QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
Public Member Functions | Protected Attributes | List of all members
YearOnYearInflationSwapHelper Class Reference

Year-on-year inflation-swap bootstrap helper. More...

#include <ql/termstructures/inflation/inflationhelpers.hpp>

+ Inheritance diagram for YearOnYearInflationSwapHelper:

Public Member Functions

 YearOnYearInflationSwapHelper (const Handle< Quote > &quote, const Period &swapObsLag_, const Date &maturity, const Calendar &calendar, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, const boost::shared_ptr< YoYInflationIndex > &yii)
 
void setTermStructure (YoYInflationTermStructure *)
 sets the term structure to be used for pricing More...
 
Real impliedQuote () const
 
- Public Member Functions inherited from BootstrapHelper< YoYInflationTermStructure >
 BootstrapHelper (const Handle< Quote > &quote)
 
 BootstrapHelper (Real quote)
 
const Handle< Quote > & quote () const
 
Real quoteError () const
 
virtual Date earliestDate () const
 earliest relevant date More...
 
virtual Date maturityDate () const
 instrument's maturity date
 
virtual Date latestRelevantDate () const
 latest relevant date More...
 
virtual Date pillarDate () const
 pillar date
 
virtual Date latestDate () const
 latest date More...
 
virtual void update ()
 
virtual void accept (AcyclicVisitor &)
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< iterator, bool > registerWith (const boost::shared_ptr< Observable > &)
 
void registerWithObservables (const boost::shared_ptr< Observer > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
virtual void deepUpdate ()
 
- Public Member Functions inherited from Observable
 Observable (const Observable &)
 
Observableoperator= (const Observable &)
 
void notifyObservers ()
 

Protected Attributes

Period swapObsLag_
 
Date maturity_
 
Calendar calendar_
 
BusinessDayConvention paymentConvention_
 
DayCounter dayCounter_
 
boost::shared_ptr< YoYInflationIndexyii_
 
boost::shared_ptr< YearOnYearInflationSwapyyiis_
 
- Protected Attributes inherited from BootstrapHelper< YoYInflationTermStructure >
Handle< Quotequote_
 
YoYInflationTermStructuretermStructure_
 
Date earliestDate_
 
Date latestDate_
 
Date maturityDate_
 
Date latestRelevantDate_
 
Date pillarDate_
 

Additional Inherited Members

- Public Types inherited from Observer
typedef std::set< boost::shared_ptr< Observable > > set_type
 
typedef set_type::iterator iterator
 

Detailed Description

Year-on-year inflation-swap bootstrap helper.

Member Function Documentation

◆ setTermStructure()

void setTermStructure ( YoYInflationTermStructure t)
virtual

sets the term structure to be used for pricing

Warning:
Being a pointer and not a shared_ptr, the term structure is not guaranteed to remain allocated for the whole life of the rate helper. It is responsibility of the programmer to ensure that the pointer remains valid. It is advised that this method is called only inside the term structure being bootstrapped, setting the pointer to this, i.e., the term structure itself.

Reimplemented from BootstrapHelper< YoYInflationTermStructure >.