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

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

#include <ql/cashflows/yoyinflationcoupon.hpp>

+ Inheritance diagram for YoYInflationCoupon:

Public Member Functions

 YoYInflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const boost::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
 
Spread spread () const
 spread paid over the fixing of the underlying index
 
Rate adjustedFixing () const
 
const boost::shared_ptr< YoYInflationIndex > & yoyIndex () const
 
Visitability
virtual void accept (AcyclicVisitor &)
 
- Public Member Functions inherited from InflationCoupon
 InflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const boost::shared_ptr< InflationIndex > &index, const Period &observationLag, const DayCounter &dayCounter, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())
 
void setPricer (const boost::shared_ptr< InflationCouponPricer > &)
 
boost::shared_ptr< InflationCouponPricerpricer () const
 
Real amount () const
 returns the amount of the cash flow More...
 
Real price (const Handle< YieldTermStructure > &discountingCurve) const
 
DayCounter dayCounter () const
 day counter for accrual calculation
 
Real accruedAmount (const Date &) const
 accrued amount at the given date
 
Rate rate () const
 accrued rate
 
const boost::shared_ptr< InflationIndex > & index () const
 yoy inflation index
 
Period observationLag () const
 how the coupon observes the index
 
Natural fixingDays () const
 fixing days
 
virtual Date fixingDate () const
 fixing date
 
virtual Rate indexFixing () const
 fixing of the underlying index, as observed by the coupon
 
void update ()
 
- 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
 
Date exCouponDate () const
 returns the date that the cash flow trades exCoupon
 
Real nominal () const
 
const DateaccrualStartDate () const
 start of the accrual period
 
const DateaccrualEndDate () const
 end of the accrual period
 
const DatereferencePeriodStart () const
 start date of the reference period
 
const DatereferencePeriodEnd () const
 end date of the reference period
 
Time accrualPeriod () const
 accrual period as fraction of year
 
BigInteger accrualDays () const
 accrual period in days
 
Time accruedPeriod (const Date &) const
 accrued period as fraction of year at the given date
 
BigInteger accruedDays (const Date &) const
 accrued days at the given date
 
- Public Member Functions inherited from CashFlow
bool hasOccurred (const Date &refDate=Date(), boost::optional< bool > includeRefDate=boost::none) const
 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
 
Event interface
Visitability
- 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 ()
 

Protected Member Functions

bool checkPricerImpl (const boost::shared_ptr< InflationCouponPricer > &) const
 makes sure you were given the correct type of pricer
 

Protected Attributes

Real gearing_
 
Spread spread_
 
- Protected Attributes inherited from InflationCoupon
boost::shared_ptr< InflationCouponPricerpricer_
 
boost::shared_ptr< InflationIndexindex_
 
Period observationLag_
 
DayCounter dayCounter_
 
Natural fixingDays_
 
- Protected Attributes inherited from Coupon
Date paymentDate_
 
Real nominal_
 
Date accrualStartDate_
 
Date accrualEndDate_
 
Date refPeriodStart_
 
Date refPeriodEnd_
 
Date exCouponDate_
 
Real accrualPeriod_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

Detailed Description

Coupon paying a YoY-inflation type index