QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.8
Classes | Public Types | Public Member Functions | List of all members
YearOnYearInflationSwap Class Reference

Year-on-year inflation-indexed swap. More...

#include <ql/instruments/yearonyearinflationswap.hpp>

+ Inheritance diagram for YearOnYearInflationSwap:

Classes

class  arguments
 Arguments for YoY swap calculation More...
 
class  results
 Results from YoY swap calculation More...
 

Public Types

enum  Type { Receiver = -1, Payer = 1 }
 
- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

Public Member Functions

 YearOnYearInflationSwap (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &yoySchedule, const boost::shared_ptr< YoYInflationIndex > &yoyIndex, const Period &observationLag, Spread spread, const DayCounter &yoyDayCount, const Calendar &paymentCalendar, BusinessDayConvention paymentConvention=ModifiedFollowing)
 
virtual Real fixedLegNPV () const
 
virtual Rate fairRate () const
 
virtual Real yoyLegNPV () const
 
virtual Spread fairSpread () const
 
virtual Type type () const
 
virtual Real nominal () const
 
virtual const SchedulefixedSchedule () const
 
virtual Rate fixedRate () const
 
virtual const DayCounterfixedDayCount () const
 
virtual const ScheduleyoySchedule () const
 
virtual const boost::shared_ptr< YoYInflationIndex > & yoyInflationIndex () const
 
virtual Period observationLag () const
 
virtual Spread spread () const
 
virtual const DayCounteryoyDayCount () const
 
virtual Calendar paymentCalendar () const
 
virtual BusinessDayConvention paymentConvention () const
 
virtual const LegfixedLeg () const
 
virtual const LegyoyLeg () const
 
void setupArguments (PricingEngine::arguments *args) const
 
void fetchResults (const PricingEngine::results *) const
 
- Public Member Functions inherited from Swap
Date startDate () const
 
Date maturityDate () const
 
Real legBPS (Size j) const
 
Real legNPV (Size j) const
 
DiscountFactor startDiscounts (Size j) const
 
DiscountFactor endDiscounts (Size j) const
 
DiscountFactor npvDateDiscount () const
 
const Legleg (Size j) const
 
 Swap (const Leg &firstLeg, const Leg &secondLeg)
 
 Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer)
 
bool isExpired () const
 returns whether the instrument might have value greater than zero.
 
- Public Member Functions inherited from Instrument
Real NPV () const
 returns the net present value of the instrument.
 
Real errorEstimate () const
 returns the error estimate on the NPV when available.
 
const DatevaluationDate () const
 returns the date the net present value refers to.
 
template<typename T >
result (const std::string &tag) const
 returns any additional result returned by the pricing engine.
 
const std::map< std::string, boost::any > & additionalResults () const
 returns all additional result returned by the pricing engine.
 
void setPricingEngine (const boost::shared_ptr< PricingEngine > &)
 set the pricing engine to be used. More...
 
- Public Member Functions inherited from LazyObject
void update ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 

Additional Inherited Members

- Protected Member Functions inherited from Swap
 Swap (Size legs)
 
- Protected Member Functions inherited from Instrument
void calculate () const
 
virtual void performCalculations () const
 
- Protected Member Functions inherited from LazyObject
- Protected Attributes inherited from Swap
std::vector< Leglegs_
 
std::vector< Realpayer_
 
std::vector< ReallegNPV_
 
std::vector< ReallegBPS_
 
std::vector< DiscountFactorstartDiscounts_
 
std::vector< DiscountFactorendDiscounts_
 
DiscountFactor npvDateDiscount_
 
- Protected Attributes inherited from Instrument
boost::shared_ptr< PricingEngineengine_
 
Real NPV_
 
Real errorEstimate_
 
Date valuationDate_
 
std::map< std::string, boost::any > additionalResults_
 
- Protected Attributes inherited from LazyObject
bool calculated_
 
bool frozen_
 

Detailed Description

Year-on-year inflation-indexed swap.

Quoted as a fixed rate \( K \). At start:

\[ \sum_{i=1}^{M} P_n(0,t_i) N K = \sum_{i=1}^{M} P_n(0,t_i) N \left[ \frac{I(t_i)}{I(t_i-1)} - 1 \right] \]

where \( t_M \) is the maturity time, \( P_n(0,t) \) is the nominal discount factor at time \( t \), \( N \) is the notional, and \( I(t) \) is the inflation index value at time \( t \).

Note
These instruments have now been changed to follow typical VanillaSwap type design conventions w.r.t. Schedules etc.

Member Function Documentation

void setupArguments ( PricingEngine::arguments *  ) const
virtual

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Swap.

void fetchResults ( const PricingEngine::results *  r) const
virtual

When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented from Swap.