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) { }