YearOnYearInflationSwap (3) - Linux Manuals

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

NAME

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

SYNOPSIS

#include <ql/instruments/yearonyearinflationswap.hpp>

Inherits QuantLib::InflationSwap.

Public Member Functions

YearOnYearInflationSwap (const Date &start, const Date &maturity, const Period &lag, Rate fixedRate, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS, const Handle< YoYInflationTermStructure > &inflationTS, bool allowAmbiguousPayments=false, const Period &ambiguousPaymentPeriod=Period(1, Months))

Instrument interface

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

InflationSwap interface

Rate fairRate () const
the rate $ ilde{K} $ such that NPV = 0.

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

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