CappedFlooredYoYInflationCoupon Class Reference

#include <qle/cashflows/yoyinflationcoupon.hpp>

Inheritance diagram for CappedFlooredYoYInflationCoupon:

Collaboration diagram for CappedFlooredYoYInflationCoupon:

Public Member Functions
	CappedFlooredYoYInflationCoupon (const ext::shared_ptr< YoYInflationCoupon > &underlying, Rate cap=Null< Rate >(), Rate floor=Null< Rate >(), bool addInflationNotional=false)
	CappedFlooredYoYInflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const ext::shared_ptr< YoYInflationIndex > &index, const Period &observationLag, const DayCounter &dayCounter, Real gearing=1.0, Spread spread=0.0, const Rate cap=Null< Rate >(), const Rate floor=Null< Rate >(), const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), bool addInflationNotional=false)
Rate	rate () const override

Visitability
bool	addInflationNotional_
virtual void	accept (AcyclicVisitor &) override

Detailed Description

Definition at line 60 of file yoyinflationcoupon.hpp.

Constructor & Destructor Documentation

CappedFlooredYoYInflationCoupon() [1/2]

CappedFlooredYoYInflationCoupon	(	const ext::shared_ptr< YoYInflationCoupon > &	underlying,
		Rate	cap = Null< Rate >(),
		Rate	floor = Null< Rate >(),
		bool	addInflationNotional = false
	)

CappedFlooredYoYInflationCoupon() [2/2]

CappedFlooredYoYInflationCoupon	(	const Date &	paymentDate,
		Real	nominal,
		const Date &	startDate,
		const Date &	endDate,
		Natural	fixingDays,
		const ext::shared_ptr< YoYInflationIndex > &	index,
		const Period &	observationLag,
		const DayCounter &	dayCounter,
		Real	gearing = 1.0,
		Spread	spread = 0.0,
		const Rate	cap = Null<Rate>(),
		const Rate	floor = Null<Rate>(),
		const Date &	refPeriodStart = Date(),
		const Date &	refPeriodEnd = Date(),
		bool	addInflationNotional = false
	)

Definition at line 65 of file yoyinflationcoupon.cpp.

    : QuantLib::CappedFlooredYoYInflationCoupon(paymentDate, nominal, startDate, endDate, fixingDays, index,
                                                observationLag, dayCounter, gearing, spread, cap, floor, refPeriodStart,
                                                refPeriodEnd),
      addInflationNotional_(addInflationNotional) {
    if (addInflationNotional_) {
        if (isCapped_) {
            cap_ = cap_ - 1;
        }
        if (isFloored_) {
            floor_ = floor_ - 1;
        }
    }
}

Member Function Documentation

rate()

Rate rate ( ) const

override

Definition at line 92 of file yoyinflationcoupon.cpp.

                                                 {
    Real RateYoY = QuantLib::CappedFlooredYoYInflationCoupon::rate();
    if (addInflationNotional_) {
        RateYoY = gearing_ * ((RateYoY - spread_) / gearing_ + 1) + spread_;
    }
    return RateYoY;
}

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Definition at line 84 of file yoyinflationcoupon.cpp.

                                                              {
    Visitor<CappedFlooredYoYInflationCoupon>* v1 = dynamic_cast<Visitor<CappedFlooredYoYInflationCoupon>*>(&v);
    if (v1 != 0)
        v1->visit(*this);
    else
        QuantLib::CappedFlooredYoYInflationCoupon::accept(v);
}

Member Data Documentation

addInflationNotional_

bool addInflationNotional_

private

Definition at line 79 of file yoyinflationcoupon.hpp.