# 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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