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
 
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
 
virtual Date latestDate () const
 latest relevant date
 
virtual void update ()
 
virtual void accept (AcyclicVisitor &)
 
- Public Member Functions inherited from Observer
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
std::pair< std::set
< boost::shared_ptr
< Observable > >::iterator,
bool > 
registerWith (const boost::shared_ptr< Observable > &)
 
Size unregisterWith (const boost::shared_ptr< Observable > &)
 
void unregisterWithAll ()
 
- 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
< YoYInflationIndex
yii_
 
boost::shared_ptr
< YearOnYearInflationSwap
yyiis_
 
- Protected Attributes inherited from BootstrapHelper< YoYInflationTermStructure >
Handle< Quotequote_
 
YoYInflationTermStructuretermStructure_
 
Date earliestDate_
 
Date latestDate_
 

Detailed Description

Year-on-year inflation-swap bootstrap helper.

Member Function Documentation

void setTermStructure ( YoYInflationTermStructure )
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 >.