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QuantLib::YoYInflationCoupon Class Reference

#include <yoyinflationcoupon.hpp>

Inheritance diagram for QuantLib::YoYInflationCoupon:

QuantLib::InflationCoupon QuantLib::Coupon QuantLib::Observer QuantLib::CashFlow QuantLib::Event QuantLib::Observable QuantLib::CappedFlooredYoYInflationCoupon

List of all members.

Detailed Description

Coupon paying a YoY-inflation type index

Definition at line 35 of file yoyinflationcoupon.hpp.

Public Member Functions

void notifyObservers ()
< InflationCouponPricer
pricer () const
void registerWith (const boost::shared_ptr< Observable > &)
void setPricer (const boost::shared_ptr< InflationCouponPricer > &)
void unregisterWith (const boost::shared_ptr< Observable > &)
 YoYInflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const boost::shared_ptr< YoYInflationIndex > &index, const Period &observationLag, const DayCounter &dayCounter, Real gearing=1.0, Spread spread=0.0, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date())
virtual void accept (AcyclicVisitor &)
BigInteger accrualDays () const
 accrual period in days
const DateaccrualEndDate () const
 end of the accrual period
Time accrualPeriod () const
 accrual period as fraction of year
const DateaccrualStartDate () const
 start of the accrual period
Real nominal () const
const DatereferencePeriodEnd () const
 end date of the reference period
const DatereferencePeriodStart () const
 start date of the reference period
Coupon interface
Real accruedAmount (const Date &) const
 accrued amount at the given date
DayCounter dayCounter () const
 day counter for accrual calculation
Real price (const Handle< YieldTermStructure > &discountingCurve) const
Rate rate () const
 accrued rate
Rate adjustedFixing () const
Real gearing () const
 index gearing, i.e. multiplicative coefficient for the index
Spread spread () const
 spread paid over the fixing of the underlying index
const boost::shared_ptr
< YoYInflationIndex > & 
yoyIndex () const
CashFlow interface
Real amount () const
 returns the amount of the cash flow
Event interface
Date date () const
virtual Date fixingDate () const
 fixing date
Natural fixingDays () const
 fixing days
const boost::shared_ptr
< InflationIndex > & 
index () const
 yoy inflation index
virtual Rate indexFixing () const
 fixing of the underlying index, as observed by the coupon
Period observationLag () const
 how the coupon observes the index
Event interface
bool hasOccurred (const Date &refDate=Date(), boost::optional< bool > includeRefDate=boost::none) const
 returns true if an event has already occurred before a date
Observer interface
void update ()

Protected Member Functions

bool checkPricerImpl (const boost::shared_ptr< InflationCouponPricer > &) const
 makes sure you were given the correct type of pricer

Protected Attributes

Date accrualEndDate_
Date accrualStartDate_
DayCounter dayCounter_
Natural fixingDays_
Real gearing_
boost::shared_ptr< InflationIndexindex_
Real nominal_
Period observationLag_
Date paymentDate_
< InflationCouponPricer
Date refPeriodEnd_
Date refPeriodStart_
Spread spread_

Private Attributes

< YoYInflationIndex

The documentation for this class was generated from the following files:

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