QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Helper class building a sequence of capped/floored CPI coupons. More...
#include <cpicoupon.hpp>
Private Attributes | |
Schedule | schedule_ |
ext::shared_ptr< ZeroInflationIndex > | index_ |
Real | baseCPI_ |
Period | observationLag_ |
std::vector< Real > | notionals_ |
std::vector< Real > | fixedRates_ |
DayCounter | paymentDayCounter_ |
BusinessDayConvention | paymentAdjustment_ = ModifiedFollowing |
Calendar | paymentCalendar_ |
CPI::InterpolationType | observationInterpolation_ = CPI::AsIndex |
bool | subtractInflationNominal_ = true |
std::vector< Spread > | spreads_ |
std::vector< Rate > | caps_ |
std::vector< Rate > | floors_ |
Period | exCouponPeriod_ |
Calendar | exCouponCalendar_ |
BusinessDayConvention | exCouponAdjustment_ = Following |
bool | exCouponEndOfMonth_ = false |
Date | baseDate_ = Null<Date>() |
Helper class building a sequence of capped/floored CPI coupons.
Also allowing for the inflated notional at the end... especially if there is only one date in the schedule. If the fixed rate is zero you get a FixedRateCoupon, otherwise you get a ZeroInflationCoupon.
Definition at line 277 of file cpicoupon.hpp.
CPILeg | ( | Schedule | schedule, |
ext::shared_ptr< ZeroInflationIndex > | index, | ||
Real | baseCPI, | ||
const Period & | observationLag | ||
) |
Definition at line 258 of file cpicoupon.cpp.
Definition at line 289 of file cpicoupon.cpp.
Definition at line 279 of file cpicoupon.cpp.
CPILeg & withPaymentDayCounter | ( | const DayCounter & | dayCounter | ) |
CPILeg & withPaymentAdjustment | ( | BusinessDayConvention | convention | ) |
CPILeg & withObservationInterpolation | ( | CPI::InterpolationType | interp | ) |
Definition at line 314 of file cpicoupon.cpp.
Definition at line 319 of file cpicoupon.cpp.
Definition at line 324 of file cpicoupon.cpp.
Definition at line 329 of file cpicoupon.cpp.
Definition at line 334 of file cpicoupon.cpp.
Definition at line 339 of file cpicoupon.cpp.
CPILeg & withExCouponPeriod | ( | const Period & | period, |
const Calendar & | cal, | ||
BusinessDayConvention | convention, | ||
bool | endOfMonth = false |
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) |
Definition at line 356 of file cpicoupon.cpp.
operator Leg | ( | ) | const |
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Definition at line 315 of file cpicoupon.hpp.
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Definition at line 316 of file cpicoupon.hpp.
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Definition at line 317 of file cpicoupon.hpp.
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Definition at line 318 of file cpicoupon.hpp.
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Definition at line 319 of file cpicoupon.hpp.
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Definition at line 320 of file cpicoupon.hpp.
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Definition at line 321 of file cpicoupon.hpp.
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Definition at line 322 of file cpicoupon.hpp.
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Definition at line 323 of file cpicoupon.hpp.
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Definition at line 324 of file cpicoupon.hpp.
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Definition at line 325 of file cpicoupon.hpp.
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Definition at line 326 of file cpicoupon.hpp.
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Definition at line 327 of file cpicoupon.hpp.
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Definition at line 327 of file cpicoupon.hpp.
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Definition at line 328 of file cpicoupon.hpp.
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Definition at line 329 of file cpicoupon.hpp.
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Definition at line 330 of file cpicoupon.hpp.
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Definition at line 331 of file cpicoupon.hpp.
Definition at line 332 of file cpicoupon.hpp.