YoYInflationCoupon Class Reference

Coupon paying a YoY-inflation type index More...

#include <ql/cashflows/yoyinflationcoupon.hpp>

Inheritance diagram for YoYInflationCoupon:

Public Member Functions
	YoYInflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const ext::shared_ptr< YoYInflationIndex > &index, const Period &observationLag, CPI::InterpolationType interpolation, const DayCounter &dayCounter, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date())
	YoYInflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const ext::shared_ptr< YoYInflationIndex > &index, const Period &observationLag, const DayCounter &dayCounter, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date())
Inspectors
Real	gearing () const
	index gearing, i.e. multiplicative coefficient for the index
Spread	spread () const
	spread paid over the fixing of the underlying index
Rate	indexFixing () const override
	fixing of the underlying index, as observed by the coupon
Rate	adjustedFixing () const
const ext::shared_ptr< YoYInflationIndex > &	yoyIndex () const
CPI::InterpolationType	interpolation () const
Public Member Functions inherited from InflationCoupon
	InflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, ext::shared_ptr< InflationIndex > index, const Period &observationLag, DayCounter dayCounter, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())
Real	amount () const override
	returns the amount of the cash flow
Real	price (const Handle< YieldTermStructure > &discountingCurve) const
DayCounter	dayCounter () const override
	day counter for accrual calculation
Real	accruedAmount (const Date &) const override
	accrued amount at the given date
Rate	rate () const override
	accrued rate
const ext::shared_ptr< InflationIndex > &	index () const
	yoy inflation index
Period	observationLag () const
	how the coupon observes the index
Natural	fixingDays () const
	fixing days
virtual Date	fixingDate () const
	fixing date
void	performCalculations () const override
void	setPricer (const ext::shared_ptr< InflationCouponPricer > &)
ext::shared_ptr< InflationCouponPricer >	pricer () const
Public Member Functions inherited from Coupon
	Coupon (const Date &paymentDate, Real nominal, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())
Date	date () const override
Date	exCouponDate () const override
	returns the date that the cash flow trades exCoupon
virtual Real	nominal () const
const Date &	accrualStartDate () const
	start of the accrual period
const Date &	accrualEndDate () const
	end of the accrual period
const Date &	referencePeriodStart () const
	start date of the reference period
const Date &	referencePeriodEnd () const
	end date of the reference period
Time	accrualPeriod () const
	accrual period as fraction of year
Date::serial_type	accrualDays () const
	accrual period in days
Time	accruedPeriod (const Date &) const
	accrued period as fraction of year at the given date
Date::serial_type	accruedDays (const Date &) const
	accrued days at the given date
Public Member Functions inherited from CashFlow
bool	hasOccurred (const Date &refDate=Date(), ext::optional< bool > includeRefDate=ext::nullopt) const override
	returns true if an event has already occurred before a date
bool	tradingExCoupon (const Date &refDate=Date()) const
	returns true if the cashflow is trading ex-coupon on the refDate
Public Member Functions inherited from Event
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 LazyObject
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
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 ()
virtual void	deepUpdate ()

Visitability
Real	gearing_
Spread	spread_
void	accept (AcyclicVisitor &) override
bool	checkPricerImpl (const ext::shared_ptr< InflationCouponPricer > &) const override
	makes sure you were given the correct type of pricer

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
virtual void	calculate () const
ext::shared_ptr< InflationCouponPricer >	pricer_
ext::shared_ptr< InflationIndex >	index_
Period	observationLag_
DayCounter	dayCounter_
Natural	fixingDays_
Real	rate_
Date	paymentDate_
Real	nominal_
Date	accrualStartDate_
Date	accrualEndDate_
Date	refPeriodStart_
Date	refPeriodEnd_
Date	exCouponDate_
Real	accrualPeriod_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

Coupon paying a YoY-inflation type index

Constructor & Destructor Documentation

YoYInflationCoupon()

YoYInflationCoupon	(	const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		Natural	fixingDays,
		const ext::shared_ptr< YoYInflationIndex > &	index,
		const Period &	observationLag,
		const DayCounter &	dayCounter,
		Real	gearing = 1.0,
		Spread	spread = 0.0,
		const Date &	refPeriodStart = Date(),
		const Date &	refPeriodEnd = Date() )

Deprecated

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

Member Function Documentation

indexFixing()

Rate indexFixing ( ) const

overridevirtual

fixing of the underlying index, as observed by the coupon

Reimplemented from InflationCoupon.

accept()

void accept ( AcyclicVisitor & )

overridevirtual

Reimplemented from InflationCoupon.

checkPricerImpl()

bool checkPricerImpl ( const ext::shared_ptr< InflationCouponPricer > & ) const

overrideprotectedvirtual

makes sure you were given the correct type of pricer

Implements InflationCoupon.