26#ifndef quantlib_xxxzciis_hpp
27#define quantlib_xxxzciis_hpp
81 const ext::shared_ptr<ZeroInflationIndex>& infIndex,
84 bool adjustInfObsDates =
false,
153 ZeroCouponInflationSwap::results> {};
template base class for option pricing engines
Zero-coupon inflation-indexed swap.
Rate fixedRate() const
in the above formula.
BusinessDayConvention infConvention_
ext::shared_ptr< ZeroInflationIndex > inflationIndex() const
Calendar fixedCalendar() const
Date startDate() const override
CPI::InterpolationType observationInterpolation() const
Calendar inflationCalendar() const
bool adjustObservationDates() const
Real inflationLegNPV() const
Period observationLag() const
BusinessDayConvention fixedConvention() const
CPI::InterpolationType observationInterpolation_
const Leg & fixedLeg() const
just one cashflow (that is not a coupon) in each leg
BusinessDayConvention inflationConvention() const
Date maturityDate() const override
ext::shared_ptr< ZeroInflationIndex > infIndex_
DayCounter dayCounter() const
Type type() const
"Payer" or "Receiver" refers to the inflation leg
BusinessDayConvention fixConvention_
const Leg & inflationLeg() const
just one cashflow (that is not a coupon) in each leg
BusinessDayConvention
Business Day conventions.
base classes for inflation indexes
std::vector< ext::shared_ptr< CashFlow > > Leg
Sequence of cash-flows.
InterpolationType
when you observe an index, how do you interpolate between fixings?