YearOnYearInflationSwapHelper Class Reference

Year-on-year inflation-swap bootstrap helper. More...

#include <inflationhelpers.hpp>

Inheritance diagram for YearOnYearInflationSwapHelper:

Collaboration diagram for YearOnYearInflationSwapHelper:

Public Member Functions
	YearOnYearInflationSwapHelper (const Handle< Quote > &quote, const Period &swapObsLag_, const Date &maturity, Calendar calendar, BusinessDayConvention paymentConvention, DayCounter dayCounter, ext::shared_ptr< YoYInflationIndex > yii, CPI::InterpolationType interpolation, Handle< YieldTermStructure > nominalTermStructure)
	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)
void	setTermStructure (YoYInflationTermStructure *) override
Real	impliedQuote () const override
Public Member Functions inherited from BootstrapHelper< YoYInflationTermStructure >
	BootstrapHelper (const std::variant< Spread, Handle< Quote > > &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 ()=default
	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_
CPI::InterpolationType	interpolation_
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

Detailed Description

Year-on-year inflation-swap bootstrap helper.

Definition at line 66 of file inflationhelpers.hpp.

Constructor & Destructor Documentation

YearOnYearInflationSwapHelper() [1/2]

YearOnYearInflationSwapHelper	(	const Handle< Quote > &	quote,
		const Period &	swapObsLag_,
		const Date &	maturity,
		Calendar	calendar,
		BusinessDayConvention	paymentConvention,
		DayCounter	dayCounter,
		ext::shared_ptr< YoYInflationIndex >	yii,
		CPI::InterpolationType	interpolation,
		Handle< YieldTermStructure >	nominalTermStructure
	)

Definition at line 111 of file inflationhelpers.cpp.

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YearOnYearInflationSwapHelper() [2/2]

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
	)

Deprecated:

Use the overload that passes an interpolation type instead. Deprecated in version 1.36.

Definition at line 154 of file inflationhelpers.cpp.

Member Function Documentation

setTermStructure()

void setTermStructure ( YoYInflationTermStructure *  y )

override

Definition at line 173 of file inflationhelpers.cpp.

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impliedQuote()

Real impliedQuote ( ) const

overridevirtual

Implements BootstrapHelper< YoYInflationTermStructure >.

Definition at line 167 of file inflationhelpers.cpp.

Member Data Documentation

swapObsLag_

Period swapObsLag_

protected

Definition at line 95 of file inflationhelpers.hpp.

maturity_

Date maturity_

protected

Definition at line 96 of file inflationhelpers.hpp.

calendar_

Calendar calendar_

protected

Definition at line 97 of file inflationhelpers.hpp.

paymentConvention_

BusinessDayConvention paymentConvention_

protected

Definition at line 98 of file inflationhelpers.hpp.

dayCounter_

DayCounter dayCounter_

protected

Definition at line 99 of file inflationhelpers.hpp.

yii_

ext::shared_ptr<YoYInflationIndex> yii_

protected

Definition at line 100 of file inflationhelpers.hpp.

interpolation_

CPI::InterpolationType interpolation_

protected

Definition at line 101 of file inflationhelpers.hpp.

yyiis_

ext::shared_ptr<YearOnYearInflationSwap> yyiis_

protected

Definition at line 102 of file inflationhelpers.hpp.

nominalTermStructure_

Handle<YieldTermStructure> nominalTermStructure_

protected

Definition at line 103 of file inflationhelpers.hpp.