- QuantLib
- YearOnYearInflationSwapHelper
Year-on-year inflation-swap bootstrap helper. More...
#include <ql/termstructures/inflation/inflationhelpers.hpp>
Public Member Functions | |
YearOnYearInflationSwapHelper (const Handle< Quote > "e, const Period &swapObsLag_, const Date &maturity, const Calendar &calendar, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, const boost::shared_ptr< YoYInflationIndex > &yii) | |
void | setTermStructure (YoYInflationTermStructure *) |
sets the term structure to be used for pricing | |
Real | impliedQuote () const |
Protected Attributes | |
Period | swapObsLag_ |
Date | maturity_ |
Calendar | calendar_ |
BusinessDayConvention | paymentConvention_ |
DayCounter | dayCounter_ |
boost::shared_ptr < YoYInflationIndex > | yii_ |
boost::shared_ptr < YearOnYearInflationSwap > | yyiis_ |
Year-on-year inflation-swap bootstrap helper.
void setTermStructure | ( | YoYInflationTermStructure * | ) | [virtual] |
sets the term structure to be used for pricing
Reimplemented from BootstrapHelper< YoYInflationTermStructure >.