YoYInflationCapFloor::arguments Class Reference

Arguments for YoY Inflation cap/floor calculation More...

#include <inflationcapfloor.hpp>

Inheritance diagram for YoYInflationCapFloor::arguments:

Collaboration diagram for YoYInflationCapFloor::arguments:

Public Member Functions
	arguments ()
void	validate () const override
Public Member Functions inherited from PricingEngine::arguments
virtual	~arguments ()=default
virtual void	validate () const =0

Public Attributes
YoYInflationCapFloor::Type	type
ext::shared_ptr< YoYInflationIndex >	index
Period	observationLag
std::vector< Date >	startDates
std::vector< Date >	fixingDates
std::vector< Date >	payDates
std::vector< Time >	accrualTimes
std::vector< Rate >	capRates
std::vector< Rate >	floorRates
std::vector< Real >	gearings
std::vector< Real >	spreads
std::vector< Real >	nominals

Detailed Description

Arguments for YoY Inflation cap/floor calculation

Definition at line 133 of file inflationcapfloor.hpp.

Constructor & Destructor Documentation

arguments()

arguments

(

)

Definition at line 136 of file inflationcapfloor.hpp.

Member Function Documentation

validate()

void validate ( ) const

overridevirtual

Implements PricingEngine::arguments.

Definition at line 181 of file inflationcapfloor.cpp.

Member Data Documentation

type

YoYInflationCapFloor::Type type

Definition at line 137 of file inflationcapfloor.hpp.

index

ext::shared_ptr<YoYInflationIndex> index

Definition at line 138 of file inflationcapfloor.hpp.

observationLag

Period observationLag

Definition at line 139 of file inflationcapfloor.hpp.

startDates

std::vector<Date> startDates

Definition at line 140 of file inflationcapfloor.hpp.

fixingDates

std::vector<Date> fixingDates

Definition at line 141 of file inflationcapfloor.hpp.

payDates

std::vector<Date> payDates

Definition at line 142 of file inflationcapfloor.hpp.

accrualTimes

std::vector<Time> accrualTimes

Definition at line 143 of file inflationcapfloor.hpp.

capRates

std::vector<Rate> capRates

Definition at line 144 of file inflationcapfloor.hpp.

floorRates

std::vector<Rate> floorRates

Definition at line 145 of file inflationcapfloor.hpp.

gearings

std::vector<Real> gearings

Definition at line 146 of file inflationcapfloor.hpp.

spreads

std::vector<Real> spreads

Definition at line 147 of file inflationcapfloor.hpp.

nominals

std::vector<Real> nominals

Definition at line 148 of file inflationcapfloor.hpp.