CPICoupon Class Reference

#include <qle/cashflows/cpicoupon.hpp>

Inheritance diagram for CPICoupon:

Collaboration diagram for CPICoupon:

Public Member Functions
	CPICoupon (Real baseCPI, const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const ext::shared_ptr< ZeroInflationIndex > &index, const Period &observationLag, CPI::InterpolationType observationInterpolation, const DayCounter &dayCounter, Real fixedRate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date(), bool subtractInflationNominal=false)
	CPICoupon (Real baseCPI, const Date &baseDate, const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, const ext::shared_ptr< ZeroInflationIndex > &index, const Period &observationLag, CPI::InterpolationType observationInterpolation, const DayCounter &dayCounter, Real fixedRate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date(), bool subtractInflationNominal=false)
virtual Rate	rate () const override
bool	subtractInflationNotional ()

Protected Attributes
bool	subtractInflationNominal_

Detailed Description

Definition at line 35 of file cpicoupon.hpp.

Constructor & Destructor Documentation

CPICoupon() [1/2]

CPICoupon	(	Real	baseCPI,
		const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		const ext::shared_ptr< ZeroInflationIndex > &	index,
		const Period &	observationLag,
		CPI::InterpolationType	observationInterpolation,
		const DayCounter &	dayCounter,
		Real	fixedRate,
		const Date &	refPeriodStart = Date(),
		const Date &	refPeriodEnd = Date(),
		const Date &	exCouponDate = Date(),
		bool	subtractInflationNominal = false
	)

Definition at line 37 of file cpicoupon.hpp.

        : QuantLib::CPICoupon(baseCPI, paymentDate, nominal, startDate, endDate, index, observationLag,
                              observationInterpolation, dayCounter, fixedRate, refPeriodStart,
                              refPeriodEnd, exCouponDate),
          subtractInflationNominal_(subtractInflationNominal){};

CPICoupon() [2/2]

CPICoupon	(	Real	baseCPI,
		const Date &	baseDate,
		const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		const ext::shared_ptr< ZeroInflationIndex > &	index,
		const Period &	observationLag,
		CPI::InterpolationType	observationInterpolation,
		const DayCounter &	dayCounter,
		Real	fixedRate,
		const Date &	refPeriodStart = Date(),
		const Date &	refPeriodEnd = Date(),
		const Date &	exCouponDate = Date(),
		bool	subtractInflationNominal = false
	)

Definition at line 49 of file cpicoupon.hpp.

        : QuantLib::CPICoupon(baseCPI, baseDate, paymentDate, nominal, startDate, endDate, index,
                              observationLag,
                              observationInterpolation, dayCounter, fixedRate, refPeriodStart, refPeriodEnd,
                              exCouponDate),
          subtractInflationNominal_(subtractInflationNominal){};

Member Function Documentation

rate()

Rate rate ( ) const

overridevirtual

Reimplemented in CappedFlooredCPICoupon, and StrippedCappedFlooredCPICoupon.

Definition at line 34 of file cpicoupon.cpp.

                           {
    Rate r = QuantLib::CPICoupon::rate() ;
        if (subtractInflationNominal_) {
            Rate adjusted_r = r / fixedRate_;
            r = (adjusted_r - 1) * fixedRate_;
        }
        return r;
    }

subtractInflationNotional()

bool subtractInflationNotional

(

)

Definition at line 64 of file cpicoupon.hpp.

{ return subtractInflationNominal_; };

Member Data Documentation

subtractInflationNominal_

bool subtractInflationNominal_

protected

Definition at line 67 of file cpicoupon.hpp.