YoYInflationCoupon Class Reference

#include <qle/cashflows/yoyinflationcoupon.hpp>

Inheritance diagram for YoYInflationCoupon:

Collaboration diagram for YoYInflationCoupon:

Public Member Functions
	YoYInflationCoupon (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 Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), bool addInflationNotional=false)
Rate	rate () const override

Visitability
bool	addInflationNotional_
virtual void	accept (AcyclicVisitor &) override

Detailed Description

Extend the QuantLib YoYInflationCoupon, now the payoff is based on growth only (default behaviour) (I_t / I_{t-1} - 1) or I_t / I_{t-1}

Definition at line 39 of file yoyinflationcoupon.hpp.

Constructor & Destructor Documentation

YoYInflationCoupon()

YoYInflationCoupon	(	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 Date &	refPeriodStart = Date(),
		const Date &	refPeriodEnd = Date(),
		bool	addInflationNotional = false
	)

Definition at line 27 of file yoyinflationcoupon.cpp.

    : QuantLib::YoYInflationCoupon(paymentDate, nominal, startDate, endDate, fixingDays, index, observationLag,
                                   dayCounter, gearing, spread, refPeriodStart, refPeriodEnd),
      addInflationNotional_(addInflationNotional) {}

Member Function Documentation

rate()

Rate rate ( ) const

override

Definition at line 44 of file yoyinflationcoupon.cpp.

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

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented in StrippedCappedFlooredYoYInflationCoupon.

Definition at line 36 of file yoyinflationcoupon.cpp.

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

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Member Data Documentation

addInflationNotional_

bool addInflationNotional_

private

Definition at line 57 of file yoyinflationcoupon.hpp.