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 > "e, const Period &swapObsLag_, const Date &maturity, const Calendar &calendar, BusinessDayConvention paymentConvention, const DayCounter &dayCounter, const ext::shared_ptr< YoYInflationIndex > &yii, const Handle< YieldTermStructure > &nominalTermStructure) | |
| void | setTermStructure (YoYInflationTermStructure *) |
| Real | impliedQuote () const |
Public Member Functions inherited from BootstrapHelper< YoYInflationTermStructure > | |
| BootstrapHelper (const Handle< Quote > "e) | |
| BootstrapHelper (Real quote) | |
| const Handle< Quote > & | quote () const |
| virtual Real | impliedQuote () const=0 |
| Real | quoteError () const |
| virtual void | setTermStructure (YoYInflationTermStructure *) |
| sets the term structure to be used for pricing More... | |
| 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 &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
Protected Attributes | |
| Period | swapObsLag_ |
| Date | maturity_ |
| Calendar | calendar_ |
| BusinessDayConvention | paymentConvention_ |
| DayCounter | dayCounter_ |
| ext::shared_ptr< YoYInflationIndex > | yii_ |
| ext::shared_ptr< YearOnYearInflationSwap > | yyiis_ |
| Handle< YieldTermStructure > | nominalTermStructure_ |
Protected Attributes inherited from BootstrapHelper< YoYInflationTermStructure > | |
| Handle< Quote > | quote_ |
| YoYInflationTermStructure * | termStructure_ |
| Date | earliestDate_ |
| Date | latestDate_ |
| Date | maturityDate_ |
| Date | latestRelevantDate_ |
| Date | pillarDate_ |
Additional Inherited Members | |
Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
Year-on-year inflation-swap bootstrap helper.