ZeroCouponInflationSwap Class Reference

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

Public Types | Public Member Functions | Protected Attributes
ZeroCouponInflationSwap Class Reference

Zero-coupon inflation-indexed swap. More...

`#include <ql/instruments/zerocouponinflationswap.hpp>`

Inheritance diagram for ZeroCouponInflationSwap:
[legend]

List of all members.

## Public Types
enum | Type { Receiver = -1, Payer = 1 }
## Public Member Functions
| ZeroCouponInflationSwap (Type type, Real nominal, const Date &startDate, const Date &maturity, const Calendar &fixCalendar, BusinessDayConvention fixConvention, const DayCounter &dayCounter, Rate fixedRate, const boost::shared_ptr< ZeroInflationIndex > &infIndex, const Period &observationLag, bool adjustInfObsDates=false, Calendar infCalendar=Calendar(), BusinessDayConvention infConvention=BusinessDayConvention())
Inspectors
Type | type () const
| "payer" or "receiver" refer to the inflation-indexed leg
Real | nominal () const
Date | startDate () const
Date | maturityDate () const
Calendar | fixedCalendar () const
BusinessDayConvention | fixedConvention () const
DayCounter | dayCounter () const
Rate | fixedRate () const
| in the above formula.
boost::shared_ptr < ZeroInflationIndex > | inflationIndex () const
Period | observationLag () const
bool | adjustObservationDates () const
Calendar | inflationCalendar () const
BusinessDayConvention | inflationConvention () const
const Leg & | fixedLeg () const
| just one cashflow (that is not a coupon) in each leg
const Leg & | inflationLeg () const
| just one cashflow (that is not a coupon) in each leg
Instrument interface
void | setupArguments (PricingEngine::arguments *) const
void | fetchResults (const PricingEngine::results *r) const
Results
Real | fixedLegNPV () const
Real | inflationLegNPV () const
Real | fairRate () const
## Protected Attributes
Type | type_
Real | nominal_
Date | startDate_
Date | maturityDate_
Calendar | fixCalendar_
BusinessDayConvention | fixConvention_
Rate | fixedRate_
boost::shared_ptr < ZeroInflationIndex > | infIndex_
Period | observationLag_
bool | adjustInfObsDates_
Calendar | infCalendar_
BusinessDayConvention | infConvention_
DayCounter | dayCounter_
Date | baseDate_
Date | obsDate_

## Detailed Description

Zero-coupon 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 .

This inherits from swap and has two very simple legs: a fixed leg, from the quote (K); and an indexed leg. At maturity the two single cashflows are swapped. These are the notional versus the inflation-indexed notional Because the coupons are zero there are no accruals (and no coupons).

Inflation is generally available on every day, including holidays and weekends. Hence there is a variable to state whether the observe/fix dates for inflation are adjusted or not. The default is not to adjust.

A zero inflation swap is a simple enough instrument that the standard discounting pricing engine that works for a vanilla swap also works.

Note:
  we do not need Schedules on the legs because they use one or two dates only per leg.

## 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.