QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Arguments for YoY Inflation cap/floor calculation More...
#include <ql/instruments/inflationcapfloor.hpp>
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 |
Arguments for YoY Inflation cap/floor calculation
Definition at line 133 of file inflationcapfloor.hpp.
arguments | ( | ) |
Definition at line 136 of file inflationcapfloor.hpp.
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overridevirtual |
Implements PricingEngine::arguments.
Definition at line 181 of file inflationcapfloor.cpp.
Definition at line 137 of file inflationcapfloor.hpp.
ext::shared_ptr<YoYInflationIndex> index |
Definition at line 138 of file inflationcapfloor.hpp.
Period observationLag |
Definition at line 139 of file inflationcapfloor.hpp.
std::vector<Date> startDates |
Definition at line 140 of file inflationcapfloor.hpp.
std::vector<Date> fixingDates |
Definition at line 141 of file inflationcapfloor.hpp.
std::vector<Date> payDates |
Definition at line 142 of file inflationcapfloor.hpp.
std::vector<Time> accrualTimes |
Definition at line 143 of file inflationcapfloor.hpp.
std::vector<Rate> capRates |
Definition at line 144 of file inflationcapfloor.hpp.
std::vector<Rate> floorRates |
Definition at line 145 of file inflationcapfloor.hpp.
std::vector<Real> gearings |
Definition at line 146 of file inflationcapfloor.hpp.
std::vector<Real> spreads |
Definition at line 147 of file inflationcapfloor.hpp.
std::vector<Real> nominals |
Definition at line 148 of file inflationcapfloor.hpp.