yoyInflationLeg Class Reference

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

#include <yoyinflationcoupon.hpp>

Collaboration diagram for yoyInflationLeg:

Public Member Functions
	yoyInflationLeg (Schedule schedule, Calendar cal, ext::shared_ptr< YoYInflationIndex > index, const Period &observationLag, CPI::InterpolationType interpolation)
	yoyInflationLeg (Schedule schedule, Calendar cal, ext::shared_ptr< YoYInflationIndex > index, const Period &observationLag)
yoyInflationLeg &	withNotionals (Real notional)
yoyInflationLeg &	withNotionals (const std::vector< Real > &notionals)
yoyInflationLeg &	withPaymentDayCounter (const DayCounter &)
yoyInflationLeg &	withPaymentAdjustment (BusinessDayConvention)
yoyInflationLeg &	withFixingDays (Natural fixingDays)
yoyInflationLeg &	withFixingDays (const std::vector< Natural > &fixingDays)
yoyInflationLeg &	withGearings (Real gearing)
yoyInflationLeg &	withGearings (const std::vector< Real > &gearings)
yoyInflationLeg &	withSpreads (Spread spread)
yoyInflationLeg &	withSpreads (const std::vector< Spread > &spreads)
yoyInflationLeg &	withCaps (Rate cap)
yoyInflationLeg &	withCaps (const std::vector< Rate > &caps)
yoyInflationLeg &	withFloors (Rate floor)
yoyInflationLeg &	withFloors (const std::vector< Rate > &floors)
	operator Leg () const

Private Attributes
Schedule	schedule_
ext::shared_ptr< YoYInflationIndex >	index_
Period	observationLag_
CPI::InterpolationType	interpolation_
std::vector< Real >	notionals_
DayCounter	paymentDayCounter_
BusinessDayConvention	paymentAdjustment_ = ModifiedFollowing
Calendar	paymentCalendar_
std::vector< Natural >	fixingDays_
std::vector< Real >	gearings_
std::vector< Spread >	spreads_
std::vector< Rate >	caps_
std::vector< Rate >	floors_

Detailed Description

Helper class building a sequence of capped/floored yoy inflation coupons.

Definition at line 114 of file yoyinflationcoupon.hpp.

Constructor & Destructor Documentation

yoyInflationLeg() [1/2]

yoyInflationLeg	(	Schedule	schedule,
		Calendar	cal,
		ext::shared_ptr< YoYInflationIndex >	index,
		const Period &	observationLag,
		CPI::InterpolationType	interpolation
	)

Definition at line 85 of file yoyinflationcoupon.cpp.

yoyInflationLeg() [2/2]

yoyInflationLeg	(	Schedule	schedule,
		Calendar	cal,
		ext::shared_ptr< YoYInflationIndex >	index,
		const Period &	observationLag
	)

Deprecated:

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

Definition at line 93 of file yoyinflationcoupon.cpp.

Member Function Documentation

withNotionals() [1/2]

yoyInflationLeg & withNotionals

(

Real

notional

)

Definition at line 100 of file yoyinflationcoupon.cpp.

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withNotionals() [2/2]

yoyInflationLeg & withNotionals

(

const std::vector< Real > &

notionals

)

Definition at line 105 of file yoyinflationcoupon.cpp.

withPaymentDayCounter()

yoyInflationLeg & withPaymentDayCounter

(

const DayCounter &

dayCounter

)

Definition at line 110 of file yoyinflationcoupon.cpp.

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withPaymentAdjustment()

yoyInflationLeg & withPaymentAdjustment

(

BusinessDayConvention

convention

)

Definition at line 115 of file yoyinflationcoupon.cpp.

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withFixingDays() [1/2]

yoyInflationLeg & withFixingDays

(

Natural

fixingDays

)

Definition at line 120 of file yoyinflationcoupon.cpp.

withFixingDays() [2/2]

yoyInflationLeg & withFixingDays

(

const std::vector< Natural > &

fixingDays

)

Definition at line 125 of file yoyinflationcoupon.cpp.

withGearings() [1/2]

yoyInflationLeg & withGearings

(

Real

gearing

)

Definition at line 130 of file yoyinflationcoupon.cpp.

withGearings() [2/2]

yoyInflationLeg & withGearings

(

const std::vector< Real > &

gearings

)

Definition at line 135 of file yoyinflationcoupon.cpp.

withSpreads() [1/2]

yoyInflationLeg & withSpreads

(

Spread

spread

)

Definition at line 140 of file yoyinflationcoupon.cpp.

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withSpreads() [2/2]

yoyInflationLeg & withSpreads

(

const std::vector< Spread > &

spreads

)

Definition at line 145 of file yoyinflationcoupon.cpp.

withCaps() [1/2]

yoyInflationLeg & withCaps

(

Rate

cap

)

Definition at line 150 of file yoyinflationcoupon.cpp.

withCaps() [2/2]

yoyInflationLeg & withCaps

(

const std::vector< Rate > &

caps

)

Definition at line 155 of file yoyinflationcoupon.cpp.

withFloors() [1/2]

yoyInflationLeg & withFloors

(

Rate

floor

)

Definition at line 160 of file yoyinflationcoupon.cpp.

withFloors() [2/2]

yoyInflationLeg & withFloors

(

const std::vector< Rate > &

floors

)

Definition at line 165 of file yoyinflationcoupon.cpp.

operator Leg()

operator Leg

(

)

const

Definition at line 171 of file yoyinflationcoupon.cpp.

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Member Data Documentation

schedule_

Schedule schedule_

private

Definition at line 145 of file yoyinflationcoupon.hpp.

index_

ext::shared_ptr<YoYInflationIndex> index_

private

Definition at line 146 of file yoyinflationcoupon.hpp.

observationLag_

Period observationLag_

private

Definition at line 147 of file yoyinflationcoupon.hpp.

interpolation_

CPI::InterpolationType interpolation_

private

Definition at line 148 of file yoyinflationcoupon.hpp.

notionals_

std::vector<Real> notionals_

private

Definition at line 149 of file yoyinflationcoupon.hpp.

paymentDayCounter_

DayCounter paymentDayCounter_

private

Definition at line 150 of file yoyinflationcoupon.hpp.

paymentAdjustment_

BusinessDayConvention paymentAdjustment_ = ModifiedFollowing

private

Definition at line 151 of file yoyinflationcoupon.hpp.

paymentCalendar_

Calendar paymentCalendar_

private

Definition at line 152 of file yoyinflationcoupon.hpp.

fixingDays_

std::vector<Natural> fixingDays_

private

Definition at line 153 of file yoyinflationcoupon.hpp.

gearings_

std::vector<Real> gearings_

private

Definition at line 154 of file yoyinflationcoupon.hpp.

spreads_

std::vector<Spread> spreads_

private

Definition at line 155 of file yoyinflationcoupon.hpp.

caps_

std::vector<Rate> caps_

private

Definition at line 156 of file yoyinflationcoupon.hpp.

floors_

std::vector<Rate> floors_

private

Definition at line 156 of file yoyinflationcoupon.hpp.