- QuantLib
- ZeroCouponInflationSwap
Zero-coupon inflation-indexed swap. More...
#include <ql/instruments/zerocouponinflationswap.hpp>

Public Types | |
| enum | Type { Receiver = -1, Payer = 1 } |
Public Member Functions | |
| ZeroCouponInflationSwap (Type type, Real nominal, const Date &startDate, const Date &maturity, const Calendar &fixCalendar, BusinessDayConvention fixConvention, const DayCounter &dayCounter, Rate fixedRate, const boost::shared_ptr< ZeroInflationIndex > &infIndex, const Period &observationLag, bool adjustInfObsDates=false, Calendar infCalendar=Calendar(), BusinessDayConvention infConvention=BusinessDayConvention()) | |
Inspectors | |
| Type | type () const |
| "payer" or "receiver" refer to the inflation-indexed leg | |
| Real | nominal () const |
| Date | startDate () const |
| Date | maturityDate () const |
| Calendar | fixedCalendar () const |
| BusinessDayConvention | fixedConvention () const |
| DayCounter | dayCounter () const |
| Rate | fixedRate () const |
in the above formula. | |
|
boost::shared_ptr < ZeroInflationIndex > | inflationIndex () const |
| Period | observationLag () const |
| bool | adjustObservationDates () const |
| Calendar | inflationCalendar () const |
| BusinessDayConvention | inflationConvention () const |
| const Leg & | fixedLeg () const |
| just one cashflow (that is not a coupon) in each leg | |
| const Leg & | inflationLeg () const |
| just one cashflow (that is not a coupon) in each leg | |
Instrument interface | |
| void | setupArguments (PricingEngine::arguments *) const |
| void | fetchResults (const PricingEngine::results *r) const |
Results | |
| Real | fixedLegNPV () const |
| Real | inflationLegNPV () const |
| Real | fairRate () const |
Protected Attributes | |
| Type | type_ |
| Real | nominal_ |
| Date | startDate_ |
| Date | maturityDate_ |
| Calendar | fixCalendar_ |
| BusinessDayConvention | fixConvention_ |
| Rate | fixedRate_ |
|
boost::shared_ptr < ZeroInflationIndex > | infIndex_ |
| Period | observationLag_ |
| bool | adjustInfObsDates_ |
| Calendar | infCalendar_ |
| BusinessDayConvention | infConvention_ |
| DayCounter | dayCounter_ |
| Date | baseDate_ |
| Date | obsDate_ |
Zero-coupon inflation-indexed swap.
Quoted as a fixed rate
. At start:
where
is the maturity time,
is the nominal discount factor at time
,
is the notional, and
is the inflation index value at time
.
This inherits from swap and has two very simple legs: a fixed leg, from the quote (K); and an indexed leg. At maturity the two single cashflows are swapped. These are the notional versus the inflation-indexed notional Because the coupons are zero there are no accruals (and no coupons).
Inflation is generally available on every day, including holidays and weekends. Hence there is a variable to state whether the observe/fix dates for inflation are adjusted or not. The default is not to adjust.
A zero inflation swap is a simple enough instrument that the standard discounting pricing engine that works for a vanilla swap also works.
| 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.