InflationCoupon Class Reference

Base inflation-coupon class. More...

#include <ql/cashflows/inflationcoupon.hpp>

Inheritance diagram for InflationCoupon:

Collaboration diagram for InflationCoupon:

Public Member Functions
	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())
CashFlow interface
Real	amount () const override
	returns the amount of the cash flow More...
Coupon interface
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...
Inspectors
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...
LazyObject interface
void	performCalculations () const override
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< InflationCouponPricer >	pricer_
ext::shared_ptr< InflationIndex >	index_
Period	observationLag_
DayCounter	dayCounter_
Natural	fixingDays_
Real	rate_
void	accept (AcyclicVisitor &) override
void	setPricer (const ext::shared_ptr< InflationCouponPricer > &)
ext::shared_ptr< InflationCouponPricer >	pricer () const
virtual bool	checkPricerImpl (const ext::shared_ptr< InflationCouponPricer > &) const =0
	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 LazyObject
virtual void	calculate () const
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

Base inflation-coupon class.

The day counter is usually obtained from the inflation term structure that the inflation index uses for forecasting. There is no gearing or spread because these are relevant for YoY coupons but not zero inflation coupons.

Note

inflation indices do not contain day counters or calendars.

Definition at line 46 of file inflationcoupon.hpp.

Constructor & Destructor Documentation

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()
	)

Definition at line 28 of file inflationcoupon.cpp.

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Member Function Documentation

amount()

Real amount ( ) const

overridevirtual

returns the amount of the cash flow

Note

The amount is not discounted, i.e., it is the actual amount paid at the cash flow date.

Implements CashFlow.

Definition at line 62 of file inflationcoupon.hpp.

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price()

Real price

(

const Handle< YieldTermStructure > &

discountingCurve

)

const

Definition at line 95 of file inflationcoupon.cpp.

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dayCounter()

DayCounter dayCounter ( ) const

overridevirtual

day counter for accrual calculation

Implements Coupon.

Definition at line 68 of file inflationcoupon.hpp.

accruedAmount()

Real accruedAmount ( const Date &  ) const

overridevirtual

accrued amount at the given date

Implements Coupon.

Definition at line 78 of file inflationcoupon.cpp.

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rate()

Rate rate ( ) const

overridevirtual

accrued rate

Implements Coupon.

Definition at line 64 of file inflationcoupon.cpp.

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index()

const ext::shared_ptr< InflationIndex > & index

(

)

const

yoy inflation index

Definition at line 76 of file inflationcoupon.hpp.

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observationLag()

Period observationLag

(

)

const

how the coupon observes the index

Definition at line 78 of file inflationcoupon.hpp.

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fixingDays()

Natural fixingDays

(

)

const

fixing days

Definition at line 80 of file inflationcoupon.hpp.

fixingDate()

Date fixingDate ( ) const

virtual

fixing date

Definition at line 87 of file inflationcoupon.cpp.

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indexFixing()

Rate indexFixing ( ) const

virtual

fixing of the underlying index, as observed by the coupon

Reimplemented in CPICoupon.

Definition at line 100 of file inflationcoupon.cpp.

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performCalculations()

void performCalculations ( ) const

overridevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Reimplemented from CashFlow.

Definition at line 69 of file inflationcoupon.cpp.

accept()

void accept ( AcyclicVisitor &  v )

overridevirtual

Reimplemented from Coupon.

Reimplemented in YoYInflationCoupon.

Definition at line 117 of file inflationcoupon.hpp.

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setPricer()

void setPricer

(

const ext::shared_ptr< InflationCouponPricer > &

pricer

)

Definition at line 53 of file inflationcoupon.cpp.

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pricer()

ext::shared_ptr< InflationCouponPricer > pricer

(

)

const

Definition at line 126 of file inflationcoupon.hpp.

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checkPricerImpl()

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

protectedpure virtual

makes sure you were given the correct type of pricer

Implemented in CPICoupon, and YoYInflationCoupon.

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Member Data Documentation

pricer_

ext::shared_ptr<InflationCouponPricer> pricer_

protected

Definition at line 100 of file inflationcoupon.hpp.

index_

ext::shared_ptr<InflationIndex> index_

protected

Definition at line 101 of file inflationcoupon.hpp.

observationLag_

Period observationLag_

protected

Definition at line 102 of file inflationcoupon.hpp.

dayCounter_

DayCounter dayCounter_

protected

Definition at line 103 of file inflationcoupon.hpp.

fixingDays_

Natural fixingDays_

protected

Definition at line 104 of file inflationcoupon.hpp.

rate_

Real rate_

mutableprotected

Definition at line 105 of file inflationcoupon.hpp.