CPILeg Class Reference

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

#include <ql/cashflows/cpicoupon.hpp>

List of all members.

Public Member Functions

 CPILeg (const Schedule &schedule, const boost::shared_ptr< ZeroInflationIndex > &index, const Real baseCPI, const Period &observationLag)
CPILegwithNotionals (Real notional)
CPILegwithNotionals (const std::vector< Real > &notionals)
CPILegwithFixedRates (Real fixedRate)
CPILegwithFixedRates (const std::vector< Real > &fixedRates)
CPILegwithPaymentDayCounter (const DayCounter &)
CPILegwithPaymentAdjustment (BusinessDayConvention)
CPILegwithFixingDays (Natural fixingDays)
CPILegwithFixingDays (const std::vector< Natural > &fixingDays)
CPILegwithObservationInterpolation (CPI::InterpolationType)
CPILegwithSubtractInflationNominal (bool)
CPILegwithSpreads (Spread spread)
CPILegwithSpreads (const std::vector< Spread > &spreads)
CPILegwithCaps (Rate cap)
CPILegwithCaps (const std::vector< Rate > &caps)
CPILegwithFloors (Rate floor)
CPILegwithFloors (const std::vector< Rate > &floors)
 operator Leg () const

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 a fixedRate is zero you get a FixedRateCoupon, otherwise you get a ZeroInflationCoupon.

payoff is: spread + fixedRate x index