Reference manual - version qle_version
#include <qle/cashflows/yoyinflationcoupon.hpp>
Public Member Functions | |
| yoyInflationLeg (Schedule schedule, Calendar cal, ext::shared_ptr< YoYInflationIndex > index, const Period &observationLag, CPI::InterpolationType interpolation) | |
| yoyInflationLeg (Schedule schedule, Calendar cal, ext::shared_ptr< YoYInflationIndex > index, const Period &observationLag) | |
| yoyInflationLeg & | withNotionals (Real notional) |
| yoyInflationLeg & | withNotionals (const std::vector< Real > ¬ionals) |
| yoyInflationLeg & | withPaymentDayCounter (const DayCounter &) |
| yoyInflationLeg & | withPaymentAdjustment (BusinessDayConvention) |
| yoyInflationLeg & | withFixingDays (Natural fixingDays) |
| yoyInflationLeg & | withFixingDays (const std::vector< Natural > &fixingDays) |
| yoyInflationLeg & | withGearings (Real gearing) |
| yoyInflationLeg & | withGearings (const std::vector< Real > &gearings) |
| yoyInflationLeg & | withSpreads (Spread spread) |
| yoyInflationLeg & | withSpreads (const std::vector< Spread > &spreads) |
| yoyInflationLeg & | withCaps (Rate cap) |
| yoyInflationLeg & | withCaps (const std::vector< Rate > &caps) |
| yoyInflationLeg & | withFloors (Rate floor) |
| yoyInflationLeg & | withFloors (const std::vector< Rate > &floors) |
| yoyInflationLeg & | withRateCurve (const Handle< YieldTermStructure > &rateCurve) |
| yoyInflationLeg & | withInflationNotional (bool addInflationNotional_) |
| operator Leg () const | |
Helper class building a sequence of capped/floored yoy inflation coupons payoff is: spread + gearing x index
| yoyInflationLeg | ( | Schedule | schedule, |
| Calendar | cal, | ||
| ext::shared_ptr< YoYInflationIndex > | index, | ||
| const Period & | observationLag ) |