QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
|
Year-on-year inflation-swap bootstrap helper. More...
#include <inflationhelpers.hpp>
Public Member Functions | |
YearOnYearInflationSwapHelper (const Handle< Quote > "e, const Period &swapObsLag_, const Date &maturity, Calendar calendar, BusinessDayConvention paymentConvention, DayCounter dayCounter, ext::shared_ptr< YoYInflationIndex > yii, Handle< YieldTermStructure > nominalTermStructure) | |
void | setTermStructure (YoYInflationTermStructure *) override |
Real | impliedQuote () const override |
Public Member Functions inherited from BootstrapHelper< YoYInflationTermStructure > | |
BootstrapHelper (Handle< Quote > quote) | |
BootstrapHelper (Real quote) | |
~BootstrapHelper () override=default | |
const Handle< Quote > & | quote () const |
Real | quoteError () const |
virtual void | setTermStructure (YoYInflationTermStructure *) |
sets the term structure to be used for pricing More... | |
virtual Date | earliestDate () const |
earliest relevant date More... | |
virtual Date | maturityDate () const |
instrument's maturity date More... | |
virtual Date | latestRelevantDate () const |
latest relevant date More... | |
virtual Date | pillarDate () const |
pillar date More... | |
virtual Date | latestDate () const |
latest date More... | |
void | update () override |
virtual void | accept (AcyclicVisitor &) |
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 () |
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 () |
Protected Attributes | |
Period | swapObsLag_ |
Date | maturity_ |
Calendar | calendar_ |
BusinessDayConvention | paymentConvention_ |
DayCounter | dayCounter_ |
ext::shared_ptr< YoYInflationIndex > | yii_ |
ext::shared_ptr< YearOnYearInflationSwap > | yyiis_ |
Handle< YieldTermStructure > | nominalTermStructure_ |
Protected Attributes inherited from BootstrapHelper< YoYInflationTermStructure > | |
Handle< Quote > | quote_ |
YoYInflationTermStructure * | termStructure_ |
Date | earliestDate_ |
Date | latestDate_ |
Date | maturityDate_ |
Date | latestRelevantDate_ |
Date | pillarDate_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
typedef set_type::iterator | iterator |
Year-on-year inflation-swap bootstrap helper.
Definition at line 66 of file inflationhelpers.hpp.
YearOnYearInflationSwapHelper | ( | const Handle< Quote > & | quote, |
const Period & | swapObsLag_, | ||
const Date & | maturity, | ||
Calendar | calendar, | ||
BusinessDayConvention | paymentConvention, | ||
DayCounter | dayCounter, | ||
ext::shared_ptr< YoYInflationIndex > | yii, | ||
Handle< YieldTermStructure > | nominalTermStructure | ||
) |
|
override |
|
overridevirtual |
Implements BootstrapHelper< YoYInflationTermStructure >.
Definition at line 157 of file inflationhelpers.cpp.
|
protected |
Definition at line 81 of file inflationhelpers.hpp.
|
protected |
Definition at line 82 of file inflationhelpers.hpp.
|
protected |
Definition at line 83 of file inflationhelpers.hpp.
|
protected |
Definition at line 84 of file inflationhelpers.hpp.
|
protected |
Definition at line 85 of file inflationhelpers.hpp.
|
protected |
Definition at line 86 of file inflationhelpers.hpp.
|
protected |
Definition at line 87 of file inflationhelpers.hpp.
|
protected |
Definition at line 88 of file inflationhelpers.hpp.