QuantLib_ZeroCouponInflationSwap (3) - Linux Manuals

QuantLib_ZeroCouponInflationSwap: Zero-coupon inflation-indexed swap.

NAME

QuantLib::ZeroCouponInflationSwap - Zero-coupon inflation-indexed swap.

SYNOPSIS

#include <ql/instruments/zerocouponinflationswap.hpp>

Inherits QuantLib::InflationSwap.

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 $ ilde{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

---

re $ 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.

Author

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