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fully annotated source code - version 1.34
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Public Member Functions | Private Attributes | List of all members
yoyInflationLeg Class Reference

#include <yoyinflationcoupon.hpp>

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Public Member Functions

 yoyInflationLeg (Schedule schedule, Calendar cal, ext::shared_ptr< YoYInflationIndex > index, const Period &observationLag)
 
yoyInflationLegwithNotionals (Real notional)
 
yoyInflationLegwithNotionals (const std::vector< Real > &notionals)
 
yoyInflationLegwithPaymentDayCounter (const DayCounter &)
 
yoyInflationLegwithPaymentAdjustment (BusinessDayConvention)
 
yoyInflationLegwithFixingDays (Natural fixingDays)
 
yoyInflationLegwithFixingDays (const std::vector< Natural > &fixingDays)
 
yoyInflationLegwithGearings (Real gearing)
 
yoyInflationLegwithGearings (const std::vector< Real > &gearings)
 
yoyInflationLegwithSpreads (Spread spread)
 
yoyInflationLegwithSpreads (const std::vector< Spread > &spreads)
 
yoyInflationLegwithCaps (Rate cap)
 
yoyInflationLegwithCaps (const std::vector< Rate > &caps)
 
yoyInflationLegwithFloors (Rate floor)
 
yoyInflationLegwithFloors (const std::vector< Rate > &floors)
 
 operator Leg () const
 

Private Attributes

Schedule schedule_
 
ext::shared_ptr< YoYInflationIndexindex_
 
Period observationLag_
 
std::vector< Realnotionals_
 
DayCounter paymentDayCounter_
 
BusinessDayConvention paymentAdjustment_ = ModifiedFollowing
 
Calendar paymentCalendar_
 
std::vector< NaturalfixingDays_
 
std::vector< Realgearings_
 
std::vector< Spreadspreads_
 
std::vector< Ratecaps_
 
std::vector< Ratefloors_
 

Detailed Description

Helper class building a sequence of capped/floored yoy inflation coupons payoff is: spread + gearing x index

Definition at line 91 of file yoyinflationcoupon.hpp.

Constructor & Destructor Documentation

◆ yoyInflationLeg()

yoyInflationLeg ( Schedule  schedule,
Calendar  cal,
ext::shared_ptr< YoYInflationIndex index,
const Period observationLag 
)

Definition at line 64 of file yoyinflationcoupon.cpp.

Member Function Documentation

◆ withNotionals() [1/2]

yoyInflationLeg & withNotionals ( Real  notional)

Definition at line 72 of file yoyinflationcoupon.cpp.

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◆ withNotionals() [2/2]

yoyInflationLeg & withNotionals ( const std::vector< Real > &  notionals)

Definition at line 77 of file yoyinflationcoupon.cpp.

◆ withPaymentDayCounter()

yoyInflationLeg & withPaymentDayCounter ( const DayCounter dayCounter)

Definition at line 82 of file yoyinflationcoupon.cpp.

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◆ withPaymentAdjustment()

yoyInflationLeg & withPaymentAdjustment ( BusinessDayConvention  convention)

Definition at line 87 of file yoyinflationcoupon.cpp.

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◆ withFixingDays() [1/2]

yoyInflationLeg & withFixingDays ( Natural  fixingDays)

Definition at line 92 of file yoyinflationcoupon.cpp.

◆ withFixingDays() [2/2]

yoyInflationLeg & withFixingDays ( const std::vector< Natural > &  fixingDays)

Definition at line 97 of file yoyinflationcoupon.cpp.

◆ withGearings() [1/2]

yoyInflationLeg & withGearings ( Real  gearing)

Definition at line 102 of file yoyinflationcoupon.cpp.

◆ withGearings() [2/2]

yoyInflationLeg & withGearings ( const std::vector< Real > &  gearings)

Definition at line 107 of file yoyinflationcoupon.cpp.

◆ withSpreads() [1/2]

yoyInflationLeg & withSpreads ( Spread  spread)

Definition at line 112 of file yoyinflationcoupon.cpp.

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◆ withSpreads() [2/2]

yoyInflationLeg & withSpreads ( const std::vector< Spread > &  spreads)

Definition at line 117 of file yoyinflationcoupon.cpp.

◆ withCaps() [1/2]

yoyInflationLeg & withCaps ( Rate  cap)

Definition at line 122 of file yoyinflationcoupon.cpp.

◆ withCaps() [2/2]

yoyInflationLeg & withCaps ( const std::vector< Rate > &  caps)

Definition at line 127 of file yoyinflationcoupon.cpp.

◆ withFloors() [1/2]

yoyInflationLeg & withFloors ( Rate  floor)

Definition at line 132 of file yoyinflationcoupon.cpp.

◆ withFloors() [2/2]

yoyInflationLeg & withFloors ( const std::vector< Rate > &  floors)

Definition at line 137 of file yoyinflationcoupon.cpp.

◆ operator Leg()

operator Leg ( ) const

Definition at line 143 of file yoyinflationcoupon.cpp.

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Member Data Documentation

◆ schedule_

Schedule schedule_
private

Definition at line 113 of file yoyinflationcoupon.hpp.

◆ index_

ext::shared_ptr<YoYInflationIndex> index_
private

Definition at line 114 of file yoyinflationcoupon.hpp.

◆ observationLag_

Period observationLag_
private

Definition at line 115 of file yoyinflationcoupon.hpp.

◆ notionals_

std::vector<Real> notionals_
private

Definition at line 116 of file yoyinflationcoupon.hpp.

◆ paymentDayCounter_

DayCounter paymentDayCounter_
private

Definition at line 117 of file yoyinflationcoupon.hpp.

◆ paymentAdjustment_

BusinessDayConvention paymentAdjustment_ = ModifiedFollowing
private

Definition at line 118 of file yoyinflationcoupon.hpp.

◆ paymentCalendar_

Calendar paymentCalendar_
private

Definition at line 119 of file yoyinflationcoupon.hpp.

◆ fixingDays_

std::vector<Natural> fixingDays_
private

Definition at line 120 of file yoyinflationcoupon.hpp.

◆ gearings_

std::vector<Real> gearings_
private

Definition at line 121 of file yoyinflationcoupon.hpp.

◆ spreads_

std::vector<Spread> spreads_
private

Definition at line 122 of file yoyinflationcoupon.hpp.

◆ caps_

std::vector<Rate> caps_
private

Definition at line 123 of file yoyinflationcoupon.hpp.

◆ floors_

std::vector<Rate> floors_
private

Definition at line 123 of file yoyinflationcoupon.hpp.