QuantLib_InflationSwap (3) - Linux Manuals

QuantLib_InflationSwap: Abstract base class for inflation swaps.

NAME

QuantLib::InflationSwap - Abstract base class for inflation swaps.

SYNOPSIS

#include <ql/instruments/inflationswap.hpp>

Inherits QuantLib::Instrument.

Inherited by YearOnYearInflationSwap, and ZeroCouponInflationSwap.

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< YieldTermStructure > yieldTS_

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.

Author

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