CappedFlooredYoYInflationCoupon Class Reference

### A free/open-source library for quantitative finance

Public Member Functions | Protected Member Functions | Protected Attributes
CappedFlooredYoYInflationCoupon Class Reference

Capped or floored inflation coupon. More...

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

Inheritance diagram for CappedFlooredYoYInflationCoupon:
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List of all members.

## Public Member Functions
| CappedFlooredYoYInflationCoupon (const boost::shared_ptr< YoYInflationCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >())
| CappedFlooredYoYInflationCoupon (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 Rate cap=Null< Rate >(), const Rate floor=Null< Rate >(), const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date())
bool | isCapped () const
bool | isFloored () const
void | setPricer (const boost::shared_ptr< YoYInflationCouponPricer > &)
augmented Coupon interface
Rate | rate () const
| swap(let) rate
Rate | cap () const
| cap
Rate | floor () const
| floor
Rate | effectiveCap () const
| effective cap of fixing
Rate | effectiveFloor () const
| effective floor of fixing
Observer interface
void | update ()
Visitability
virtual void | accept (AcyclicVisitor &v)
## Protected Member Functions
virtual void | setCommon (Rate cap, Rate floor)
## Protected Attributes
boost::shared_ptr < YoYInflationCoupon > | underlying_
bool | isFloored_
bool | isCapped_
Rate | cap_
Rate | floor_

## Detailed Description

Capped or floored inflation coupon.

Essentially a copy of the nominal version but taking a different index and a set of pricers (not just one).

The payoff of a capped inflation-rate coupon with paysWithin = true is:

where is the notional, is the accrual time, is the inflation rate, is its gearing, is the spread, and and the strikes.

The payoff of a floored inflation-rate coupon is:

The payoff of a collared inflation-rate coupon is:

If paysWithin = false then the inverse is returned (this provides for instrument cap and caplet prices).

They can be decomposed in the following manner. Decomposition of a capped floating rate coupon when paysWithin = true:

where . Then:

## Member Function Documentation

void update | ( |  | ) | `[virtual]`

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from InflationCoupon.