public override void initialize(InflationCoupon coupon)
{
coupon_ = coupon as CPICoupon;
gearing_ = coupon_.fixedRate();
spread_ = coupon_.spread();
paymentDate_ = coupon_.date();
rateCurve_ = ((ZeroInflationIndex)coupon.index())
.zeroInflationTermStructure().link
.nominalTermStructure();
// past or future fixing is managed in YoYInflationIndex::fixing()
// use yield curve from index (which sets discount)
discount_ = 1.0;
if (paymentDate_ > rateCurve_.link.referenceDate())
{
discount_ = rateCurve_.link.discount(paymentDate_);
}
spreadLegValue_ = spread_ * coupon_.accrualPeriod() * discount_;
}
public virtual void initialize(InflationCoupon i)
{
}