YoYInflationCoupon Class Reference

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

#include <yoyinflationcoupon.hpp>

Inheritance diagram for YoYInflationCoupon:

Collaboration 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 More...
Spread	spread () const
	spread paid over the fixing of the underlying index More...
Rate	indexFixing () const override
	fixing of the underlying index, as observed by the coupon More...
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 More...
Real	price (const Handle< YieldTermStructure > &discountingCurve) const
DayCounter	dayCounter () const override
	day counter for accrual calculation More...
Real	accruedAmount (const Date &) const override
	accrued amount at the given date More...
Rate	rate () const override
	accrued rate More...
const ext::shared_ptr< InflationIndex > &	index () const
	yoy inflation index More...
Period	observationLag () const
	how the coupon observes the index More...
Natural	fixingDays () const
	fixing days More...
virtual Date	fixingDate () const
	fixing date More...
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 More...
virtual Real	nominal () const
const Date &	accrualStartDate () const
	start of the accrual period More...
const Date &	accrualEndDate () const
	end of the accrual period More...
const Date &	referencePeriodStart () const
	start date of the reference period More...
const Date &	referencePeriodEnd () const
	end date of the reference period More...
Time	accrualPeriod () const
	accrual period as fraction of year More...
Date::serial_type	accrualDays () const
	accrual period in days More...
Time	accruedPeriod (const Date &) const
	accrued period as fraction of year at the given date More...
Date::serial_type	accruedDays (const Date &) const
	accrued days at the given date More...
Public Member Functions inherited from CashFlow
	~CashFlow () override=default
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 More...
bool	tradingExCoupon (const Date &refDate=Date()) const
	returns true if the cashflow is trading ex-coupon on the refDate More...
Public Member Functions inherited from Event
	~Event () override=default
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from LazyObject
	LazyObject ()
	~LazyObject () override=default
void	update () override
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~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	update ()=0
virtual void	deepUpdate ()

Visitability
ext::shared_ptr< YoYInflationIndex >	yoyIndex_
CPI::InterpolationType	interpolation_
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 More...

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

Detailed Description

Coupon paying a YoY-inflation type index

Definition at line 35 of file yoyinflationcoupon.hpp.

Constructor & Destructor Documentation

YoYInflationCoupon() [1/2]

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()
	)

Definition at line 29 of file yoyinflationcoupon.cpp.

YoYInflationCoupon() [2/2]

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.

Definition at line 48 of file yoyinflationcoupon.cpp.

Member Function Documentation

gearing()

Real gearing

(

)

const

index gearing, i.e. multiplicative coefficient for the index

Definition at line 71 of file yoyinflationcoupon.hpp.

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spread()

Spread spread

(

)

const

spread paid over the fixing of the underlying index

Definition at line 73 of file yoyinflationcoupon.hpp.

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indexFixing()

Rate indexFixing ( ) const

overridevirtual

fixing of the underlying index, as observed by the coupon

Reimplemented from InflationCoupon.

Definition at line 80 of file yoyinflationcoupon.cpp.

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adjustedFixing()

Rate adjustedFixing

(

)

const

Definition at line 106 of file yoyinflationcoupon.hpp.

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yoyIndex()

const ext::shared_ptr< YoYInflationIndex > & yoyIndex

(

)

const

Definition at line 98 of file yoyinflationcoupon.hpp.

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interpolation()

CPI::InterpolationType interpolation

(

)

const

Definition at line 102 of file yoyinflationcoupon.hpp.

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from InflationCoupon.

Definition at line 66 of file yoyinflationcoupon.cpp.

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checkPricerImpl()

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

overrideprotectedvirtual

makes sure you were given the correct type of pricer

Implements InflationCoupon.

Definition at line 74 of file yoyinflationcoupon.cpp.

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Member Data Documentation

yoyIndex_

ext::shared_ptr<YoYInflationIndex> yoyIndex_

private

Definition at line 89 of file yoyinflationcoupon.hpp.

interpolation_

CPI::InterpolationType interpolation_

private

Definition at line 90 of file yoyinflationcoupon.hpp.

gearing_

Real gearing_

protected

Definition at line 92 of file yoyinflationcoupon.hpp.

spread_

Spread spread_

protected

Definition at line 93 of file yoyinflationcoupon.hpp.