A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
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#include <ql/cashflows/yoyinflationcoupon.hpp>
Public Member Functions | |
| yoyInflationLeg (const Schedule &schedule, const Calendar &cal, const 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) |
| operator Leg () const | |
Helper class building a sequence of capped/floored yoy inflation coupons payoff is: spread + gearing x index