- QuantLib
- YearOnYearInflationSwap
 
Year-on-year inflation-indexed swap. More...
#include <ql/instruments/yearonyearinflationswap.hpp>

| Classes | |
| class | arguments | 
| Arguments for YoY swap calculation  More... | |
| class | results | 
| Results from YoY swap calculation  More... | |
| Public Types | |
| enum | Type { Receiver = -1, Payer = 1 } | 
| Public Member Functions | |
| YearOnYearInflationSwap (Type type, Real nominal, const Schedule &fixedSchedule, Rate fixedRate, const DayCounter &fixedDayCount, const Schedule &yoySchedule, const boost::shared_ptr< YoYInflationIndex > &yoyIndex, const Period &observationLag, Spread spread, const DayCounter &yoyDayCount, const Calendar &paymentCalendar, BusinessDayConvention paymentConvention=ModifiedFollowing) | |
| virtual Real | fixedLegNPV () const | 
| virtual Rate | fairRate () const | 
| virtual Real | yoyLegNPV () const | 
| virtual Spread | fairSpread () const | 
| virtual Type | type () const | 
| virtual Real | nominal () const | 
| virtual const Schedule & | fixedSchedule () const | 
| virtual Rate | fixedRate () const | 
| virtual const DayCounter & | fixedDayCount () const | 
| virtual const Schedule & | yoySchedule () const | 
| virtual const boost::shared_ptr < YoYInflationIndex > & | yoyInflationIndex () const | 
| virtual Period | observationLag () const | 
| virtual Spread | spread () const | 
| virtual const DayCounter & | yoyDayCount () const | 
| virtual Calendar | paymentCalendar () const | 
| virtual BusinessDayConvention | paymentConvention () const | 
| virtual const Leg & | fixedLeg () const | 
| virtual const Leg & | yoyLeg () const | 
| void | setupArguments (PricingEngine::arguments *args) const | 
| void | fetchResults (const PricingEngine::results *) const | 
Year-on-year inflation-indexed swap.
Quoted as a fixed rate  . At start:
. At start: 
![\[ \sum_{i=1}^{M} P_n(0,t_i) N K = \sum_{i=1}^{M} P_n(0,t_i) N \left[ \frac{I(t_i)}{I(t_i-1)} - 1 \right] \]](form_158.png) 
 where  is the maturity time,
 is the maturity time,  is the nominal discount factor at time
 is the nominal discount factor at time  ,
,  is the notional, and
 is the notional, and  is the inflation index value at time
 is the inflation index value at time  .
.
| void setupArguments | ( | PricingEngine::arguments * | ) | const  [virtual] | 
When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used.
Reimplemented from Swap.
| void fetchResults | ( | const PricingEngine::results * | r | ) | const  [virtual] | 
When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used.
Reimplemented from Swap.