ZeroCouponInflationSwap Class Reference

Zero-coupon inflation-indexed swap. More...

#include <ql/instruments/zerocouponinflationswap.hpp>

Inheritance diagram for ZeroCouponInflationSwap:

List of all members.

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 $ \tilde{K} $ such that NPV = 0.
Inspectors
Rate fixedRate () const
 $ K $ in the above formula.

Protected Member Functions

Instrument interface
void performCalculations () const

Protected Attributes

Rate fixedRate_
Handle
< ZeroInflationTermStructure
inflationTS_


Detailed Description

Zero-coupon inflation-indexed swap.

Quoted as a fixed rate $ K $. At start:

\[ P_n(0,T) N [(1+K)^{T}-1] = P_n(0,T) N \left[ \frac{I(T)}{I(0)} -1 \right] \]

where $ T $ is the maturity time, $ P_n(0,t) $ is the nominal discount factor at time $ t $, $ N $ is the notional, and $ I(t) $ is the inflation index value at time $ t $.


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.