ZeroCouponInflationSwapHelper Class Reference

Zero-coupon inflation-swap bootstrap helper. More...

#include <ql/termstructures/inflation/inflationhelpers.hpp>

Inheritance diagram for ZeroCouponInflationSwapHelper:

Public Member Functions
	ZeroCouponInflationSwapHelper (const Handle< Quote > &quote, const Period &swapObsLag, const Date &maturity, Calendar calendar, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, const ext::shared_ptr< ZeroInflationIndex > &zii, CPI::InterpolationType observationInterpolation)
	ZeroCouponInflationSwapHelper (const Handle< Quote > &quote, const Period &swapObsLag, const Date &maturity, Calendar calendar, BusinessDayConvention paymentConvention, DayCounter dayCounter, const ext::shared_ptr< ZeroInflationIndex > &zii, CPI::InterpolationType observationInterpolation, Handle< YieldTermStructure > nominalTermStructure)
void	setTermStructure (ZeroInflationTermStructure *) override
	sets the term structure to be used for pricing
Real	impliedQuote () const override
Public Member Functions inherited from RelativeDateBootstrapHelper< ZeroInflationTermStructure >
	RelativeDateBootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote, bool updateDates=true)
void	update () override
Public Member Functions inherited from BootstrapHelper< ZeroInflationTermStructure >
	BootstrapHelper (const std::variant< Spread, Handle< Quote > > &quote)
const Handle< Quote > &	quote () const
Real	quoteError () const
virtual Date	earliestDate () const
	earliest relevant date
virtual Date	maturityDate () const
	instrument's maturity date
virtual Date	latestRelevantDate () const
	latest relevant date
virtual Date	pillarDate () const
	pillar date
virtual Date	latestDate () const
	latest date
virtual void	accept (AcyclicVisitor &)
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 ()
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()

inspectors
Period	swapObsLag_
Date	maturity_
Calendar	calendar_
BusinessDayConvention	paymentConvention_
DayCounter	dayCounter_
ext::shared_ptr< ZeroInflationIndex >	zii_
CPI::InterpolationType	observationInterpolation_
ext::shared_ptr< ZeroCouponInflationSwap >	zciis_
Handle< YieldTermStructure >	nominalTermStructure_
RelinkableHandle< ZeroInflationTermStructure >	termStructureHandle_
ext::shared_ptr< ZeroCouponInflationSwap >	swap () const
void	initializeDates () override

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Date	evaluationDate_
bool	updateDates_
Handle< Quote >	quote_
ZeroInflationTermStructure *	termStructure_
Date	earliestDate_
Date	latestDate_
Date	maturityDate_
Date	latestRelevantDate_
Date	pillarDate_

Detailed Description

Zero-coupon inflation-swap bootstrap helper.

Constructor & Destructor Documentation

ZeroCouponInflationSwapHelper()

ZeroCouponInflationSwapHelper	(	const Handle< Quote > &	quote,
		const Period &	swapObsLag,
		const Date &	maturity,
		Calendar	calendar,
		BusinessDayConvention	paymentConvention,
		DayCounter	dayCounter,
		const ext::shared_ptr< ZeroInflationIndex > &	zii,
		CPI::InterpolationType	observationInterpolation,
		Handle< YieldTermStructure >	nominalTermStructure )

Deprecated

Use the overload that does not take a nominal curve. Deprecated in version 1.39.

Member Function Documentation

setTermStructure()

void setTermStructure ( ZeroInflationTermStructure * )

overridevirtual

sets the term structure to be used for pricing

Warning

Being a pointer and not a shared_ptr, the term structure is not guaranteed to remain allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure that the pointer remains valid. It is advised that this method is called only inside the term structure being bootstrapped, setting the pointer to this, i.e., the term structure itself.

Reimplemented from BootstrapHelper< ZeroInflationTermStructure >.

impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< ZeroInflationTermStructure >.

initializeDates()

void initializeDates ( )

overrideprotectedvirtual

Implements RelativeDateBootstrapHelper< ZeroInflationTermStructure >.