- QuantLib
- YearOnYearInflationSwapHelper
Year-on-year inflation-swap bootstrap helper. More...
#include <ql/termstructures/inflation/inflationhelpers.hpp>

Public Member Functions | |
| YearOnYearInflationSwapHelper (const Handle< Quote > "e, 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 |
Protected Attributes | |
| Period | swapObsLag_ |
| Date | maturity_ |
| Calendar | calendar_ |
| BusinessDayConvention | paymentConvention_ |
| DayCounter | dayCounter_ |
|
boost::shared_ptr < YoYInflationIndex > | yii_ |
|
boost::shared_ptr < YearOnYearInflationSwap > | yyiis_ |
Year-on-year inflation-swap bootstrap helper.
| void setTermStructure | ( | YoYInflationTermStructure * | ) | [virtual] |
sets the term structure to be used for pricing
Reimplemented from BootstrapHelper< YoYInflationTermStructure >.