paymentConvention_ (3) - Linux Manuals

paymentConvention_: Zero-coupon inflation-swap bootstrap helper.

NAME

QuantLib::ZciisInflationHelper - Zero-coupon inflation-swap bootstrap helper.

SYNOPSIS

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

Inherits BootstrapHelper< ZeroInflationTermStructure >.

Public Member Functions

ZciisInflationHelper (const Handle< Quote > &quote, const Period &lag, const Date &maturity, Natural settlementDays, const Calendar &calendar, BusinessDayConvention bdc, const DayCounter &dayCounter, Frequency frequency)

void setTermStructure (ZeroInflationTermStructure *)
sets the term structure to be used for pricing
Real impliedQuote () const

Protected Attributes

Period lag_

Date maturity_

Natural settlementDays_

Calendar calendar_

BusinessDayConvention paymentConvention_

DayCounter dayCounter_

Frequency frequency_

boost::shared_ptr< ZeroCouponInflationSwap > zciis_

Detailed Description

Zero-coupon inflation-swap bootstrap helper.

Member Function Documentation

void setTermStructure (ZeroInflationTermStructure *) [virtual]

sets the term structure to be used for pricing

Warning

Being a pointer and not a shared_ptr, the term structure is not guaranteed to remain allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure that the pointer remains valid. It is advised that this method is called only inside the term structure being bootstrapped, setting the pointer to this, i.e., the term structure itself.

Reimplemented from BootstrapHelper< ZeroInflationTermStructure >.

Author

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