QuantLib_CPILeg man page

CPILeg — Helper class building a sequence of capped/floored CPI coupons.


#include <ql/cashflows/cpicoupon.hpp>

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 > &notionals)

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

Detailed Description

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.

Referenced By

CPILeg(3), withExCouponPeriod(3), withFixedRates(3), withObservationInterpolation(3), withPaymentCalendar(3) and withSubtractInflationNominal(3) are aliases of QuantLib_CPILeg(3).

QuantLib Version 1.8.1 Fri Sep 23 2016