CPIBond Class Reference

#include <ql/instruments/bonds/cpibond.hpp>

Inheritance diagram for CPIBond:

Public Member Functions
	CPIBond (Natural settlementDays, Real faceAmount, Real baseCPI, const Period &observationLag, ext::shared_ptr< ZeroInflationIndex > cpiIndex, CPI::InterpolationType observationInterpolation, Schedule schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=ModifiedFollowing, const Date &issueDate=Date(), const Calendar &paymentCalendar=Calendar(), const Period &exCouponPeriod=Period(), const Calendar &exCouponCalendar=Calendar(), BusinessDayConvention exCouponConvention=Unadjusted, bool exCouponEndOfMonth=false)
	CPIBond (Natural settlementDays, Real faceAmount, bool growthOnly, Real baseCPI, const Period &observationLag, ext::shared_ptr< ZeroInflationIndex > cpiIndex, CPI::InterpolationType observationInterpolation, Schedule schedule, const std::vector< Rate > &coupons, const DayCounter &accrualDayCounter, BusinessDayConvention paymentConvention=ModifiedFollowing, const Date &issueDate=Date(), const Calendar &paymentCalendar=Calendar(), const Period &exCouponPeriod=Period(), const Calendar &exCouponCalendar=Calendar(), BusinessDayConvention exCouponConvention=Unadjusted, bool exCouponEndOfMonth=false)
Frequency	frequency () const
const DayCounter &	dayCounter () const
bool	growthOnly () const
Real	baseCPI () const
Period	observationLag () const
const ext::shared_ptr< ZeroInflationIndex > &	cpiIndex () const
CPI::InterpolationType	observationInterpolation () const
Public Member Functions inherited from Bond
	Bond (Natural settlementDays, Calendar calendar, const Date &issueDate=Date(), const Leg &coupons=Leg())
	constructor for amortizing or non-amortizing bonds.
	Bond (Natural settlementDays, Calendar calendar, Real faceAmount, const Date &maturityDate, const Date &issueDate=Date(), const Leg &cashflows=Leg())
	old constructor for non amortizing bonds.
bool	isExpired () const override
	returns whether the instrument might have value greater than zero.
void	deepUpdate () override
Natural	settlementDays () const
const Calendar &	calendar () const
const std::vector< Real > &	notionals () const
virtual Real	notional (Date d=Date()) const
const Leg &	cashflows () const
const Leg &	redemptions () const
const ext::shared_ptr< CashFlow > &	redemption () const
Date	startDate () const
Date	maturityDate () const
Date	issueDate () const
bool	isTradable (Date d=Date()) const
Date	settlementDate (Date d=Date()) const
Real	cleanPrice () const
	theoretical clean price
Real	dirtyPrice () const
	theoretical dirty price
Real	settlementValue () const
	theoretical settlement value
Rate	yield (const DayCounter &dc, Compounding comp, Frequency freq, Real accuracy=1.0e-8, Size maxEvaluations=100, Real guess=0.05, Bond::Price::Type priceType=Bond::Price::Clean) const
	theoretical bond yield
Real	cleanPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const
	clean price given a yield and settlement date
Real	dirtyPrice (Rate yield, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date()) const
	dirty price given a yield and settlement date
Real	settlementValue (Real cleanPrice) const
	settlement value as a function of the clean price
Rate	yield (Bond::Price price, const DayCounter &dc, Compounding comp, Frequency freq, Date settlementDate=Date(), Real accuracy=1.0e-8, Size maxEvaluations=100, Real guess=0.05) const
	yield given a price and settlement date
virtual Real	accruedAmount (Date d=Date()) const
	accrued amount at a given date
virtual Rate	nextCouponRate (Date d=Date()) const
Rate	previousCouponRate (Date d=Date()) const
	Previous coupon already paid at a given date.
Date	nextCashFlowDate (Date d=Date()) const
Date	previousCashFlowDate (Date d=Date()) const
Public Member Functions inherited from Instrument
Real	NPV () const
	returns the net present value of the instrument.
Real	errorEstimate () const
	returns the error estimate on the NPV when available.
const Date &	valuationDate () const
	returns the date the net present value refers to.
template<typename T>
T	result (const std::string &tag) const
	returns any additional result returned by the pricing engine.
const std::map< std::string, ext::any > &	additionalResults () const
	returns all additional result returned by the pricing engine.
void	setPricingEngine (const ext::shared_ptr< PricingEngine > &)
	set the pricing engine to be used.
Public Member Functions inherited from LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer (const Observer &)
Observer &	operator= (const Observer &)
std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)
void	registerWithObservables (const ext::shared_ptr< Observer > &)
Size	unregisterWith (const ext::shared_ptr< Observable > &)
void	unregisterWithAll ()

Protected Attributes
Frequency	frequency_
DayCounter	dayCounter_
bool	growthOnly_
Real	baseCPI_
Period	observationLag_
ext::shared_ptr< ZeroInflationIndex >	cpiIndex_
CPI::InterpolationType	observationInterpolation_
Natural	settlementDays_
Calendar	calendar_
std::vector< Date >	notionalSchedule_
std::vector< Real >	notionals_
Leg	cashflows_
Leg	redemptions_
Date	maturityDate_
Date	issueDate_
Real	settlementValue_
Protected Attributes inherited from Instrument
Real	NPV_
Real	errorEstimate_
Date	valuationDate_
std::map< std::string, ext::any >	additionalResults_
ext::shared_ptr< PricingEngine >	engine_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
void	setupExpired () const override
void	setupArguments (PricingEngine::arguments *) const override
void	fetchResults (const PricingEngine::results *) const override
void	addRedemptionsToCashflows (const std::vector< Real > &redemptions=std::vector< Real >())
void	setSingleRedemption (Real notional, Real redemption, const Date &date)
void	setSingleRedemption (Real notional, const ext::shared_ptr< CashFlow > &redemption)
void	calculateNotionalsFromCashflows ()
Protected Member Functions inherited from Instrument
void	calculate () const override
void	performCalculations () const override

Detailed Description

cpi bond; if there is only one date in the schedule it is a zero bond returning an inflated notional.

Constructor & Destructor Documentation

CPIBond()

CPIBond	(	Natural	settlementDays,
		Real	faceAmount,
		bool	growthOnly,
		Real	baseCPI,
		const Period &	observationLag,
		ext::shared_ptr< ZeroInflationIndex >	cpiIndex,
		CPI::InterpolationType	observationInterpolation,
		Schedule	schedule,
		const std::vector< Rate > &	coupons,
		const DayCounter &	accrualDayCounter,
		BusinessDayConvention	paymentConvention = ModifiedFollowing,
		const Date &	issueDate = Date(),
		const Calendar &	paymentCalendar = Calendar(),
		const Period &	exCouponPeriod = Period(),
		const Calendar &	exCouponCalendar = Calendar(),
		BusinessDayConvention	exCouponConvention = Unadjusted,
		bool	exCouponEndOfMonth = false )

Deprecated

Use the overload without the growthOnly parameter. Deprecated in version 1.40.