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Public Member Functions | List of all members
YoYInflationCoupon Class Reference

Coupon paying a YoY-inflation type index More...

#include <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< InflationCouponPricerpricer () 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 DateaccrualStartDate () const
 start of the accrual period More...
 
const DateaccrualEndDate () const
 end of the accrual period More...
 
const DatereferencePeriodStart () const
 start date of the reference period More...
 
const DatereferencePeriodEnd () 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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (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 &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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< YoYInflationIndexyoyIndex_
 
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< InflationCouponPricerpricer_
 
ext::shared_ptr< InflationIndexindex_
 
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

Definition at line 82 of file yoyinflationcoupon.hpp.

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◆ yoyIndex()

const ext::shared_ptr< YoYInflationIndex > & yoyIndex ( ) const

Definition at line 78 of file yoyinflationcoupon.hpp.

◆ accept()

void accept ( AcyclicVisitor v)
overridevirtual

Reimplemented from InflationCoupon.

Definition at line 48 of file yoyinflationcoupon.cpp.

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◆ checkPricerImpl()

bool checkPricerImpl ( const ext::shared_ptr< InflationCouponPricer > &  ) const
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_

ext::shared_ptr<YoYInflationIndex> yoyIndex_
private

Definition at line 69 of file yoyinflationcoupon.hpp.

◆ gearing_

Real gearing_
protected

Definition at line 72 of file yoyinflationcoupon.hpp.

◆ spread_

Spread spread_
protected

Definition at line 73 of file yoyinflationcoupon.hpp.