returns the net present value of the instrument.
returns all additional result returned by the pricing engine.
This method causes the object to forward all notifications, even when not calculated. The default behavior is to forward the first notification received, and discard the others until recalculated; the rationale is that observers were already notified, and don't need further notification until they recalculate, at which point this object would be recalculated too. After recalculation, this object would again forward the first notification received.
warning Forwarding all notifications will cause a performance hit, and should be used only when discarding notifications cause an incorrect behavior.
returns the error estimate on the NPV when available.
This method constrains the object to return the presently cached results on successive invocations, even if arguments upon which they depend should change.
This method force the recalculation of any results which
would otherwise be cached. It is not declared as
const since it needs to call the
non-const notifyObservers method.
note Explicit invocation of this method is not necessary if the object registered itself as observer with the structures on which such results depend. It is strongly advised to follow this policy when possible.
returns any additional result returned by the pricing engine.
set the pricing engine to be used.
warning calling this method will have no effects in case the performCalculation method was overridden in a derived class.
This method reverts the effect of the freeze
method, thus re-enabling recalculations.
Observer interface
returns the date the net present value refers to.
Zero-coupon inflation-indexed swap
Quoted as a fixed rate $K$. At start: $$ P_n(0,T) N [(1+K)^{T}-1] = P_n(0,T) N \left[ \frac{I(T)}{I(0)} -1 \right] $$ where $T$ is the maturity time, $P_n(0,t)$ is the nominal discount factor at time $t$, $N$ is the notional, and $I(t)$ is the inflation index value at time $t$.
This inherits from swap and has two very simple legs: a fixed leg, from the quote (K); and an indexed leg. At maturity the two single cashflows are swapped. These are the notional versus the inflation-indexed notional Because the coupons are zero there are no accruals (and no coupons).
Inflation is generally available on every day, including holidays and weekends. Hence there is a variable to state whether the observe/fix dates for inflation are adjusted or not. The default is not to adjust.
A zero inflation swap is a simple enough instrument that the standard discounting pricing engine that works for a vanilla swap also works.
we do not need Schedules on the legs because they use one or two dates only per leg.