CPILeg Class Reference

Helper class building a sequence of capped/floored CPI coupons. More...

#include <cpicoupon.hpp>

Collaboration diagram for CPILeg:

Public Member Functions
	CPILeg (Schedule schedule, ext::shared_ptr< ZeroInflationIndex > index, Real baseCPI, const Period &observationLag)
CPILeg &	withNotionals (Real notional)
CPILeg &	withNotionals (const std::vector< Real > &notionals)
CPILeg &	withFixedRates (Real fixedRate)
CPILeg &	withFixedRates (const std::vector< Real > &fixedRates)
CPILeg &	withPaymentDayCounter (const DayCounter &)
CPILeg &	withPaymentAdjustment (BusinessDayConvention)
CPILeg &	withPaymentCalendar (const Calendar &)
CPILeg &	withObservationInterpolation (CPI::InterpolationType)
CPILeg &	withSubtractInflationNominal (bool)
CPILeg &	withCaps (Rate cap)
CPILeg &	withCaps (const std::vector< Rate > &caps)
CPILeg &	withFloors (Rate floor)
CPILeg &	withFloors (const std::vector< Rate > &floors)
CPILeg &	withExCouponPeriod (const Period &, const Calendar &, BusinessDayConvention, bool endOfMonth=false)
CPILeg &	withBaseDate (const Date &baseDate)
	operator Leg () const

Private Attributes
Schedule	schedule_
ext::shared_ptr< ZeroInflationIndex >	index_
Real	baseCPI_
Period	observationLag_
std::vector< Real >	notionals_
std::vector< Real >	fixedRates_
DayCounter	paymentDayCounter_
BusinessDayConvention	paymentAdjustment_ = ModifiedFollowing
Calendar	paymentCalendar_
CPI::InterpolationType	observationInterpolation_ = CPI::AsIndex
bool	subtractInflationNominal_ = true
std::vector< Rate >	caps_
std::vector< Rate >	floors_
Period	exCouponPeriod_
Calendar	exCouponCalendar_
BusinessDayConvention	exCouponAdjustment_ = Following
bool	exCouponEndOfMonth_ = false
Date	baseDate_

Detailed Description

Helper class building a sequence of capped/floored CPI coupons.

Also allowing for the inflated notional at the end... especially if there is only one date in the schedule. If the fixed rate is zero you get a FixedRateCoupon, otherwise you get a ZeroInflationCoupon.

Definition at line 209 of file cpicoupon.hpp.

Constructor & Destructor Documentation

CPILeg()

CPILeg	(	Schedule	schedule,
		ext::shared_ptr< ZeroInflationIndex >	index,
		Real	baseCPI,
		const Period &	observationLag
	)

Definition at line 179 of file cpicoupon.cpp.

Member Function Documentation

withNotionals() [1/2]

CPILeg & withNotionals

(

Real

notional

)

Definition at line 204 of file cpicoupon.cpp.

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withNotionals() [2/2]

CPILeg & withNotionals

(

const std::vector< Real > &

notionals

)

Definition at line 209 of file cpicoupon.cpp.

withFixedRates() [1/2]

CPILeg & withFixedRates

(

Real

fixedRate

)

Definition at line 194 of file cpicoupon.cpp.

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withFixedRates() [2/2]

CPILeg & withFixedRates

(

const std::vector< Real > &

fixedRates

)

Definition at line 199 of file cpicoupon.cpp.

withPaymentDayCounter()

CPILeg & withPaymentDayCounter

(

const DayCounter &

dayCounter

)

Definition at line 219 of file cpicoupon.cpp.

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withPaymentAdjustment()

CPILeg & withPaymentAdjustment

(

BusinessDayConvention

convention

)

Definition at line 224 of file cpicoupon.cpp.

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withPaymentCalendar()

CPILeg & withPaymentCalendar

(

const Calendar &

cal

)

Definition at line 229 of file cpicoupon.cpp.

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withObservationInterpolation()

CPILeg & withObservationInterpolation

(

CPI::InterpolationType

interp

)

Definition at line 188 of file cpicoupon.cpp.

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withSubtractInflationNominal()

CPILeg & withSubtractInflationNominal

(

bool

growthOnly

)

Definition at line 214 of file cpicoupon.cpp.

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withCaps() [1/2]

CPILeg & withCaps

(

Rate

cap

)

Definition at line 234 of file cpicoupon.cpp.

withCaps() [2/2]

CPILeg & withCaps

(

const std::vector< Rate > &

caps

)

Definition at line 239 of file cpicoupon.cpp.

withFloors() [1/2]

CPILeg & withFloors

(

Rate

floor

)

Definition at line 244 of file cpicoupon.cpp.

withFloors() [2/2]

CPILeg & withFloors

(

const std::vector< Rate > &

floors

)

Definition at line 249 of file cpicoupon.cpp.

withExCouponPeriod()

CPILeg & withExCouponPeriod	(	const Period &	period,
		const Calendar &	cal,
		BusinessDayConvention	convention,
		bool	endOfMonth = false
	)

Definition at line 254 of file cpicoupon.cpp.

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withBaseDate()

CPILeg & withBaseDate

(

const Date &

baseDate

)

Definition at line 266 of file cpicoupon.cpp.

operator Leg()

operator Leg

(

)

const

Definition at line 272 of file cpicoupon.cpp.

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Member Data Documentation

schedule_

Schedule schedule_

private

Definition at line 237 of file cpicoupon.hpp.

index_

ext::shared_ptr<ZeroInflationIndex> index_

private

Definition at line 238 of file cpicoupon.hpp.

baseCPI_

Real baseCPI_

private

Definition at line 239 of file cpicoupon.hpp.

observationLag_

Period observationLag_

private

Definition at line 240 of file cpicoupon.hpp.

notionals_

std::vector<Real> notionals_

private

Definition at line 241 of file cpicoupon.hpp.

fixedRates_

std::vector<Real> fixedRates_

private

Definition at line 242 of file cpicoupon.hpp.

paymentDayCounter_

DayCounter paymentDayCounter_

private

Definition at line 243 of file cpicoupon.hpp.

paymentAdjustment_

BusinessDayConvention paymentAdjustment_ = ModifiedFollowing

private

Definition at line 244 of file cpicoupon.hpp.

paymentCalendar_

Calendar paymentCalendar_

private

Definition at line 245 of file cpicoupon.hpp.

observationInterpolation_

CPI::InterpolationType observationInterpolation_ = CPI::AsIndex

private

Definition at line 246 of file cpicoupon.hpp.

subtractInflationNominal_

bool subtractInflationNominal_ = true

private

Definition at line 247 of file cpicoupon.hpp.

caps_

std::vector<Rate> caps_

private

Definition at line 248 of file cpicoupon.hpp.

floors_

std::vector<Rate> floors_

private

Definition at line 248 of file cpicoupon.hpp.

exCouponPeriod_

Period exCouponPeriod_

private

Definition at line 249 of file cpicoupon.hpp.

exCouponCalendar_

Calendar exCouponCalendar_

private

Definition at line 250 of file cpicoupon.hpp.

exCouponAdjustment_

BusinessDayConvention exCouponAdjustment_ = Following

private

Definition at line 251 of file cpicoupon.hpp.

exCouponEndOfMonth_

bool exCouponEndOfMonth_ = false

private

Definition at line 252 of file cpicoupon.hpp.

baseDate_

Date baseDate_

private

Definition at line 253 of file cpicoupon.hpp.