QuantLib_CPICoupon man page

CPICoupon — Coupon paying the performance of a CPI (zero inflation) index  


#include <ql/cashflows/cpicoupon.hpp>

Inherits InflationCoupon.

Public Member Functions

CPICoupon (Real baseCPI, const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const boost::shared_ptr< ZeroInflationIndex > &index, const Period &observationLag, CPI::InterpolationType observationInterpolation, const DayCounter &dayCounter, Real fixedRate, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())


Real fixedRate () const
fixed rate that will be inflated by the index ratio
Spread spread () const
spread paid over the fixing of the underlying index
Rate adjustedFixing () const
adjusted fixing (already divided by the base fixing)
Rate indexFixing () const
allows for a different interpolation from the index
Rate baseCPI () const
base value for the CPI index
CPI::InterpolationType observationInterpolation () const
how do you observe the index? as-is, flat, linear?
Rate indexObservation (const Date &onDate) const
utility method, calls indexFixing
boost::shared_ptr< ZeroInflationIndex > cpiIndex () const
index used


virtual void accept (AcyclicVisitor &)

Protected Member Functions

bool checkPricerImpl (const boost::shared_ptr< InflationCouponPricer > &) const
makes sure you were given the correct type of pricer
Rate indexFixing (const Date &) const

Protected Attributes

Real baseCPI_
Real fixedRate_
Spread spread_
CPI::InterpolationType observationInterpolation_

Additional Inherited Members

Detailed Description

Coupon paying the performance of a CPI (zero inflation) index

The performance is relative to the index value on the base date.

The other inflation value is taken from the refPeriodEnd date with observation lag, so any roll/calendar etc. will be built in by the caller. By default this is done in the InflationCoupon which uses ModifiedPreceding with fixing days assumed positive meaning earlier, i.e. always stay in same month (relative to referencePeriodEnd).

This is more sophisticated than an IndexedCashFlow because it does date calculations itself.

Member Function Documentation

Rate baseCPI () const

base value for the CPI index


make sure that the interpolation used to create this is what you are using for the fixing, i.e. the observationInterpolation.


Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

checkPricerImpl(3), CPICoupon(3), fixedRate_(3) and indexObservation(3) are aliases of QuantLib_CPICoupon(3).

Fri Feb 10 2017 Version 1.9.1 QuantLib