QuantLib: a free/open-source library for quantitative finance
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Public Member Functions | Private Attributes | List of all members
MakeYoYInflationCapFloor Class Reference

helper class More...

#include <ql/instruments/makeyoyinflationcapfloor.hpp>

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Public Member Functions

 MakeYoYInflationCapFloor (YoYInflationCapFloor::Type capFloorType, ext::shared_ptr< YoYInflationIndex > index, const Size &length, Calendar cal, const Period &observationLag)
 
MakeYoYInflationCapFloorwithNominal (Real n)
 
MakeYoYInflationCapFloorwithEffectiveDate (const Date &effectiveDate)
 
MakeYoYInflationCapFloorwithFirstCapletExcluded ()
 
MakeYoYInflationCapFloorwithPaymentDayCounter (const DayCounter &)
 
MakeYoYInflationCapFloorwithPaymentAdjustment (BusinessDayConvention)
 
MakeYoYInflationCapFloorwithFixingDays (Natural fixingDays)
 
MakeYoYInflationCapFloorwithPricingEngine (const ext::shared_ptr< PricingEngine > &engine)
 
MakeYoYInflationCapFloorasOptionlet (bool b=true)
 only get last coupon More...
 
MakeYoYInflationCapFloorwithStrike (Rate strike)
 
MakeYoYInflationCapFloorwithAtmStrike (const Handle< YieldTermStructure > &nominalTermStructure)
 
MakeYoYInflationCapFloorwithForwardStart (Period forwardStart)
 
 operator YoYInflationCapFloor () const
 
 operator ext::shared_ptr< YoYInflationCapFloor > () const
 

Private Attributes

YoYInflationCapFloor::Type capFloorType_
 
Size length_
 
Calendar calendar_
 
ext::shared_ptr< YoYInflationIndexindex_
 
Period observationLag_
 
Rate strike_
 
bool firstCapletExcluded_ = false
 
bool asOptionlet_ = false
 
Date effectiveDate_
 
Period forwardStart_
 
DayCounter dayCounter_
 
BusinessDayConvention roll_ = ModifiedFollowing
 
Natural fixingDays_ = 0
 
Real nominal_ = 1000000.0
 
Handle< YieldTermStructurenominalTermStructure_
 
ext::shared_ptr< PricingEngineengine_
 

Detailed Description

helper class

This class provides a more comfortable way to instantiate standard yoy inflation cap and floor.

Definition at line 38 of file makeyoyinflationcapfloor.hpp.

Constructor & Destructor Documentation

◆ MakeYoYInflationCapFloor()

MakeYoYInflationCapFloor ( YoYInflationCapFloor::Type  capFloorType,
ext::shared_ptr< YoYInflationIndex index,
const Size length,
Calendar  cal,
const Period observationLag 
)

Definition at line 29 of file makeyoyinflationcapfloor.cpp.

Member Function Documentation

◆ withNominal()

MakeYoYInflationCapFloor & withNominal ( Real  n)

Definition at line 89 of file makeyoyinflationcapfloor.cpp.

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◆ withEffectiveDate()

MakeYoYInflationCapFloor & withEffectiveDate ( const Date effectiveDate)

Definition at line 94 of file makeyoyinflationcapfloor.cpp.

◆ withFirstCapletExcluded()

MakeYoYInflationCapFloor & withFirstCapletExcluded ( )

◆ withPaymentDayCounter()

MakeYoYInflationCapFloor & withPaymentDayCounter ( const DayCounter dc)

Definition at line 107 of file makeyoyinflationcapfloor.cpp.

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◆ withPaymentAdjustment()

MakeYoYInflationCapFloor & withPaymentAdjustment ( BusinessDayConvention  bdc)

Definition at line 101 of file makeyoyinflationcapfloor.cpp.

◆ withFixingDays()

MakeYoYInflationCapFloor & withFixingDays ( Natural  fixingDays)

Definition at line 113 of file makeyoyinflationcapfloor.cpp.

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◆ withPricingEngine()

MakeYoYInflationCapFloor & withPricingEngine ( const ext::shared_ptr< PricingEngine > &  engine)

Definition at line 123 of file makeyoyinflationcapfloor.cpp.

◆ asOptionlet()

MakeYoYInflationCapFloor & asOptionlet ( bool  b = true)

only get last coupon

Definition at line 118 of file makeyoyinflationcapfloor.cpp.

◆ withStrike()

MakeYoYInflationCapFloor & withStrike ( Rate  strike)

Definition at line 130 of file makeyoyinflationcapfloor.cpp.

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◆ withAtmStrike()

MakeYoYInflationCapFloor & withAtmStrike ( const Handle< YieldTermStructure > &  nominalTermStructure)

Definition at line 137 of file makeyoyinflationcapfloor.cpp.

◆ withForwardStart()

MakeYoYInflationCapFloor & withForwardStart ( Period  forwardStart)

Definition at line 145 of file makeyoyinflationcapfloor.cpp.

◆ operator YoYInflationCapFloor()

operator YoYInflationCapFloor ( ) const

Definition at line 39 of file makeyoyinflationcapfloor.cpp.

◆ operator ext::shared_ptr< YoYInflationCapFloor >()

operator ext::shared_ptr< YoYInflationCapFloor > ( ) const

Definition at line 44 of file makeyoyinflationcapfloor.cpp.

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Member Data Documentation

◆ capFloorType_

YoYInflationCapFloor::Type capFloorType_
private

Definition at line 64 of file makeyoyinflationcapfloor.hpp.

◆ length_

Size length_
private

Definition at line 65 of file makeyoyinflationcapfloor.hpp.

◆ calendar_

Calendar calendar_
private

Definition at line 66 of file makeyoyinflationcapfloor.hpp.

◆ index_

ext::shared_ptr<YoYInflationIndex> index_
private

Definition at line 67 of file makeyoyinflationcapfloor.hpp.

◆ observationLag_

Period observationLag_
private

Definition at line 68 of file makeyoyinflationcapfloor.hpp.

◆ strike_

Rate strike_
private

Definition at line 69 of file makeyoyinflationcapfloor.hpp.

◆ firstCapletExcluded_

bool firstCapletExcluded_ = false
private

Definition at line 70 of file makeyoyinflationcapfloor.hpp.

◆ asOptionlet_

bool asOptionlet_ = false
private

Definition at line 70 of file makeyoyinflationcapfloor.hpp.

◆ effectiveDate_

Date effectiveDate_
private

Definition at line 71 of file makeyoyinflationcapfloor.hpp.

◆ forwardStart_

Period forwardStart_
private

Definition at line 72 of file makeyoyinflationcapfloor.hpp.

◆ dayCounter_

DayCounter dayCounter_
private

Definition at line 73 of file makeyoyinflationcapfloor.hpp.

◆ roll_

Definition at line 74 of file makeyoyinflationcapfloor.hpp.

◆ fixingDays_

Natural fixingDays_ = 0
private

Definition at line 75 of file makeyoyinflationcapfloor.hpp.

◆ nominal_

Real nominal_ = 1000000.0
private

Definition at line 76 of file makeyoyinflationcapfloor.hpp.

◆ nominalTermStructure_

Handle<YieldTermStructure> nominalTermStructure_
private

Definition at line 77 of file makeyoyinflationcapfloor.hpp.

◆ engine_

ext::shared_ptr<PricingEngine> engine_
private

Definition at line 79 of file makeyoyinflationcapfloor.hpp.