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<li class="navelem"><b>QuantLib</b> </li>
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<!-- doxytag: class="QuantLib::CPISwap" --><!-- doxytag: inherits="QuantLib::Swap" -->
<p>zero-inflation-indexed swap,
<a href="class_quant_lib_1_1_c_p_i_swap.html#details">More...</a></p>
<p><code>#include <ql/instruments/cpiswap.hpp></code></p>
<div class="dynheader">
Inheritance diagram for CPISwap:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_c_p_i_swap__inherit__graph.png" border="0" usemap="#_c_p_i_swap_inherit__map" alt="Inheritance graph"/></div>
<map name="_c_p_i_swap_inherit__map" id="_c_p_i_swap_inherit__map">
<area shape="rect" id="node2" href="class_quant_lib_1_1_swap.html" title="Interest rate swap." alt="" coords="16,6,69,37"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_c_p_i_swap-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="nested-classes"></a>
Classes</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_c_p_i_swap_1_1arguments.html">arguments</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Arguments for swap calculation <a href="class_quant_lib_1_1_c_p_i_swap_1_1arguments.html#details">More...</a><br/></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">class  </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_c_p_i_swap_1_1results.html">results</a></td></tr>
<tr><td class="mdescLeft"> </td><td class="mdescRight">Results from swap calculation <a href="class_quant_lib_1_1_c_p_i_swap_1_1results.html#details">More...</a><br/></td></tr>
<tr><td colspan="2"><h2><a name="pub-types"></a>
Public Types</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">enum  </td><td class="memItemRight" valign="bottom"><b>Type</b> { <b>Receiver</b> = -1,
<b>Payer</b> = 1
}</td></tr>
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9b90134641b0ea54f1b43cfde68f62ae"></a><!-- doxytag: member="QuantLib::CPISwap::CPISwap" ref="a9b90134641b0ea54f1b43cfde68f62ae" args="(Type type, Real nominal, bool subtractInflationNominal, Spread spread, const DayCounter &floatDayCount, const Schedule &floatSchedule, const BusinessDayConvention &floatRoll, Natural fixingDays, const boost::shared_ptr< IborIndex > &floatIndex, Rate fixedRate, Real baseCPI, const DayCounter &fixedDayCount, const Schedule &fixedSchedule, const BusinessDayConvention &fixedRoll, const Period &observationLag, const boost::shared_ptr< ZeroInflationIndex > &fixedIndex, CPI::InterpolationType observationInterpolation=CPI::AsIndex, Real inflationNominal=Null< Real >())" -->
 </td><td class="memItemRight" valign="bottom"><b>CPISwap</b> (Type type, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> nominal, bool subtractInflationNominal, <a class="el" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d">Spread</a> spread, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &floatDayCount, const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> &floatSchedule, const <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> &floatRoll, <a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> fixingDays, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_ibor_index.html">IborIndex</a> > &floatIndex, <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> fixedRate, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> baseCPI, const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> &fixedDayCount, const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> &fixedSchedule, const <a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> &fixedRoll, const <a class="el" href="class_quant_lib_1_1_period.html">Period</a> &observationLag, const boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_zero_inflation_index.html">ZeroInflationIndex</a> > &fixedIndex, CPI::InterpolationType observationInterpolation=CPI::AsIndex, <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> inflationNominal=Null< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> >())</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ac83078708d7f39ee5937d2c0d4d99434"></a><!-- doxytag: member="QuantLib::CPISwap::floatLegNPV" ref="ac83078708d7f39ee5937d2c0d4d99434" args="() const " -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>floatLegNPV</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8519db12d1035aea8bc0b73b531fa1d5"></a><!-- doxytag: member="QuantLib::CPISwap::fairSpread" ref="a8519db12d1035aea8bc0b73b531fa1d5" args="() const " -->
virtual <a class="el" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d">Spread</a> </td><td class="memItemRight" valign="bottom"><b>fairSpread</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="acae4e2138e8dbe8c12a605ea79086d5a"></a><!-- doxytag: member="QuantLib::CPISwap::fixedLegNPV" ref="acae4e2138e8dbe8c12a605ea79086d5a" args="() const " -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>fixedLegNPV</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5d5b9c2299952391c66f5b080295e747"></a><!-- doxytag: member="QuantLib::CPISwap::fairRate" ref="a5d5b9c2299952391c66f5b080295e747" args="() const " -->
virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>fairRate</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="af9ee3189838631f5f8aa9175389dad1b"></a><!-- doxytag: member="QuantLib::CPISwap::type" ref="af9ee3189838631f5f8aa9175389dad1b" args="() const " -->
virtual Type </td><td class="memItemRight" valign="bottom"><b>type</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a0c27f57255d093f0a9c42fb53e991e7d"></a><!-- doxytag: member="QuantLib::CPISwap::nominal" ref="a0c27f57255d093f0a9c42fb53e991e7d" args="() const " -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>nominal</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa69bebfcfe33bfa4259ffffc5c55c392"></a><!-- doxytag: member="QuantLib::CPISwap::subtractInflationNominal" ref="aa69bebfcfe33bfa4259ffffc5c55c392" args="() const " -->
virtual bool </td><td class="memItemRight" valign="bottom"><b>subtractInflationNominal</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ad7a3e2124c58cf10df93a8def9a2fafb"></a><!-- doxytag: member="QuantLib::CPISwap::spread" ref="ad7a3e2124c58cf10df93a8def9a2fafb" args="() const " -->
virtual <a class="el" href="group__types.html#gae7427f4743503002b0c6eeeefae91a3d">Spread</a> </td><td class="memItemRight" valign="bottom"><b>spread</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a9ace77b155fec783a7f1e2f27cef14b1"></a><!-- doxytag: member="QuantLib::CPISwap::floatDayCount" ref="a9ace77b155fec783a7f1e2f27cef14b1" args="() const " -->
virtual const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> & </td><td class="memItemRight" valign="bottom"><b>floatDayCount</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a8105c4a20b2b9e022001c33e9f933341"></a><!-- doxytag: member="QuantLib::CPISwap::floatSchedule" ref="a8105c4a20b2b9e022001c33e9f933341" args="() const " -->
virtual const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> & </td><td class="memItemRight" valign="bottom"><b>floatSchedule</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a489855877bac655a8a40a1ccf0e12ee6"></a><!-- doxytag: member="QuantLib::CPISwap::floatPaymentRoll" ref="a489855877bac655a8a40a1ccf0e12ee6" args="() const " -->
virtual const <br class="typebreak"/>
<a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> & </td><td class="memItemRight" valign="bottom"><b>floatPaymentRoll</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a525a1bb58e63aa211a97c570b1aafc72"></a><!-- doxytag: member="QuantLib::CPISwap::fixingDays" ref="a525a1bb58e63aa211a97c570b1aafc72" args="() const " -->
virtual <a class="el" href="group__types.html#ga7e529c39c477ba1f5a22264d93e8457a">Natural</a> </td><td class="memItemRight" valign="bottom"><b>fixingDays</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a94ae66b439f89cd551508d38e4775e23"></a><!-- doxytag: member="QuantLib::CPISwap::floatIndex" ref="a94ae66b439f89cd551508d38e4775e23" args="() const " -->
virtual const <br class="typebreak"/>
boost::shared_ptr< <a class="el" href="class_quant_lib_1_1_ibor_index.html">IborIndex</a> > & </td><td class="memItemRight" valign="bottom"><b>floatIndex</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a21ca699ff10159146df2e2673c1cc118"></a><!-- doxytag: member="QuantLib::CPISwap::fixedRate" ref="a21ca699ff10159146df2e2673c1cc118" args="() const " -->
virtual <a class="el" href="group__types.html#gaede435af51236692b1107d7639581d39">Rate</a> </td><td class="memItemRight" valign="bottom"><b>fixedRate</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae3688411e63b836688fe6d77f87549be"></a><!-- doxytag: member="QuantLib::CPISwap::baseCPI" ref="ae3688411e63b836688fe6d77f87549be" args="() const " -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>baseCPI</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a95363e8aed06af280c2f0cf7e424fed0"></a><!-- doxytag: member="QuantLib::CPISwap::fixedDayCount" ref="a95363e8aed06af280c2f0cf7e424fed0" args="() const " -->
virtual const <a class="el" href="class_quant_lib_1_1_day_counter.html">DayCounter</a> & </td><td class="memItemRight" valign="bottom"><b>fixedDayCount</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ae9b9f2b40445d5d7802a80596445d4c5"></a><!-- doxytag: member="QuantLib::CPISwap::fixedSchedule" ref="ae9b9f2b40445d5d7802a80596445d4c5" args="() const " -->
virtual const <a class="el" href="class_quant_lib_1_1_schedule.html">Schedule</a> & </td><td class="memItemRight" valign="bottom"><b>fixedSchedule</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a417e96d4a1906168e11cf64d73190df0"></a><!-- doxytag: member="QuantLib::CPISwap::fixedPaymentRoll" ref="a417e96d4a1906168e11cf64d73190df0" args="() const " -->
virtual const <br class="typebreak"/>
<a class="el" href="group__datetime.html#gaff46c5ae9385d20709bedade86edd368">BusinessDayConvention</a> & </td><td class="memItemRight" valign="bottom"><b>fixedPaymentRoll</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a44d0249f5e6de07f14d8b0255d499a38"></a><!-- doxytag: member="QuantLib::CPISwap::observationLag" ref="a44d0249f5e6de07f14d8b0255d499a38" args="() const " -->
virtual <a class="el" href="class_quant_lib_1_1_period.html">Period</a> </td><td class="memItemRight" valign="bottom"><b>observationLag</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5c24e955816d960f087a5d88805d981d"></a><!-- doxytag: member="QuantLib::CPISwap::fixedIndex" ref="a5c24e955816d960f087a5d88805d981d" args="() const " -->
virtual const <br class="typebreak"/>
boost::shared_ptr<br class="typebreak"/>
< <a class="el" href="class_quant_lib_1_1_zero_inflation_index.html">ZeroInflationIndex</a> > & </td><td class="memItemRight" valign="bottom"><b>fixedIndex</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a62db405966d340dced7d2c24418e43d3"></a><!-- doxytag: member="QuantLib::CPISwap::observationInterpolation" ref="a62db405966d340dced7d2c24418e43d3" args="() const " -->
virtual CPI::InterpolationType </td><td class="memItemRight" valign="bottom"><b>observationInterpolation</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6ec2404f611183ccedff6a9e227eedc2"></a><!-- doxytag: member="QuantLib::CPISwap::inflationNominal" ref="a6ec2404f611183ccedff6a9e227eedc2" args="() const " -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>inflationNominal</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a80d571527c5ae24798704b5e3bbf0f30"></a><!-- doxytag: member="QuantLib::CPISwap::cpiLeg" ref="a80d571527c5ae24798704b5e3bbf0f30" args="() const " -->
virtual const Leg & </td><td class="memItemRight" valign="bottom"><b>cpiLeg</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a5a62986f612f359daf7619f30c31c9c6"></a><!-- doxytag: member="QuantLib::CPISwap::floatLeg" ref="a5a62986f612f359daf7619f30c31c9c6" args="() const " -->
virtual const Leg & </td><td class="memItemRight" valign="bottom"><b>floatLeg</b> () const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_c_p_i_swap.html#a769a037255393b166557200edad61038">setupArguments</a> (PricingEngine::arguments *args) const </td></tr>
<tr><td class="memItemLeft" align="right" valign="top">void </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_c_p_i_swap.html#aa0a3105ddebcff9f233fb76a8a31fafe">fetchResults</a> (const PricingEngine::results *) const </td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>zero-inflation-indexed swap, </p>
<p>fixed x zero-inflation, i.e. fixed x CPI(i'th fixing)/CPI(base) versus floating + spread</p>
<p>Note that this does ony the inflation-vs-floating-leg. Extension to inflation-vs-fixed-leg. is simple - just replace the floating leg with a fixed leg.</p>
<p>Typically there are notional exchanges at the end: either inflated-notional vs notional; or just (inflated-notional - notional) vs zero. The latter is perhaphs more typical. </p>
<dl class="caveats"><dt><b><a class="el" href="caveats.html#_caveats000053">Warning:</a></b></dt><dd>Setting subtractInflationNominal to true means that the original inflation nominal is subtracted from both nominals before they are exchanged, even if they are different.</dd></dl>
<p>This swap can mimic a ZCIIS where [(1+q)^n - 1] is exchanged against (cpi ratio - 1), by using differnt nominals on each leg and setting subtractInflationNominal to true. ALSO - there must be just one date in each schedule.</p>
<p>The two legs can have different schedules, fixing (days vs lag), settlement, and roll conventions. N.B. accrual adjustment periods are already in the schedules. Trade date and swap settlement date are outside the scope of the instrument. </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="a769a037255393b166557200edad61038"></a><!-- doxytag: member="QuantLib::CPISwap::setupArguments" ref="a769a037255393b166557200edad61038" args="(PricingEngine::arguments *args) const " -->
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<td class="memname">void <a class="el" href="class_quant_lib_1_1_c_p_i_swap.html#a769a037255393b166557200edad61038">setupArguments</a> </td>
<td>(</td>
<td class="paramtype">PricingEngine::arguments * </td>
<td class="paramname"></td><td>)</td>
<td> const<code> [virtual]</code></td>
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<p>When a derived argument structure is defined for an instrument, this method should be overridden to fill it. This is mandatory in case a pricing engine is used. </p>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_swap.html#aad6958108bfaef12bc4ccd6b3d7a7231">Swap</a>.</p>
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<a class="anchor" id="aa0a3105ddebcff9f233fb76a8a31fafe"></a><!-- doxytag: member="QuantLib::CPISwap::fetchResults" ref="aa0a3105ddebcff9f233fb76a8a31fafe" args="(const PricingEngine::results *) const " -->
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<td class="memname">void <a class="el" href="class_quant_lib_1_1_c_p_i_swap.html#aa0a3105ddebcff9f233fb76a8a31fafe">fetchResults</a> </td>
<td>(</td>
<td class="paramtype">const PricingEngine::results * </td>
<td class="paramname"><em>r</em></td><td>)</td>
<td> const<code> [virtual]</code></td>
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<p>When a derived result structure is defined for an instrument, this method should be overridden to read from it. This is mandatory in case a pricing engine is used. </p>
<p>Reimplemented from <a class="el" href="class_quant_lib_1_1_swap.html#aa0a3105ddebcff9f233fb76a8a31fafe">Swap</a>.</p>
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