Year-on-year inflation-indexed swap. More...
#include <ql/instruments/yearonyearinflationswap.hpp>
 Inheritance diagram for YearOnYearInflationSwap:
 Inheritance diagram for YearOnYearInflationSwap:| Classes | |
| class | arguments | 
| Arguments for YoY swap calculation  More... | |
| class | results | 
| Results from YoY swap calculation  More... | |
| Public Types | |
| enum | Type { Receiver = -1, Payer = 1 } | 
|  Public Types inherited from Observer | |
| typedef std::set< boost::shared_ptr< Observable > > | set_type | 
| typedef set_type::iterator | iterator | 
| Public Member Functions | |
| YearOnYearInflationSwap (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &yoySchedule, const boost::shared_ptr< YoYInflationIndex > &yoyIndex, const Period &observationLag, Spread spread, const DayCounter &yoyDayCount, const Calendar &paymentCalendar, BusinessDayConvention paymentConvention=ModifiedFollowing) | |
| virtual Real | fixedLegNPV () const | 
| virtual Rate | fairRate () const | 
| virtual Real | yoyLegNPV () const | 
| virtual Spread | fairSpread () const | 
| virtual Type | type () const | 
| virtual Real | nominal () const | 
| virtual const Schedule & | fixedSchedule () const | 
| virtual Rate | fixedRate () const | 
| virtual const DayCounter & | fixedDayCount () const | 
| virtual const Schedule & | yoySchedule () const | 
| virtual const boost::shared_ptr< YoYInflationIndex > & | yoyInflationIndex () const | 
| virtual Period | observationLag () const | 
| virtual Spread | spread () const | 
| virtual const DayCounter & | yoyDayCount () const | 
| virtual Calendar | paymentCalendar () const | 
| virtual BusinessDayConvention | paymentConvention () const | 
| virtual const Leg & | fixedLeg () const | 
| virtual const Leg & | yoyLeg () const | 
| void | setupArguments (PricingEngine::arguments *args) const | 
| void | fetchResults (const PricingEngine::results *) const | 
|  Public Member Functions inherited from Swap | |
| Date | startDate () const | 
| Date | maturityDate () const | 
| Real | legBPS (Size j) const | 
| Real | legNPV (Size j) const | 
| DiscountFactor | startDiscounts (Size j) const | 
| DiscountFactor | endDiscounts (Size j) const | 
| DiscountFactor | npvDateDiscount () const | 
| const Leg & | leg (Size j) const | 
| Swap (const Leg &firstLeg, const Leg &secondLeg) | |
| Swap (const std::vector< Leg > &legs, const std::vector< bool > &payer) | |
| bool | isExpired () const | 
| returns whether the instrument might have value greater than zero. | |
|  Public Member Functions inherited from Instrument | |
| Real | NPV () const | 
| returns the net present value of the instrument. | |
| Real | errorEstimate () const | 
| returns the error estimate on the NPV when available. | |
| const Date & | valuationDate () const | 
| returns the date the net present value refers to. | |
| template<typename T > | |
| T | result (const std::string &tag) const | 
| returns any additional result returned by the pricing engine. | |
| const std::map< std::string, boost::any > & | additionalResults () const | 
| returns all additional result returned by the pricing engine. | |
| void | setPricingEngine (const boost::shared_ptr< PricingEngine > &) | 
| set the pricing engine to be used.  More... | |
|  Public Member Functions inherited from LazyObject | |
| void | update () | 
| void | recalculate () | 
| void | freeze () | 
| void | unfreeze () | 
| void | alwaysForwardNotifications () | 
|  Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) | 
| void | notifyObservers () | 
|  Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) | 
| std::pair< iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) | 
| void | registerWithObservables (const boost::shared_ptr< Observer > &) | 
| Size | unregisterWith (const boost::shared_ptr< Observable > &) | 
| void | unregisterWithAll () | 
| virtual void | deepUpdate () | 
| Additional Inherited Members | |
|  Protected Member Functions inherited from Swap | |
| Swap (Size legs) | |
|  Protected Member Functions inherited from Instrument | |
| void | calculate () const | 
| virtual void | performCalculations () const | 
|  Protected Member Functions inherited from LazyObject | |
|  Protected Attributes inherited from Swap | |
| std::vector< Leg > | legs_ | 
| std::vector< Real > | payer_ | 
| std::vector< Real > | legNPV_ | 
| std::vector< Real > | legBPS_ | 
| std::vector< DiscountFactor > | startDiscounts_ | 
| std::vector< DiscountFactor > | endDiscounts_ | 
| DiscountFactor | npvDateDiscount_ | 
|  Protected Attributes inherited from Instrument | |
| boost::shared_ptr< PricingEngine > | engine_ | 
| Real | NPV_ | 
| Real | errorEstimate_ | 
| Date | valuationDate_ | 
| std::map< std::string, boost::any > | additionalResults_ | 
|  Protected Attributes inherited from LazyObject | |
| bool | calculated_ | 
| bool | frozen_ | 
| bool | alwaysForward_ | 
Year-on-year inflation-indexed swap.
Quoted as a fixed rate \( K \). At start:
\[ \sum_{i=1}^{M} P_n(0,t_i) N K = \sum_{i=1}^{M} P_n(0,t_i) N \left[ \frac{I(t_i)}{I(t_i-1)} - 1 \right] \]
where \( t_M \) 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 \( t \).
| 
 | virtual | 
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Swap.
| 
 | virtual | 
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
Reimplemented from Swap.