InflationSwap Class Reference
[Financial instruments]
Abstract base class for inflation swaps.
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#include <ql/instruments/inflationswap.hpp>
Inheritance diagram for InflationSwap:

Public Member Functions | |
InflationSwap (const Date &start, const Date &maturity, const Period &lag, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS) | |
the constructor sets common data members | |
virtual Rate | fairRate () const =0 |
Inspectors | |
Date | baseDate () const |
Period | lag () const |
Date | startDate () const |
Date | maturityDate () const |
Calendar | calendar () const |
BusinessDayConvention | businessDayConvention () const |
DayCounter | dayCounter () const |
Protected Attributes | |
Date | start_ |
Date | maturity_ |
Period | lag_ |
Calendar | calendar_ |
BusinessDayConvention | bdc_ |
DayCounter | dayCounter_ |
Handle< YieldTermStructure > | yieldTS_ |
Date | baseDate_ |
Detailed Description
Abstract base class for inflation swaps.
Inflation swaps need two term structures: a yield curve, and an inflation term structure (either zero-based, i.e., the rate equals
where
if the index and
is the base time, or year-on-year, i.e.,
where the previous time
is defined as
minus one year.)
Member Function Documentation
Date baseDate | ( | ) | const |
The inflation rate is taken relative to the base date, which is a lag period before the start date of the swap.