QuantLib_ZeroCouponInflationSwap (3) Linux Manual Page
QuantLib::ZeroCouponInflationSwap – Zero-coupon inflation-indexed swap.
Synopsis
#include <ql/instruments/zerocouponinflationswap.hpp>Inherits QuantLib::InflationSwap.
Public Member Functions
ZeroCouponInflationSwap (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< ZeroInflationTermStructure > &inflationTS)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.
Protected Member Functions
Instrument interfacevoid performCalculations () const
Protected Attributes
Rate fixedRate_Handle< ZeroInflationTermStructure > inflationTS_
Detailed Description
Zero-coupon inflation-indexed swap.Quoted as a fixed rate $ K $. At start: [ P_n(0,T) N [(1+K)^{T}-1] = P_n(0,T) N
re $ T $ 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 $.
Member Function Documentation
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.