QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Coupon paying a YoY-inflation type index More...
#include <yoyinflationcoupon.hpp>
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()) | |
Inspectors | |
Real | gearing () const |
index gearing, i.e. multiplicative coefficient for the index More... | |
Spread | spread () const |
spread paid over the fixing of the underlying index More... | |
Rate | adjustedFixing () const |
const ext::shared_ptr< YoYInflationIndex > & | yoyIndex () const |
Public Member Functions inherited from InflationCoupon | |
InflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, ext::shared_ptr< InflationIndex > index, const Period &observationLag, DayCounter dayCounter, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date()) | |
Real | amount () const override |
returns the amount of the cash flow More... | |
Real | price (const Handle< YieldTermStructure > &discountingCurve) const |
DayCounter | dayCounter () const override |
day counter for accrual calculation More... | |
Real | accruedAmount (const Date &) const override |
accrued amount at the given date More... | |
Rate | rate () const override |
accrued rate More... | |
const ext::shared_ptr< InflationIndex > & | index () const |
yoy inflation index More... | |
Period | observationLag () const |
how the coupon observes the index More... | |
Natural | fixingDays () const |
fixing days More... | |
virtual Date | fixingDate () const |
fixing date More... | |
virtual Rate | indexFixing () const |
fixing of the underlying index, as observed by the coupon More... | |
void | performCalculations () const override |
void | setPricer (const ext::shared_ptr< InflationCouponPricer > &) |
ext::shared_ptr< InflationCouponPricer > | pricer () const |
Public Member Functions inherited from Coupon | |
Coupon (const Date &paymentDate, Real nominal, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date()) | |
Date | date () const override |
Date | exCouponDate () const override |
returns the date that the cash flow trades exCoupon More... | |
virtual Real | nominal () const |
const Date & | accrualStartDate () const |
start of the accrual period More... | |
const Date & | accrualEndDate () const |
end of the accrual period More... | |
const Date & | referencePeriodStart () const |
start date of the reference period More... | |
const Date & | referencePeriodEnd () const |
end date of the reference period More... | |
Time | accrualPeriod () const |
accrual period as fraction of year More... | |
Date::serial_type | accrualDays () const |
accrual period in days More... | |
Time | accruedPeriod (const Date &) const |
accrued period as fraction of year at the given date More... | |
Date::serial_type | accruedDays (const Date &) const |
accrued days at the given date More... | |
Public Member Functions inherited from CashFlow | |
~CashFlow () override=default | |
bool | hasOccurred (const Date &refDate=Date(), ext::optional< bool > includeRefDate=ext::nullopt) const override |
returns true if an event has already occurred before a date More... | |
bool | tradingExCoupon (const Date &refDate=Date()) const |
returns true if the cashflow is trading ex-coupon on the refDate More... | |
Public Member Functions inherited from Event | |
~Event () override=default | |
Public Member Functions inherited from Observable | |
Observable () | |
Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
Observable (Observable &&)=delete | |
Observable & | operator= (Observable &&)=delete |
virtual | ~Observable ()=default |
void | notifyObservers () |
Public Member Functions inherited from LazyObject | |
LazyObject () | |
~LazyObject () override=default | |
void | update () override |
bool | isCalculated () const |
void | forwardFirstNotificationOnly () |
void | alwaysForwardNotifications () |
void | recalculate () |
void | freeze () |
void | unfreeze () |
Public Member Functions inherited from Observer | |
Observer ()=default | |
Observer (const Observer &) | |
Observer & | operator= (const Observer &) |
virtual | ~Observer () |
std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
void | registerWithObservables (const ext::shared_ptr< Observer > &) |
Size | unregisterWith (const ext::shared_ptr< Observable > &) |
void | unregisterWithAll () |
virtual void | update ()=0 |
virtual void | deepUpdate () |
Visitability | |
ext::shared_ptr< YoYInflationIndex > | yoyIndex_ |
Real | gearing_ |
Spread | spread_ |
void | accept (AcyclicVisitor &) override |
bool | checkPricerImpl (const ext::shared_ptr< InflationCouponPricer > &) const override |
makes sure you were given the correct type of pricer More... | |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Protected Member Functions inherited from InflationCoupon | |
Protected Member Functions inherited from LazyObject | |
virtual void | calculate () const |
Protected Attributes inherited from InflationCoupon | |
ext::shared_ptr< InflationCouponPricer > | pricer_ |
ext::shared_ptr< InflationIndex > | index_ |
Period | observationLag_ |
DayCounter | dayCounter_ |
Natural | fixingDays_ |
Real | rate_ |
Protected Attributes inherited from Coupon | |
Date | paymentDate_ |
Real | nominal_ |
Date | accrualStartDate_ |
Date | accrualEndDate_ |
Date | refPeriodStart_ |
Date | refPeriodEnd_ |
Date | exCouponDate_ |
Real | accrualPeriod_ |
Protected Attributes inherited from LazyObject | |
bool | calculated_ = false |
bool | frozen_ = false |
bool | alwaysForward_ |
Coupon paying a YoY-inflation type index
Definition at line 35 of file yoyinflationcoupon.hpp.
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 , |
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Spread | spread = 0.0 , |
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const Date & | refPeriodStart = Date() , |
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const Date & | refPeriodEnd = Date() |
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) |
Definition at line 29 of file yoyinflationcoupon.cpp.
Real gearing | ( | ) | const |
index gearing, i.e. multiplicative coefficient for the index
Definition at line 54 of file yoyinflationcoupon.hpp.
Spread spread | ( | ) | const |
spread paid over the fixing of the underlying index
Definition at line 56 of file yoyinflationcoupon.hpp.
Rate adjustedFixing | ( | ) | const |
const ext::shared_ptr< YoYInflationIndex > & yoyIndex | ( | ) | const |
Definition at line 78 of file yoyinflationcoupon.hpp.
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overridevirtual |
Reimplemented from InflationCoupon.
Definition at line 48 of file yoyinflationcoupon.cpp.
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overrideprotectedvirtual |
makes sure you were given the correct type of pricer
Implements InflationCoupon.
Definition at line 57 of file yoyinflationcoupon.cpp.
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private |
Definition at line 69 of file yoyinflationcoupon.hpp.
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protected |
Definition at line 72 of file yoyinflationcoupon.hpp.
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protected |
Definition at line 73 of file yoyinflationcoupon.hpp.