ZeroCouponInflationSwap Class Reference
#include <ql/instruments/zerocouponinflationswap.hpp>
Inheritance diagram for ZeroCouponInflationSwap:

Detailed Description
Zero-coupon inflation-indexed swap.
Quoted as a fixed rate . At start:
where is the maturity time,
is the nominal discount factor at time
,
is the notional, and
is the inflation index value at time
.
Public Member Functions | |
ZeroCouponInflationSwap (const Date &start, const Date &maturity, const Period &lag, Rate fixedRate, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS, const Handle< ZeroInflationTermStructure > &inflationTS) | |
Instrument interface | |
bool | isExpired () const |
returns whether the instrument is still tradable. | |
InflationSwap interface | |
Rate | fairRate () const |
the rate ![]() | |
Inspectors | |
Rate | fixedRate () const |
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Protected Member Functions | |
Instrument interface | |
void | performCalculations () const |
Protected Attributes | |
Rate | fixedRate_ |
Handle < ZeroInflationTermStructure > | inflationTS_ |
Member Function Documentation
void performCalculations | ( | ) | const [protected, virtual] |
In case a pricing engine is not used, this method must be overridden to perform the actual calculations and set any needed results. In case a pricing engine is used, the default implementation can be used.
Reimplemented from Instrument.