Class MakeYoYInflationCapFloor

helper class

This class provides a more comfortable way to instantiate standard yoy inflation cap and floor.

Hierarchy

MakeYoYInflationCapFloor

Implements

NullaryFunction<YoYInflationCapFloor>

Index

Constructors

constructor

Properties

Methods

Constructors

constructor

new MakeYoYInflationCapFloor(capFloorType: Type, length: Size, cal: Calendar, index: YoYInflationIndex, observationLag: Period, strike?: Rate, forwardStart?: Period): MakeYoYInflationCapFloor

- Defined in ql/instruments/makeyoyinflationcapfloor.ts:37
Parameters
- capFloorType: Type
- length: Size
- cal: Calendar
- index: YoYInflationIndex
- observationLag: Period
- Default value strike: Rate = QL_NULL_REAL
- Default value forwardStart: Period = new Period()
Returns MakeYoYInflationCapFloor

Properties

Private _asOptionlet

_asOptionlet: boolean

Private _calendar

_calendar: Calendar

Private _capFloorType

_capFloorType: Type

Private _dayCounter

_dayCounter: DayCounter

Private _effectiveDate

_effectiveDate: Date

Private _engine

_engine: PricingEngine

Private _firstCapletExcluded

_firstCapletExcluded: boolean

Private _fixingDays

_fixingDays: Natural

Private _forwardStart

_forwardStart: Period

Private _index

_index: YoYInflationIndex

Private _length

_length: Size

Private _nominal

_nominal: Real

Private _observationLag

_observationLag: Period

Private _roll

_roll: BusinessDayConvention

Private _strike

_strike: Rate

Methods

asOptionlet

asOptionlet(b?: boolean): MakeYoYInflationCapFloor

- Defined in ql/instruments/makeyoyinflationcapfloor.ts:88
Parameters
- Default value b: boolean = true
Returns MakeYoYInflationCapFloor

f

f(): YoYInflationCapFloor

Implementation of NullaryFunction.f
- Defined in ql/instruments/makeyoyinflationcapfloor.ts:98
Returns YoYInflationCapFloor

withEffectiveDate

withEffectiveDate(effectiveDate: Date): MakeYoYInflationCapFloor

- Defined in ql/instruments/makeyoyinflationcapfloor.ts:63
Parameters
- effectiveDate: Date
Returns MakeYoYInflationCapFloor

withFirstCapletExcluded

withFirstCapletExcluded(): MakeYoYInflationCapFloor

- Defined in ql/instruments/makeyoyinflationcapfloor.ts:68
Returns MakeYoYInflationCapFloor

withFixingDays

withFixingDays(n: Natural): MakeYoYInflationCapFloor

- Defined in ql/instruments/makeyoyinflationcapfloor.ts:83
Parameters
- n: Natural
Returns MakeYoYInflationCapFloor

withNominal

withNominal(n: Real): MakeYoYInflationCapFloor

- Defined in ql/instruments/makeyoyinflationcapfloor.ts:58
Parameters
- n: Real
Returns MakeYoYInflationCapFloor

withPaymentAdjustment

withPaymentAdjustment(bdc: BusinessDayConvention): MakeYoYInflationCapFloor

- Defined in ql/instruments/makeyoyinflationcapfloor.ts:78
Parameters
- bdc: BusinessDayConvention
Returns MakeYoYInflationCapFloor

withPaymentDayCounter

withPaymentDayCounter(dc: DayCounter): MakeYoYInflationCapFloor

- Defined in ql/instruments/makeyoyinflationcapfloor.ts:73
Parameters
- dc: DayCounter
Returns MakeYoYInflationCapFloor

withPricingEngine

withPricingEngine(engine: PricingEngine): MakeYoYInflationCapFloor

- Defined in ql/instruments/makeyoyinflationcapfloor.ts:93
Parameters
- engine: PricingEngine
Returns MakeYoYInflationCapFloor