QuantLib_CPICapFloor man page

CPICapFloor — CPI cap or floor.  

Synopsis

#include <ql/instruments/cpicapfloor.hpp>

Inherits Instrument.

Public Member Functions

CPICapFloor (Option::Type type, Real nominal, const Date &startDate, Real baseCPI, const Date &maturity, const Calendar &fixCalendar, BusinessDayConvention fixConvention, const Calendar &payCalendar, BusinessDayConvention payConvention, Rate strike, const Handle< ZeroInflationIndex > &infIndex, const Period &observationLag, CPI::InterpolationType observationInterpolation=CPI::AsIndex)

Inspectors

Option::Type type () const
Real nominal () const
Rate strike () const
$ K $ in the above formula.
Date fixingDate () const
Date payDate () const
Handle< ZeroInflationIndex > inflationIndex () const
Period observationLag () const

Instrument interface

bool isExpired () const
returns whether the instrument might have value greater than zero.
void setupArguments (PricingEngine::arguments *) const
void fetchResults (const PricingEngine::results *r) const

Protected Attributes

Option::Type type_
Real nominal_
Date startDate_
Date fixDate_
Date payDate_
Real baseCPI_
Date maturity_
Calendar fixCalendar_
BusinessDayConvention fixConvention_
Calendar payCalendar_
BusinessDayConvention payConvention_
Rate strike_
Handle< ZeroInflationIndex > infIndex_
Period observationLag_
CPI::InterpolationType observationInterpolation_

Additional Inherited Members

Detailed Description

CPI cap or floor.

Quoted as a fixed strike rate $ K $. Payoff: [ P_n(0,T) max(y (N [(1+K)^{T}-1] - N left[ ac{I(T)}{I(0)} -1 right]), 0) ] where $ 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 $.

Inflation is generally available on every day, including holidays and weekends. Hence there is a variable to state whether the observe/fix dates for inflation are adjusted or not. The default is not to adjust.

N.B. a cpi cap or floor is an option, not a cap or floor on a coupon. Thus this is very similar to a ZCIIS and has a single flow, this is as usual for cpi because it is cumulative up to option maturity from base date.

We do not inherit from Option, although this would be reasonable, because we do not have that degree of generality.

Member Function Documentation

void setupArguments (PricingEngine::arguments *) const [virtual]

When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

void fetchResults (const PricingEngine::results * r) const [virtual]

When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.

Reimplemented from Instrument.

Author

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Referenced By

The man pages CPICapFloor(3), fixCalendar_(3), fixConvention_(3), fixDate_(3), infIndex_(3), inflationIndex(3), maturity_(3), payCalendar_(3), payConvention_(3), payDate(3), payDate_(3), startDate_(3), strike(3) and type_(3) are aliases of QuantLib_CPICapFloor(3).

Fri Sep 1 2017 Version 1.10.1 QuantLib