PaymentDates (3) Linux Manual Page

QuantLib::YearOnYearInflationSwap – Year-on-year inflation-indexed swap.

Synopsis

void setupExpired () const



void performCalculations () const



Protected Attributes

Inherits QuantLib::InflationSwap.

Public Member Functions

void setupExpired () const



void performCalculations () const



Protected Attributes

Instrument interface

bool isExpired () const
returns whether the instrument is still tradable. InflationSwap interface

void setupExpired () const



void performCalculations () const



Protected Attributes

Inspectors

Rate fixedRate () const
$ K $ in the above formula.
std::vector< Date > paymentDates () const

Protected Member Functions

Instrument interface

void setupExpired () const



void performCalculations () const



Protected Attributes

Rate fixedRate_

Handle< YoYInflationTermStructure > inflationTS_

bool allowAmbiguousPayments_

Period ambiguousPaymentPeriod_

std::vector< Date > paymentDates_

Rate fairRate_

Detailed Description

Year-on-year inflation-indexed swap.

Quoted as a fixed rate $ K $. At start: [ um_{i=1}^{M} P_n(0,t_i) N K = um_{i=1}^{M} P_n(0,t_i) N

re $ 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:

The allowAmbiguousPayments parameter is to allow for payment arithmetic being ambiguous. If the maturity is in, say, 30.01 years according to the day-counter and roll rules, does this mean that there is a payment in 0.01 years? If allowAmbiguousPayments is false, the ambiguousPaymentPeriod parameter sets the period within which the answer is no.

Member Function Documentation

void setupExpired () const [protected, virtual]

This method must leave the instrument in a consistent state when the expiration condition is met.

Reimplemented from Instrument.

void performCalculations () const [protected, virtual]

In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.

Reimplemented from Instrument.

Author

Generated automatically by Doxygen for QuantLib from the source code.

paymentDates (3) Linux Manual Page