Class ForwardInflationEndInterpolatedRateComputationFn

  • All Implemented Interfaces:

    public class ForwardInflationEndInterpolatedRateComputationFn
    extends Object
    implements RateComputationFn<InflationEndInterpolatedRateComputation>
    Rate computation implementation for rate based on the weighted average of fixings of a single price index.

    The rate computed by this instance is based on fixed start index value and two observations relative to the end date of the period. The start index is given by InflationEndInterpolatedRateComputation. The end index is the weighted average of the index values associated with the two reference dates. Then the pay-off for a unit notional is IndexEnd / IndexStart.