YearOnYearInflationSwapHelper Class Reference

Year-on-year inflation-swap bootstrap helper. More...

#include <ql/termstructures/inflation/inflationhelpers.hpp>

Inheritance diagram for YearOnYearInflationSwapHelper:

List of all members.

Public Member Functions

 YearOnYearInflationSwapHelper (const Handle< Quote > &quote, const Period &swapObsLag_, const Date &maturity, const Calendar &calendar, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, const boost::shared_ptr< YoYInflationIndex > yii)
void setTermStructure (YoYInflationTermStructure *)
Real impliedQuote () const

Protected Attributes

Period swapObsLag_
Date maturity_
Calendar calendar_
BusinessDayConvention paymentConvention_
DayCounter dayCounter_
boost::shared_ptr
< YoYInflationIndex
yii_
boost::shared_ptr
< YearOnYearInflationSwap
yyiis_


Detailed Description

Year-on-year inflation-swap bootstrap helper.