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Public Member Functions | List of all members
InflationCoupon Class Referenceabstract

Base inflation-coupon class. More...

#include <inflationcoupon.hpp>

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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 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< InflationCouponPricerpricer_
 
ext::shared_ptr< InflationIndexindex_
 
Period observationLag_
 
DayCounter dayCounter_
 
Natural fixingDays_
 
Real rate_
 
void accept (AcyclicVisitor &) override
 
void setPricer (const ext::shared_ptr< InflationCouponPricer > &)
 
ext::shared_ptr< InflationCouponPricerpricer () 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.