Coupon paying a YoY-inflation type index More...
#include <ql/cashflows/yoyinflationcoupon.hpp>
Inheritance diagram for YoYInflationCoupon:
Collaboration diagram for YoYInflationCoupon:
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_ |
Detailed Description
Coupon paying a YoY-inflation type index
Definition at line 35 of file yoyinflationcoupon.hpp.
Constructor & Destructor Documentation
◆ YoYInflationCoupon()
| 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() |
||
| ) |
Definition at line 29 of file yoyinflationcoupon.cpp.
Member Function Documentation
◆ gearing()
| Real gearing | ( | ) | const |
index gearing, i.e. multiplicative coefficient for the index
Definition at line 54 of file yoyinflationcoupon.hpp.
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◆ spread()
| Spread spread | ( | ) | const |
spread paid over the fixing of the underlying index
Definition at line 56 of file yoyinflationcoupon.hpp.
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◆ adjustedFixing()
| Rate adjustedFixing | ( | ) | const |
◆ yoyIndex()
| const ext::shared_ptr< YoYInflationIndex > & yoyIndex | ( | ) | const |
Definition at line 78 of file yoyinflationcoupon.hpp.
◆ accept()
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overridevirtual |
Reimplemented from InflationCoupon.
Definition at line 48 of file yoyinflationcoupon.cpp.
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◆ checkPricerImpl()
|
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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Member Data Documentation
◆ yoyIndex_
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private |
Definition at line 69 of file yoyinflationcoupon.hpp.
◆ gearing_
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protected |
Definition at line 72 of file yoyinflationcoupon.hpp.
◆ spread_
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protected |
Definition at line 73 of file yoyinflationcoupon.hpp.