCoupon Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.12

Public Member Functions | Protected Member Functions | Protected Attributes | List of all members
YoYInflationCoupon Class Reference

Coupon paying a YoY-inflation type index More...

`#include <ql/cashflows/yoyinflationcoupon.hpp>`

Inheritance diagram for YoYInflationCoupon:
[legend]

## Public Member Functions
| YoYInflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const boost::shared_ptr< YoYInflationIndex > &index, const Period &observationLag, const DayCounter &dayCounter, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date())
Inspectors
Real | gearing () const
| index gearing, i.e. multiplicative coefficient for the index
Spread | spread () const
| spread paid over the fixing of the underlying index
Rate | adjustedFixing () const
const boost::shared_ptr< YoYInflationIndex > & | yoyIndex () const
Visitability
virtual void | accept (AcyclicVisitor &)
Public Member Functions inherited from InflationCoupon
| InflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const boost::shared_ptr< InflationIndex > &index, const Period &observationLag, const DayCounter &dayCounter, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())
void | setPricer (const boost::shared_ptr< InflationCouponPricer > &)
boost::shared_ptr< InflationCouponPricer > | pricer () const
Real | amount () const
| returns the amount of the cash flow More...
Real | price (const Handle< YieldTermStructure > &discountingCurve) const
DayCounter | dayCounter () const
| day counter for accrual calculation
Real | accruedAmount (const Date &) const
| accrued amount at the given date
Rate | rate () const
| accrued rate
const boost::shared_ptr< InflationIndex > & | index () const
| yoy inflation index
Period | observationLag () const
| how the coupon observes the index
Natural | fixingDays () const
| fixing days
virtual Date | fixingDate () const
| fixing date
virtual Rate | indexFixing () const
| fixing of the underlying index, as observed by the coupon
void | update ()
Public Member Functions inherited from Coupon
| Coupon (const Date &paymentDate, Real nominal, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())
Date | date () const
Date | exCouponDate () const
| returns the date that the cash flow trades exCoupon
virtual Real | nominal () const
const Date & | accrualStartDate () const
| start of the accrual period
const Date & | accrualEndDate () const
| end of the accrual period
const Date & | referencePeriodStart () const
| start date of the reference period
const Date & | referencePeriodEnd () const
| end date of the reference period
Time | accrualPeriod () const
| accrual period as fraction of year
Date::serial_type | accrualDays () const
| accrual period in days
Time | accruedPeriod (const Date &) const
| accrued period as fraction of year at the given date
Date::serial_type | accruedDays (const Date &) const
| accrued days at the given date
Public Member Functions inherited from CashFlow
bool | hasOccurred (const Date &refDate=Date(), boost::optional< bool > includeRefDate=boost::none) const
| returns true if an event has already occurred before a date More...
bool | tradingExCoupon (const Date &refDate=Date()) const
| returns true if the cashflow is trading ex-coupon on the refDate
Event interface
Visitability
Public Member Functions inherited from Observable
| Observable (const Observable &)
Observable & | operator= (const Observable &)
void | notifyObservers ()
Public Member Functions inherited from Observer
| Observer (const Observer &)
Observer & | operator= (const Observer &)
std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &)
void | registerWithObservables (const boost::shared_ptr< Observer > &)
Size | unregisterWith (const boost::shared_ptr< Observable > &)
void | unregisterWithAll ()
virtual void | deepUpdate ()

## Protected Member Functions
bool | checkPricerImpl (const boost::shared_ptr< InflationCouponPricer > &) const
| makes sure you were given the correct type of pricer

## Protected Attributes
Real | gearing_
Spread | spread_
Protected Attributes inherited from InflationCoupon
boost::shared_ptr< InflationCouponPricer > | pricer_
boost::shared_ptr< InflationIndex > | index_
Period | observationLag_
DayCounter | dayCounter_
Natural | fixingDays_
Protected Attributes inherited from Coupon
Date | paymentDate_
Real | nominal_
Date | accrualStartDate_
Date | accrualEndDate_
Date | refPeriodStart_
Date | refPeriodEnd_
Date | exCouponDate_
Real | accrualPeriod_

## Additional Inherited Members
Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > | set_type
typedef set_type::iterator | iterator

## Detailed Description

Coupon paying a YoY-inflation type index