QuantLib_InflationCoupon man page

InflationCoupon — Base inflation-coupon class.


#include <ql/cashflows/inflationcoupon.hpp>

Inherits Coupon, and Observer.

Inherited by CPICoupon, and YoYInflationCoupon.

Public Member Functions

InflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const boost::shared_ptr< InflationIndex > &index, const Period &observationLag, const DayCounter &dayCounter, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())

void setPricer (const boost::shared_ptr< InflationCouponPricer > &)

boost::shared_ptr< InflationCouponPricer > pricer () const

CashFlow interface

Real amount () const
returns the amount of the cash flow

Coupon interface

Real price (const Handle< YieldTermStructure > &discountingCurve) const

DayCounter dayCounter () const
day counter for accrual calculation
Real accruedAmount (const Date &) const
accrued amount at the given date
Rate rate () const
accrued rate


const boost::shared_ptr< InflationIndex > & index () const
yoy inflation index
Period observationLag () const
how the coupon observes the index
Natural fixingDays () const
fixing days
virtual Date fixingDate () const
fixing date
virtual Rate indexFixing () const
fixing of the underlying index, as observed by the coupon

Observer interface

void update ()


virtual void accept (AcyclicVisitor &)

Protected Member Functions

virtual bool checkPricerImpl (const boost::shared_ptr< InflationCouponPricer > &) const =0
makes sure you were given the correct type of pricer

Protected Attributes

boost::shared_ptr< InflationCouponPricer > pricer_

boost::shared_ptr< InflationIndex > index_

Period observationLag_

DayCounter dayCounter_

Natural fixingDays_

Additional Inherited Members

Detailed Description

Base inflation-coupon class.

The day counter is usually obtained from the inflation term structure that the inflation index uses for forecasting. There is no gearing or spread because these are relevant for YoY coupons but not zero inflation coupons.


inflation indices do not contain day counters or calendars.

Member Function Documentation

Real amount () const [virtual]

returns the amount of the cash flow


The amount is not discounted, i.e., it is the actual amount paid at the cash flow date.

Implements CashFlow.

void update () [virtual]

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.


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Referenced By

InflationCoupon(3) is an alias of QuantLib_InflationCoupon(3).

QuantLib Version 1.8.1 Fri Sep 23 2016