QuantLib_YearOnYearInflationSwap man page

YearOnYearInflationSwap — Year-on-year inflation-indexed swap.

Synopsis

#include <ql/instruments/yearonyearinflationswap.hpp>

Inherits Swap.

Classes

class arguments
Arguments for YoY swap calculation
class results
Results from YoY swap calculation

Public Types

enum Type { Receiver = -1, Payer = 1 }

Public Member Functions

YearOnYearInflationSwap (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &yoySchedule, const boost::shared_ptr< YoYInflationIndex > &yoyIndex, const Period &observationLag, Spread spread, const DayCounter &yoyDayCount, const Calendar &paymentCalendar, BusinessDayConvention paymentConvention=ModifiedFollowing)

virtual Real fixedLegNPV () const

virtual Rate fairRate () const

virtual Real yoyLegNPV () const

virtual Spread fairSpread () const

virtual Type type () const

virtual Real nominal () const

virtual const Schedule & fixedSchedule () const

virtual Rate fixedRate () const

virtual const DayCounter & fixedDayCount () const

virtual const Schedule & yoySchedule () const

virtual const boost::shared_ptr< YoYInflationIndex > & yoyInflationIndex () const

virtual Period observationLag () const

virtual Spread spread () const

virtual const DayCounter & yoyDayCount () const

virtual Calendar paymentCalendar () const

virtual BusinessDayConvention paymentConvention () const

virtual const Leg & fixedLeg () const

virtual const Leg & yoyLeg () const

void setupArguments (PricingEngine::arguments *args) const

void fetchResults (const PricingEngine::results *) const

Additional Inherited Members

Detailed Description

Year-on-year inflation-indexed swap.

Quoted as a fixed rate $ K $. At start: [ sum_{i=1}^{M} P_n(0,t_i) N K = sum_{i=1}^{M} P_n(0,t_i) N left[ ac{I(t_i)}{I(t_i-1)} - 1 right] ] where $ t_M $ 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 $.

Note:

These instruments have now been changed to follow typical VanillaSwap type design conventions w.r.t. Schedules etc.

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 Swap.

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 Swap.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

paymentCalendar(3), YearOnYearInflationSwap(3), yoyDayCount(3), yoyInflationIndex(3), yoyLeg(3), yoyLegNPV(3) and yoySchedule(3) are aliases of QuantLib_YearOnYearInflationSwap(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib