CPILeg Class Reference

Helper class building a sequence of capped/floored CPI coupons. More...

#include <ql/cashflows/cpicoupon.hpp>

Public Member Functions
	CPILeg (const Schedule &schedule, const ext::shared_ptr< ZeroInflationIndex > &index, Real baseCPI, const Period &observationLag)
CPILeg &	withNotionals (Real notional)
CPILeg &	withNotionals (const std::vector< Real > &notionals)
CPILeg &	withFixedRates (Real fixedRate)
CPILeg &	withFixedRates (const std::vector< Real > &fixedRates)
CPILeg &	withPaymentDayCounter (const DayCounter &)
CPILeg &	withPaymentAdjustment (BusinessDayConvention)
CPILeg &	withPaymentCalendar (const Calendar &)
CPILeg &	withFixingDays (Natural fixingDays)
CPILeg &	withFixingDays (const std::vector< Natural > &fixingDays)
CPILeg &	withObservationInterpolation (CPI::InterpolationType)
CPILeg &	withSubtractInflationNominal (bool)
CPILeg &	withSpreads (Spread spread)
CPILeg &	withSpreads (const std::vector< Spread > &spreads)
CPILeg &	withCaps (Rate cap)
CPILeg &	withCaps (const std::vector< Rate > &caps)
CPILeg &	withFloors (Rate floor)
CPILeg &	withFloors (const std::vector< Rate > &floors)
CPILeg &	withExCouponPeriod (const Period &, const Calendar &, BusinessDayConvention, bool endOfMonth=false)
	operator Leg () const

Detailed Description

Helper class building a sequence of capped/floored CPI coupons.

Also allowing for the inflated notional at the end... especially if there is only one date in the schedule. If a fixedRate is zero you get a FixedRateCoupon, otherwise you get a ZeroInflationCoupon.

payoff is: spread + fixedRate x index