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Public Member Functions | Protected Attributes | List of all members
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, 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 &)
 
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 ()
 
- Public Member Functions inherited from Observable
 Observable ()
 
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (Observable &&)=delete
 
virtual ~Observable ()=default
 
void notifyObservers ()
 

Protected Attributes

Period swapObsLag_
 
Date maturity_
 
Calendar calendar_
 
BusinessDayConvention paymentConvention_
 
DayCounter dayCounter_
 
ext::shared_ptr< YoYInflationIndexyii_
 
ext::shared_ptr< YearOnYearInflationSwapyyiis_
 
Handle< YieldTermStructurenominalTermStructure_
 
- Protected Attributes inherited from BootstrapHelper< YoYInflationTermStructure >
Handle< Quotequote_
 
YoYInflationTermStructuretermStructure_
 
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()

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 
)

Definition at line 111 of file inflationhelpers.cpp.

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Member Function Documentation

◆ setTermStructure()

void setTermStructure ( YoYInflationTermStructure y)
override

Definition at line 163 of file inflationhelpers.cpp.

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◆ impliedQuote()

Real impliedQuote ( ) const
overridevirtual

Member Data Documentation

◆ swapObsLag_

Period swapObsLag_
protected

Definition at line 81 of file inflationhelpers.hpp.

◆ maturity_

Date maturity_
protected

Definition at line 82 of file inflationhelpers.hpp.

◆ calendar_

Calendar calendar_
protected

Definition at line 83 of file inflationhelpers.hpp.

◆ paymentConvention_

BusinessDayConvention paymentConvention_
protected

Definition at line 84 of file inflationhelpers.hpp.

◆ dayCounter_

DayCounter dayCounter_
protected

Definition at line 85 of file inflationhelpers.hpp.

◆ yii_

ext::shared_ptr<YoYInflationIndex> yii_
protected

Definition at line 86 of file inflationhelpers.hpp.

◆ yyiis_

ext::shared_ptr<YearOnYearInflationSwap> yyiis_
protected

Definition at line 87 of file inflationhelpers.hpp.

◆ nominalTermStructure_

Handle<YieldTermStructure> nominalTermStructure_
protected

Definition at line 88 of file inflationhelpers.hpp.