QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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helper class More...
#include <ql/instruments/makeyoyinflationcapfloor.hpp>
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YoYInflationCapFloor::Type | capFloorType_ |
Size | length_ |
Calendar | calendar_ |
ext::shared_ptr< YoYInflationIndex > | index_ |
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< YieldTermStructure > | nominalTermStructure_ |
ext::shared_ptr< PricingEngine > | engine_ |
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.
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.
MakeYoYInflationCapFloor & withNominal | ( | Real | n | ) |
Definition at line 89 of file makeyoyinflationcapfloor.cpp.
MakeYoYInflationCapFloor & withEffectiveDate | ( | const Date & | effectiveDate | ) |
Definition at line 94 of file makeyoyinflationcapfloor.cpp.
MakeYoYInflationCapFloor & withFirstCapletExcluded | ( | ) |
MakeYoYInflationCapFloor & withPaymentDayCounter | ( | const DayCounter & | dc | ) |
Definition at line 107 of file makeyoyinflationcapfloor.cpp.
MakeYoYInflationCapFloor & withPaymentAdjustment | ( | BusinessDayConvention | bdc | ) |
Definition at line 101 of file makeyoyinflationcapfloor.cpp.
MakeYoYInflationCapFloor & withFixingDays | ( | Natural | fixingDays | ) |
Definition at line 113 of file makeyoyinflationcapfloor.cpp.
MakeYoYInflationCapFloor & withPricingEngine | ( | const ext::shared_ptr< PricingEngine > & | engine | ) |
Definition at line 123 of file makeyoyinflationcapfloor.cpp.
MakeYoYInflationCapFloor & asOptionlet | ( | bool | b = true | ) |
only get last coupon
Definition at line 118 of file makeyoyinflationcapfloor.cpp.
MakeYoYInflationCapFloor & withStrike | ( | Rate | strike | ) |
Definition at line 130 of file makeyoyinflationcapfloor.cpp.
MakeYoYInflationCapFloor & withAtmStrike | ( | const Handle< YieldTermStructure > & | nominalTermStructure | ) |
Definition at line 137 of file makeyoyinflationcapfloor.cpp.
MakeYoYInflationCapFloor & withForwardStart | ( | Period | forwardStart | ) |
Definition at line 145 of file makeyoyinflationcapfloor.cpp.
operator YoYInflationCapFloor | ( | ) | const |
Definition at line 39 of file makeyoyinflationcapfloor.cpp.
operator ext::shared_ptr< YoYInflationCapFloor > | ( | ) | const |
Definition at line 44 of file makeyoyinflationcapfloor.cpp.
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Definition at line 64 of file makeyoyinflationcapfloor.hpp.
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Definition at line 65 of file makeyoyinflationcapfloor.hpp.
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Definition at line 66 of file makeyoyinflationcapfloor.hpp.
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Definition at line 67 of file makeyoyinflationcapfloor.hpp.
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Definition at line 68 of file makeyoyinflationcapfloor.hpp.
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Definition at line 69 of file makeyoyinflationcapfloor.hpp.
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Definition at line 70 of file makeyoyinflationcapfloor.hpp.
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Definition at line 70 of file makeyoyinflationcapfloor.hpp.
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Definition at line 71 of file makeyoyinflationcapfloor.hpp.
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Definition at line 72 of file makeyoyinflationcapfloor.hpp.
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Definition at line 73 of file makeyoyinflationcapfloor.hpp.
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Definition at line 74 of file makeyoyinflationcapfloor.hpp.
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Definition at line 75 of file makeyoyinflationcapfloor.hpp.
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Definition at line 76 of file makeyoyinflationcapfloor.hpp.
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Definition at line 77 of file makeyoyinflationcapfloor.hpp.
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Definition at line 79 of file makeyoyinflationcapfloor.hpp.