InflationSwap Class Reference
[Financial instruments]

Abstract base class for inflation swaps. More...

#include <ql/instruments/inflationswap.hpp>

Inheritance diagram for InflationSwap:

List of all members.

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< YieldTermStructureyieldTS_
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 $ r(t) $ equals $ I(t)/I(t_0) - 1 $ where $ I $ if the index and $ t_0 $ is the base time, or year-on-year, i.e., $ r(t) = I(t)/I(t_p) - 1 $ where the previous time $ t_p $ is defined as $ t $ 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.