QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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#include <yoyinflationcoupon.hpp>
Public Member Functions | |
yoyInflationLeg (Schedule schedule, Calendar cal, ext::shared_ptr< YoYInflationIndex > index, const Period &observationLag) | |
yoyInflationLeg & | withNotionals (Real notional) |
yoyInflationLeg & | withNotionals (const std::vector< Real > ¬ionals) |
yoyInflationLeg & | withPaymentDayCounter (const DayCounter &) |
yoyInflationLeg & | withPaymentAdjustment (BusinessDayConvention) |
yoyInflationLeg & | withFixingDays (Natural fixingDays) |
yoyInflationLeg & | withFixingDays (const std::vector< Natural > &fixingDays) |
yoyInflationLeg & | withGearings (Real gearing) |
yoyInflationLeg & | withGearings (const std::vector< Real > &gearings) |
yoyInflationLeg & | withSpreads (Spread spread) |
yoyInflationLeg & | withSpreads (const std::vector< Spread > &spreads) |
yoyInflationLeg & | withCaps (Rate cap) |
yoyInflationLeg & | withCaps (const std::vector< Rate > &caps) |
yoyInflationLeg & | withFloors (Rate floor) |
yoyInflationLeg & | withFloors (const std::vector< Rate > &floors) |
operator Leg () const | |
Private Attributes | |
Schedule | schedule_ |
ext::shared_ptr< YoYInflationIndex > | index_ |
Period | observationLag_ |
std::vector< Real > | notionals_ |
DayCounter | paymentDayCounter_ |
BusinessDayConvention | paymentAdjustment_ = ModifiedFollowing |
Calendar | paymentCalendar_ |
std::vector< Natural > | fixingDays_ |
std::vector< Real > | gearings_ |
std::vector< Spread > | spreads_ |
std::vector< Rate > | caps_ |
std::vector< Rate > | floors_ |
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.
yoyInflationLeg | ( | Schedule | schedule, |
Calendar | cal, | ||
ext::shared_ptr< YoYInflationIndex > | index, | ||
const Period & | observationLag | ||
) |
Definition at line 64 of file yoyinflationcoupon.cpp.
yoyInflationLeg & withNotionals | ( | Real | notional | ) |
yoyInflationLeg & withNotionals | ( | const std::vector< Real > & | notionals | ) |
Definition at line 77 of file yoyinflationcoupon.cpp.
yoyInflationLeg & withPaymentDayCounter | ( | const DayCounter & | dayCounter | ) |
yoyInflationLeg & withPaymentAdjustment | ( | BusinessDayConvention | convention | ) |
yoyInflationLeg & withFixingDays | ( | Natural | fixingDays | ) |
Definition at line 92 of file yoyinflationcoupon.cpp.
yoyInflationLeg & withFixingDays | ( | const std::vector< Natural > & | fixingDays | ) |
Definition at line 97 of file yoyinflationcoupon.cpp.
yoyInflationLeg & withGearings | ( | Real | gearing | ) |
Definition at line 102 of file yoyinflationcoupon.cpp.
yoyInflationLeg & withGearings | ( | const std::vector< Real > & | gearings | ) |
Definition at line 107 of file yoyinflationcoupon.cpp.
yoyInflationLeg & withSpreads | ( | Spread | spread | ) |
yoyInflationLeg & withSpreads | ( | const std::vector< Spread > & | spreads | ) |
Definition at line 117 of file yoyinflationcoupon.cpp.
yoyInflationLeg & withCaps | ( | Rate | cap | ) |
Definition at line 122 of file yoyinflationcoupon.cpp.
yoyInflationLeg & withCaps | ( | const std::vector< Rate > & | caps | ) |
Definition at line 127 of file yoyinflationcoupon.cpp.
yoyInflationLeg & withFloors | ( | Rate | floor | ) |
Definition at line 132 of file yoyinflationcoupon.cpp.
yoyInflationLeg & withFloors | ( | const std::vector< Rate > & | floors | ) |
Definition at line 137 of file yoyinflationcoupon.cpp.
operator Leg | ( | ) | const |
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Definition at line 113 of file yoyinflationcoupon.hpp.
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Definition at line 114 of file yoyinflationcoupon.hpp.
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Definition at line 115 of file yoyinflationcoupon.hpp.
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Definition at line 116 of file yoyinflationcoupon.hpp.
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Definition at line 117 of file yoyinflationcoupon.hpp.
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Definition at line 118 of file yoyinflationcoupon.hpp.
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Definition at line 119 of file yoyinflationcoupon.hpp.
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Definition at line 120 of file yoyinflationcoupon.hpp.
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Definition at line 121 of file yoyinflationcoupon.hpp.
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Definition at line 122 of file yoyinflationcoupon.hpp.
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Definition at line 123 of file yoyinflationcoupon.hpp.
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Definition at line 123 of file yoyinflationcoupon.hpp.