InflationCoupon Class Reference
Base inflation-coupon class. More...
#include <ql/cashflows/inflationcoupon.hpp>
Inheritance diagram for InflationCoupon:

Public Member Functions | |
InflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const boost::shared_ptr< InflationIndex > &index, const Period &observationLag, const DayCounter &dayCounter, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date()) | |
void | setPricer (const boost::shared_ptr< InflationCouponPricer > &) |
boost::shared_ptr < InflationCouponPricer > | pricer () const |
CashFlow interface | |
Real | amount () const |
returns the amount of the cash flow | |
Coupon interface | |
Real | price (const Handle< YieldTermStructure > &discountingCurve) const |
DayCounter | dayCounter () const |
day counter for accrual calculation | |
Real | accruedAmount (const Date &) const |
accrued amount at the given date | |
Rate | rate () const |
accrued rate | |
Inspectors | |
const boost::shared_ptr < InflationIndex > & | index () const |
yoy inflation index | |
Period | observationLag () const |
how the coupon observes the index | |
Natural | fixingDays () const |
fixing days | |
virtual Date | fixingDate () const |
fixing date | |
virtual Rate | indexFixing () const |
fixing of the underlying index, as observed by the coupon | |
Observer interface | |
void | update () |
Visitability | |
virtual void | accept (AcyclicVisitor &) |
Protected Member Functions | |
virtual bool | checkPricerImpl (const boost::shared_ptr< InflationCouponPricer > &) const =0 |
makes sure you were given the correct type of pricer | |
Protected Attributes | |
boost::shared_ptr < InflationCouponPricer > | pricer_ |
boost::shared_ptr< InflationIndex > | index_ |
Period | observationLag_ |
DayCounter | dayCounter_ |
Natural | fixingDays_ |
Detailed Description
Base inflation-coupon class.
The day counter is usually obtained from the inflation term structure that the inflation index uses for forecasting. There is no gearing or spread because these are relevant for YoY coupons but not zero inflation coupons.
- Note:
- inflation indices do not contain day counters or calendars.
Member Function Documentation
Real amount | ( | ) | const [virtual] |
returns the amount of the cash flow
- Note:
- The amount is not discounted, i.e., it is the actual amount paid at the cash flow date.
Implements CashFlow.
void update | ( | ) | [virtual] |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Implements Observer.
Reimplemented in CappedFlooredYoYInflationCoupon.