QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
InflationCoupon Class Referenceabstract

Base inflation-coupon class. More...

#include <ql/cashflows/inflationcoupon.hpp>

+ Inheritance diagram for InflationCoupon:

Public Member Functions

 InflationCoupon (const Date &paymentDate, Real nominal, const Date &startDate, const Date &endDate, Natural fixingDays, const ext::shared_ptr< InflationIndex > &index, const Period &observationLag, const DayCounter &dayCounter, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())
 
CashFlow interface
Real amount () const
 returns the amount of the cash flow More...
 
Coupon interface
Real price (const Handle< YieldTermStructure > &discountingCurve) const
 
DayCounter dayCounter () const
 day counter for accrual calculation
 
Real accruedAmount (const Date &) const
 accrued amount at the given date
 
Rate rate () const
 accrued rate
 
Inspectors
const ext::shared_ptr< InflationIndex > & index () const
 yoy inflation index
 
Period observationLag () const
 how the coupon observes the index
 
Natural fixingDays () const
 fixing days
 
virtual Date fixingDate () const
 fixing date
 
virtual Rate indexFixing () const
 fixing of the underlying index, as observed by the coupon
 
Observer interface
void update ()
 
- Public Member Functions inherited from Coupon
 Coupon (const Date &paymentDate, Real nominal, const Date &accrualStartDate, const Date &accrualEndDate, const Date &refPeriodStart=Date(), const Date &refPeriodEnd=Date(), const Date &exCouponDate=Date())
 
Date date () const
 
Date exCouponDate () const
 returns the date that the cash flow trades exCoupon
 
virtual Real nominal () const
 
const DateaccrualStartDate () const
 start of the accrual period
 
const DateaccrualEndDate () const
 end of the accrual period
 
const DatereferencePeriodStart () const
 start date of the reference period
 
const DatereferencePeriodEnd () const
 end date of the reference period
 
Time accrualPeriod () const
 accrual period as fraction of year
 
Date::serial_type accrualDays () const
 accrual period in days
 
Time accruedPeriod (const Date &) const
 accrued period as fraction of year at the given date
 
Date::serial_type accruedDays (const Date &) const
 accrued days at the given date
 
- Public Member Functions inherited from CashFlow
bool hasOccurred (const Date &refDate=Date(), boost::optional< bool > includeRefDate=boost::none) const
 returns true if an event has already occurred before a date More...
 
bool tradingExCoupon (const Date &refDate=Date()) const
 returns true if the cashflow is trading ex-coupon on the refDate
 
Event interface
Visitability
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const ext::shared_ptr< Observable > &)
 
void registerWithObservables (const ext::shared_ptr< Observer > &)
 
Size unregisterWith (const ext::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 

Visitability

ext::shared_ptr< InflationCouponPricerpricer_
 
ext::shared_ptr< InflationIndexindex_
 
Period observationLag_
 
DayCounter dayCounter_
 
Natural fixingDays_
 
virtual void accept (AcyclicVisitor &)
 
void setPricer (const ext::shared_ptr< InflationCouponPricer > &)
 
ext::shared_ptr< InflationCouponPricerpricer () const
 
virtual bool checkPricerImpl (const ext::shared_ptr< InflationCouponPricer > &) const =0
 makes sure you were given the correct type of pricer
 

Additional Inherited Members

- Public Types inherited from Observer
typedef boost::unordered_set< ext::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 
- Protected Attributes inherited from Coupon
Date paymentDate_
 
Real nominal_
 
Date accrualStartDate_
 
Date accrualEndDate_
 
Date refPeriodStart_
 
Date refPeriodEnd_
 
Date exCouponDate_
 
Real accrualPeriod_
 

Detailed Description

Base inflation-coupon class.

The day counter is usually obtained from the inflation term structure that the inflation index uses for forecasting. There is no gearing or spread because these are relevant for YoY coupons but not zero inflation coupons.

Note
inflation indices do not contain day counters or calendars.

Member Function Documentation

◆ amount()

Real amount ( ) const
virtual

returns the amount of the cash flow

Note
The amount is not discounted, i.e., it is the actual amount paid at the cash flow date.

Implements CashFlow.

◆ update()

void update ( )
virtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.