25#ifndef quantlib_yyiis_hpp
26#define quantlib_yyiis_hpp
34 class YoYInflationIndex;
59 ext::shared_ptr<YoYInflationIndex> yoyIndex,
141 void reset()
override;
145 YearOnYearInflationSwap::results> {};
template base class for option pricing engines
template class providing a null value for a given type.
Arguments for YoY swap calculation
std::vector< Date > yoyPayDates
std::vector< Spread > yoySpreads
std::vector< Date > yoyFixingDates
std::vector< Date > yoyResetDates
std::vector< Date > fixedPayDates
std::vector< Time > yoyAccrualTimes
std::vector< Date > fixedResetDates
void validate() const override
std::vector< Real > yoyCoupons
std::vector< Real > fixedCoupons
Results from YoY swap calculation
Year-on-year inflation-indexed swap.
virtual Rate fixedRate() const
virtual const ext::shared_ptr< YoYInflationIndex > & yoyInflationIndex() const
virtual const DayCounter & fixedDayCount() const
virtual const Leg & yoyLeg() const
virtual Rate fairRate() const
virtual BusinessDayConvention paymentConvention() const
Calendar paymentCalendar_
virtual const Schedule & fixedSchedule() const
DayCounter fixedDayCount_
virtual Spread fairSpread() const
virtual Real yoyLegNPV() const
virtual Period observationLag() const
~YearOnYearInflationSwap() override=default
virtual Type type() const
virtual Real nominal() const
virtual const Schedule & yoySchedule() const
void setupArguments(PricingEngine::arguments *args) const override
BusinessDayConvention paymentConvention_
virtual const Leg & fixedLeg() const
void setupExpired() const override
void fetchResults(const PricingEngine::results *) const override
virtual const DayCounter & yoyDayCount() const
virtual Calendar paymentCalendar() const
ext::shared_ptr< YoYInflationIndex > yoyIndex_
virtual Real fixedLegNPV() const
virtual Spread spread() const
BusinessDayConvention
Business Day conventions.
Real Spread
spreads on interest rates
std::vector< ext::shared_ptr< CashFlow > > Leg
Sequence of cash-flows.