Class ForwardInflationInterpolatedRateComputationFn

  • All Implemented Interfaces:

    public class ForwardInflationInterpolatedRateComputationFn
    extends Object
    implements RateComputationFn<InflationInterpolatedRateComputation>
    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 four observations of the index, two relative to the accrual start date and two relative to the accrual end date. The start index is the weighted average of the index values associated with the first two reference dates, and the end index is derived from the index values on the last two reference dates. Then the pay-off for a unit notional is (IndexEnd / IndexStart - 1).