QuantLib_CPILeg man page
CPILeg — Helper class building a sequence of capped/floored CPI coupons.
Public Member Functions
CPILeg (const Schedule &schedule, const boost::shared_ptr< ZeroInflationIndex > &index, const Real baseCPI, const Period &observationLag)
CPILeg & withNotionals (Real notional)
CPILeg & withNotionals (const std::vector< Real > ¬ionals)
CPILeg & withFixedRates (Real fixedRate)
CPILeg & withFixedRates (const std::vector< Real > &fixedRates)
CPILeg & withPaymentDayCounter (const DayCounter &)
CPILeg & withPaymentAdjustment (BusinessDayConvention)
CPILeg & withPaymentCalendar (const Calendar &)
CPILeg & withFixingDays (Natural fixingDays)
CPILeg & withFixingDays (const std::vector< Natural > &fixingDays)
CPILeg & withObservationInterpolation (CPI::InterpolationType)
CPILeg & withSubtractInflationNominal (bool)
CPILeg & withSpreads (Spread spread)
CPILeg & withSpreads (const std::vector< Spread > &spreads)
CPILeg & withCaps (Rate cap)
CPILeg & withCaps (const std::vector< Rate > &caps)
CPILeg & withFloors (Rate floor)
CPILeg & withFloors (const std::vector< Rate > &floors)
CPILeg & withExCouponPeriod (const Period &, const Calendar &, BusinessDayConvention, bool endOfMonth=false)
operator Leg () const
Helper class building a sequence of capped/floored CPI coupons.
Also allowing for the inflated notional at the end... especially if there is only one date in the schedule. If a fixedRate is zero you get a FixedRateCoupon, otherwise you get a ZeroInflationCoupon.
payoff is: spread + fixedRate x index
Generated automatically by Doxygen for QuantLib from the source code.
CPILeg(3), withExCouponPeriod(3), withFixedRates(3), withObservationInterpolation(3), withPaymentCalendar(3) and withSubtractInflationNominal(3) are aliases of QuantLib_CPILeg(3).