YearOnYearInflationSwap Class Reference

Year-on-year inflation-indexed swap. More...

#include <ql/instruments/yearonyearinflationswap.hpp>

Inheritance diagram for YearOnYearInflationSwap:

Classes
class	arguments
	Arguments for YoY swap calculation More...
class	results
	Results from YoY swap calculation More...

Public Member Functions
	YearOnYearInflationSwap (Type type, Real nominal, Schedule fixedSchedule, Rate fixedRate, DayCounter fixedDayCount, Schedule yoySchedule, ext::shared_ptr< YoYInflationIndex > yoyIndex, const Period &observationLag, CPI::InterpolationType interpolation, Spread spread, DayCounter yoyDayCount, Calendar paymentCalendar, BusinessDayConvention paymentConvention=ModifiedFollowing)
	YearOnYearInflationSwap (Type type, Real nominal, Schedule fixedSchedule, Rate fixedRate, DayCounter fixedDayCount, Schedule yoySchedule, ext::shared_ptr< YoYInflationIndex > yoyIndex, const Period &observationLag, Spread spread, DayCounter yoyDayCount, 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 ext::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 override
void	fetchResults (const PricingEngine::results *) const override
Public Member Functions inherited from Swap
void	deepUpdate () override
Size	numberOfLegs () const
const std::vector< Leg > &	legs () const
virtual Date	startDate () const
virtual Date	maturityDate () const
Real	legBPS (Size j) const
Real	legNPV (Size j) const
DiscountFactor	startDiscounts (Size j) const
DiscountFactor	endDiscounts (Size j) const
DiscountFactor	npvDateDiscount () const
const Leg &	leg (Size j) const
bool	payer (Size j) const
bool	isExpired () const override
	returns whether the instrument might have value greater than zero.
	Swap (const Leg &firstLeg, const Leg &secondLeg)
	Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer)
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 ()

Additional Inherited Members
Public Types inherited from Swap
enum	Type { Receiver = -1 , Payer = 1 }
Public Types inherited from Observer
typedef set_type::iterator	iterator
	Swap (Size legs)
Protected Member Functions inherited from Instrument
void	calculate () const override
void	performCalculations () const override
std::vector< Leg >	legs_
std::vector< Real >	payer_
std::vector< Real >	legNPV_
std::vector< Real >	legBPS_
std::vector< DiscountFactor >	startDiscounts_
std::vector< DiscountFactor >	endDiscounts_
DiscountFactor	npvDateDiscount_
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_

Detailed Description

Year-on-year inflation-indexed swap.

Quoted as a fixed rate \( K \). At start:

\[\sum_{i=1}^{M} P_n(0,t_i) N K = \sum_{i=1}^{M} P_n(0,t_i) N \left[ \frac{I(t_i)}{I(t_i-1)} - 1 \right] \]

where \( t_M \) is the maturity time, \( P_n(0,t) \) is the nominal discount factor at time \( t \), \( N \) is the notional, and \( I(t) \) is the inflation index value at time \( t \).

Constructor & Destructor Documentation

YearOnYearInflationSwap()

YearOnYearInflationSwap	(	Type	type,
		Real	nominal,
		Schedule	fixedSchedule,
		Rate	fixedRate,
		DayCounter	fixedDayCount,
		Schedule	yoySchedule,
		ext::shared_ptr< YoYInflationIndex >	yoyIndex,
		const Period &	observationLag,
		Spread	spread,
		DayCounter	yoyDayCount,
		Calendar	paymentCalendar,
		BusinessDayConvention	paymentConvention = ModifiedFollowing )

Deprecated

Use the overload that passes an interpolation type instead. Deprecated in version 1.36.

Member Function Documentation

setupArguments()

void setupArguments ( PricingEngine::arguments * ) const

overridevirtual

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.

fetchResults()

void fetchResults ( const PricingEngine::results * r ) const

overridevirtual

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.