QuantLib_YearOnYearInflationSwapHelper man page

YearOnYearInflationSwapHelper — Year-on-year inflation-swap bootstrap helper.  


#include <ql/termstructures/inflation/inflationhelpers.hpp>

Inherits BootstrapHelper< YoYInflationTermStructure >.

Public Member Functions

YearOnYearInflationSwapHelper (const Handle< Quote > &quote, const Period &swapObsLag_, const Date &maturity, const Calendar &calendar, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, const boost::shared_ptr< YoYInflationIndex > &yii)
void setTermStructure (YoYInflationTermStructure *)
sets the term structure to be used for pricing
Real impliedQuote () const

Protected Attributes

Period swapObsLag_
Date maturity_
Calendar calendar_
BusinessDayConvention paymentConvention_
DayCounter dayCounter_
boost::shared_ptr< YoYInflationIndex > yii_
boost::shared_ptr< YearOnYearInflationSwap > yyiis_

Additional Inherited Members

Detailed Description

Year-on-year inflation-swap bootstrap helper.

Member Function Documentation

void setTermStructure (YoYInflationTermStructure * t) [virtual]

sets the term structure to be used for pricing


Being a pointer and not a shared_ptr, the term structure is not guaranteed to remain allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure that the pointer remains valid. It is advised that this method is called only inside the term structure being bootstrapped, setting the pointer to this, i.e., the term structure itself.

Reimplemented from BootstrapHelper< YoYInflationTermStructure >.


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Referenced By

The man pages swapObsLag_(3), YearOnYearInflationSwapHelper(3), yii_(3) and yyiis_(3) are aliases of QuantLib_YearOnYearInflationSwapHelper(3).

Mon Apr 30 2018 Version 1.12.1 QuantLib