A free/open-source library for quantitative finance
Reference manual - version 1.20
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A free/open-source library for quantitative finance
Reference manual - version 1.20
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Interface for inflation term structures. More...
#include <ql/termstructures/inflationtermstructure.hpp>
Inheritance diagram for InflationTermStructure:Public Member Functions | |
Constructors | |
| InflationTermStructure (Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter=DayCounter(), const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >()) | |
| InflationTermStructure (const Date &referenceDate, Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Calendar &calendar=Calendar(), const DayCounter &dayCounter=DayCounter(), const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >()) | |
| InflationTermStructure (Natural settlementDays, const Calendar &calendar, Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter=DayCounter(), const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >()) | |
| QL_DEPRECATED | InflationTermStructure (Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter(), const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >()) |
| QL_DEPRECATED | InflationTermStructure (const Date &referenceDate, Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const Calendar &calendar=Calendar(), const DayCounter &dayCounter=DayCounter(), const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >()) |
| QL_DEPRECATED | InflationTermStructure (Natural settlementDays, const Calendar &calendar, Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter(), const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >()) |
| Public Member Functions inherited from TermStructure | |
| TermStructure (const DayCounter &dc=DayCounter()) | |
| default constructor More... | |
| TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter()) | |
| initialize with a fixed reference date | |
| TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date | |
| virtual | ~TermStructure () |
| virtual DayCounter | dayCounter () const |
| the day counter used for date/time conversion | |
| Time | timeFromReference (const Date &date) const |
| date/time conversion | |
| virtual Date | maxDate () const =0 |
| the latest date for which the curve can return values | |
| virtual Time | maxTime () const |
| the latest time for which the curve can return values | |
| virtual const Date & | referenceDate () const |
| the date at which discount = 1.0 and/or variance = 0.0 | |
| virtual Calendar | calendar () const |
| the calendar used for reference and/or option date calculation | |
| virtual Natural | settlementDays () const |
| the settlementDays used for reference date calculation | |
| void | update () |
| Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
| std::pair< iterator, bool > | registerWith (const ext::shared_ptr< Observable > &) |
| void | registerWithObservables (const ext::shared_ptr< Observer > &) |
| Size | unregisterWith (const ext::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| virtual void | deepUpdate () |
| Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
| Public Member Functions inherited from Extrapolator | |
| void | enableExtrapolation (bool b=true) |
| enable extrapolation in subsequent calls | |
| void | disableExtrapolation (bool b=true) |
| disable extrapolation in subsequent calls | |
| bool | allowsExtrapolation () const |
| tells whether extrapolation is enabled | |
Inflation interface | |
| ext::shared_ptr< Seasonality > | seasonality_ |
| Period | observationLag_ |
| Frequency | frequency_ |
| bool | indexIsInterpolated_ |
| Rate | baseRate_ |
| Handle< YieldTermStructure > | nominalTermStructure_ |
| virtual Period | observationLag () const |
| virtual Frequency | frequency () const |
| virtual bool | indexIsInterpolated () const |
| virtual Rate | baseRate () const |
| virtual Handle< YieldTermStructure > | nominalTermStructure () const |
| virtual Date | baseDate () const =0 |
| minimum (base) date More... | |
| void | setSeasonality (const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >()) |
| Functions to set and get seasonality. More... | |
| ext::shared_ptr< Seasonality > | seasonality () const |
| bool | hasSeasonality () const |
| virtual void | setBaseRate (const Rate &r) |
| void | checkRange (const Date &, bool extrapolate) const |
| void | checkRange (Time t, bool extrapolate) const |
Additional Inherited Members | |
| Public Types inherited from Observer | |
| typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
| typedef set_type::iterator | iterator |
| Protected Member Functions inherited from TermStructure | |
| void | checkRange (const Date &d, bool extrapolate) const |
| date-range check | |
| void | checkRange (Time t, bool extrapolate) const |
| time-range check | |
| Protected Attributes inherited from TermStructure | |
| bool | moving_ |
| bool | updated_ |
| Calendar | calendar_ |
Interface for inflation term structures.
| QL_DEPRECATED InflationTermStructure | ( | Rate | baseRate, |
| const Period & | observationLag, | ||
| Frequency | frequency, | ||
| bool | indexIsInterpolated, | ||
| const Handle< YieldTermStructure > & | yTS, | ||
| const DayCounter & | dayCounter = DayCounter(), |
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| const ext::shared_ptr< Seasonality > & | seasonality = ext::shared_ptr< Seasonality >() |
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| ) |
| QL_DEPRECATED InflationTermStructure | ( | const Date & | referenceDate, |
| Rate | baseRate, | ||
| const Period & | observationLag, | ||
| Frequency | frequency, | ||
| bool | indexIsInterpolated, | ||
| const Handle< YieldTermStructure > & | yTS, | ||
| const Calendar & | calendar = Calendar(), |
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| const DayCounter & | dayCounter = DayCounter(), |
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| const ext::shared_ptr< Seasonality > & | seasonality = ext::shared_ptr< Seasonality >() |
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| ) |
| QL_DEPRECATED InflationTermStructure | ( | Natural | settlementDays, |
| const Calendar & | calendar, | ||
| Rate | baseRate, | ||
| const Period & | observationLag, | ||
| Frequency | frequency, | ||
| bool | indexIsInterpolated, | ||
| const Handle< YieldTermStructure > & | yTS, | ||
| const DayCounter & | dayCounter = DayCounter(), |
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| const ext::shared_ptr< Seasonality > & | seasonality = ext::shared_ptr< Seasonality >() |
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| ) |
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virtual |
The TS observes with a lag that is usually different from the availability lag of the index. An inflation rate is given, by default, for the maturity requested assuming this lag.
Reimplemented in CPICapFloorTermPriceSurface.
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pure virtual |
minimum (base) date
Important in inflation since it starts before nominal reference date. Changes depending whether index is interpolated or not. When interpolated the base date is just observation lag before nominal. When not interpolated it is the beginning of the relevant period (hence it is easy to create interpolated fixings from a not-interpolated curve because interpolation, usually, of fixings is forward looking).
Implemented in PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >, PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >, InterpolatedZeroInflationCurve< Interpolator >, InterpolatedYoYInflationCurve< Interpolator >, and CPICapFloorTermPriceSurface.
| void setSeasonality | ( | const ext::shared_ptr< Seasonality > & | seasonality = ext::shared_ptr< Seasonality >() | ) |
Functions to set and get seasonality.
Calling setSeasonality with no arguments means unsetting as the default is used to choose unsetting.
