- QuantLib
- YearOnYearInflationSwap
Year-on-year inflation-indexed swap. More...
#include <ql/instruments/yearonyearinflationswap.hpp>

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 |
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
.
| 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.