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QuantLib_ZeroCouponInflationSwap
Langue: en
Version: 170935 (fedora - 06/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
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: -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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