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<title>QuantLib: InflationSwap Class Reference</title>
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<a class="el" href="namespace_quant_lib.html">QuantLib</a>::<a class="el" href="class_quant_lib_1_1_inflation_swap.html">InflationSwap</a></div>
<h1>InflationSwap Class Reference<br>
<small>
[<a class="el" href="group__instruments.html">Financial instruments</a>]</small>
</h1><!-- doxytag: class="QuantLib::InflationSwap" --><!-- doxytag: inherits="QuantLib::Instrument" --><code>#include <ql/instruments/inflationswap.hpp></code>
<p>
<div class="dynheader">
Inheritance diagram for InflationSwap:</div>
<div class="dynsection">
<p><center><img src="class_quant_lib_1_1_inflation_swap__inherit__graph.png" border="0" usemap="#_inflation_swap__inherit__map" alt="Inheritance graph"></center>
<map name="_inflation_swap__inherit__map">
<area shape="rect" href="class_quant_lib_1_1_year_on_year_inflation_swap.html" title="Year-on-year inflation-indexed swap." alt="" coords="5,161,192,188"><area shape="rect" href="class_quant_lib_1_1_zero_coupon_inflation_swap.html" title="Zero-coupon inflation-indexed swap." alt="" coords="216,161,405,188"><area shape="rect" href="class_quant_lib_1_1_instrument.html" title="Abstract instrument class." alt="" coords="157,7,251,33"></map>
<center><font size="2">[<a href="graph_legend.html">legend</a>]</font></center></div>
<p>
<a href="class_quant_lib_1_1_inflation_swap-members.html">List of all members.</a><hr><a name="_details"></a><h2>Detailed Description</h2>
Abstract base class for inflation swaps.
<p>
Inflation swaps need two term structures: a yield curve, and an inflation term structure (either zero-based, i.e., the rate <img class="formulaInl" alt="$ r(t) $" src="form_79.png"> equals <img class="formulaInl" alt="$ I(t)/I(t_0) - 1 $" src="form_80.png"> where <img class="formulaInl" alt="$ I $" src="form_81.png"> if the index and <img class="formulaInl" alt="$ t_0 $" src="form_82.png"> is the base time, or year-on-year, i.e., <img class="formulaInl" alt="$ r(t) = I(t)/I(t_p) - 1 $" src="form_83.png"> where the previous time <img class="formulaInl" alt="$ t_p $" src="form_84.png"> is defined as <img class="formulaInl" alt="$ t $" src="form_85.png"> minus one year.) <table border="0" cellpadding="0" cellspacing="0">
<tr><td></td></tr>
<tr><td colspan="2"><br><h2>Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="d1a8815b16189b1fbab9e21924fc6640"></a><!-- doxytag: member="QuantLib::InflationSwap::InflationSwap" ref="d1a8815b16189b1fbab9e21924fc6640" args="(const Date &start, const Date &maturity, const Period &lag, const Calendar &calendar, BusinessDayConvention convention, const DayCounter &dayCounter, const Handle< YieldTermStructure > &yieldTS)" -->
</td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_inflation_swap.html#d1a8815b16189b1fbab9e21924fc6640">InflationSwap</a> (const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &start, const <a class="el" href="class_quant_lib_1_1_date.html">Date</a> &maturity, const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &lag, const <a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> &calendar, <a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> convention, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &dayCounter, const <a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > &yieldTS)</td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">the constructor sets common data members <br></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="74dca31c4ab2c7755790db4dfa00f37d"></a><!-- doxytag: member="QuantLib::InflationSwap::fairRate" ref="74dca31c4ab2c7755790db4dfa00f37d" args="() const =0" -->
virtual <a class="el" href="group__types.html#gede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>fairRate</b> () const =0</td></tr>
<tr><td colspan="2"><div class="groupHeader">Inspectors</div></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_inflation_swap.html#872006051a1b47c481388e2f5313fd91">baseDate</a> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="2039a828e7e75af0b048b220cfdd5e5e"></a><!-- doxytag: member="QuantLib::InflationSwap::lag" ref="2039a828e7e75af0b048b220cfdd5e5e" args="() const " -->
<a class="el" href="class_quant_lib_1_1_period.html">Period</a> </td><td class="memItemRight" valign="bottom"><b>lag</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3ab172f9ecc49c3e4606945f0704dcdb"></a><!-- doxytag: member="QuantLib::InflationSwap::startDate" ref="3ab172f9ecc49c3e4606945f0704dcdb" args="() const " -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>startDate</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="716a3c2e199a948105b3be48b6c338aa"></a><!-- doxytag: member="QuantLib::InflationSwap::maturityDate" ref="716a3c2e199a948105b3be48b6c338aa" args="() const " -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>maturityDate</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="e9a0f3904cff2fe61596c593dd0b6448"></a><!-- doxytag: member="QuantLib::InflationSwap::calendar" ref="e9a0f3904cff2fe61596c593dd0b6448" args="() const " -->
<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> </td><td class="memItemRight" valign="bottom"><b>calendar</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="9d653d6960e5abf8a835f24fd9beb685"></a><!-- doxytag: member="QuantLib::InflationSwap::businessDayConvention" ref="9d653d6960e5abf8a835f24fd9beb685" args="() const " -->
<a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td><td class="memItemRight" valign="bottom"><b>businessDayConvention</b> () const </td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="c147d63df367bbe5282b76b1f98cb9be"></a><!-- doxytag: member="QuantLib::InflationSwap::dayCounter" ref="c147d63df367bbe5282b76b1f98cb9be" args="() const " -->
<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> </td><td class="memItemRight" valign="bottom"><b>dayCounter</b> () const </td></tr>
<tr><td colspan="2"><br><h2>Protected Attributes</h2></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="00bb50f040d4417abd9180e4427db385"></a><!-- doxytag: member="QuantLib::InflationSwap::start_" ref="00bb50f040d4417abd9180e4427db385" args="" -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>start_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="33de34dc880e36d57a65c417746e007d"></a><!-- doxytag: member="QuantLib::InflationSwap::maturity_" ref="33de34dc880e36d57a65c417746e007d" args="" -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>maturity_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="686092ffaa2ce9ba65a854d47a710a2b"></a><!-- doxytag: member="QuantLib::InflationSwap::lag_" ref="686092ffaa2ce9ba65a854d47a710a2b" args="" -->
<a class="el" href="class_quant_lib_1_1_period.html">Period</a> </td><td class="memItemRight" valign="bottom"><b>lag_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="021eab7f1f44c1c71b8dfd29b9c4864b"></a><!-- doxytag: member="QuantLib::InflationSwap::calendar_" ref="021eab7f1f44c1c71b8dfd29b9c4864b" args="" -->
<a class="el" href="class_quant_lib_1_1_calendar.html">Calendar</a> </td><td class="memItemRight" valign="bottom"><b>calendar_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="a63f20268765f716e3c0ced196db5798"></a><!-- doxytag: member="QuantLib::InflationSwap::bdc_" ref="a63f20268765f716e3c0ced196db5798" args="" -->
<a class="el" href="group__datetime.html#gff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> </td><td class="memItemRight" valign="bottom"><b>bdc_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="76c6c2d60ef1370e20bdf40a0e0ca642"></a><!-- doxytag: member="QuantLib::InflationSwap::dayCounter_" ref="76c6c2d60ef1370e20bdf40a0e0ca642" args="" -->
<a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> </td><td class="memItemRight" valign="bottom"><b>dayCounter_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="fede98ee249f0d9a977891edf19a1708"></a><!-- doxytag: member="QuantLib::InflationSwap::yieldTS_" ref="fede98ee249f0d9a977891edf19a1708" args="" -->
<a class="el" href="class_quant_lib_1_1_handle.html">Handle</a>< <a class="el" href="class_quant_lib_1_1_yield_term_structure.html">YieldTermStructure</a> > </td><td class="memItemRight" valign="bottom"><b>yieldTS_</b></td></tr>
<tr><td class="memItemLeft" nowrap align="right" valign="top"><a class="anchor" name="3da982a1d3d4255d4c6c1a00135cab37"></a><!-- doxytag: member="QuantLib::InflationSwap::baseDate_" ref="3da982a1d3d4255d4c6c1a00135cab37" args="" -->
<a class="el" href="class_quant_lib_1_1_date.html">Date</a> </td><td class="memItemRight" valign="bottom"><b>baseDate_</b></td></tr>
</table>
<hr><h2>Member Function Documentation</h2>
<a class="anchor" name="872006051a1b47c481388e2f5313fd91"></a><!-- doxytag: member="QuantLib::InflationSwap::baseDate" ref="872006051a1b47c481388e2f5313fd91" args="() const " -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname"><a class="el" href="class_quant_lib_1_1_date.html">Date</a> baseDate </td>
<td>(</td>
<td class="paramname"> </td>
<td> ) </td>
<td width="100%"> const</td>
</tr>
</table>
</div>
<div class="memdoc">
<p>
The inflation rate is taken relative to the base date, which is a lag period before the start date of the swap.
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