QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
Public Member Functions | List of all members
InterpolatedZeroInflationCurve< Interpolator > Class Template Reference

Inflation term structure based on the interpolation of zero rates. More...

#include <ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp>

+ Inheritance diagram for InterpolatedZeroInflationCurve< Interpolator >:

Public Member Functions

 InterpolatedZeroInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, bool indexIsInterpolated, const std::vector< Date > &dates, const std::vector< Rate > &rates, const Interpolator &interpolator=Interpolator())
 
QL_DEPRECATED InterpolatedZeroInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const std::vector< Date > &dates, const std::vector< Rate > &rates, const Interpolator &interpolator=Interpolator())
 
InflationTermStructure interface
Date baseDate () const
 minimum (base) date More...
 
Date maxDate () const
 the latest date for which the curve can return values
 
Inspectors
const std::vector< Date > & dates () const
 
const std::vector< Time > & times () const
 
const std::vector< Real > & data () const
 
const std::vector< Rate > & rates () const
 
std::vector< std::pair< Date, Rate > > nodes () const
 
- Public Member Functions inherited from ZeroInflationTermStructure
 ZeroInflationTermStructure (const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())
 
 ZeroInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())
 
 ZeroInflationTermStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())
 
QL_DEPRECATED ZeroInflationTermStructure (const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())
 
QL_DEPRECATED ZeroInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())
 
QL_DEPRECATED ZeroInflationTermStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())
 
Rate zeroRate (const Date &d, const Period &instObsLag=Period(-1, Days), bool forceLinearInterpolation=false, bool extrapolate=false) const
 zero-coupon inflation rate. More...
 
Rate zeroRate (Time t, bool extrapolate=false) const
 zero-coupon inflation rate. More...
 
- Public Member Functions inherited from InflationTermStructure
 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 >())
 
virtual Period observationLag () const
 
virtual Frequency frequency () const
 
virtual bool indexIsInterpolated () const
 
virtual Rate baseRate () const
 
virtual Handle< YieldTermStructurenominalTermStructure () const
 
void setSeasonality (const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >())
 Functions to set and get seasonality. More...
 
ext::shared_ptr< Seasonalityseasonality () const
 
bool hasSeasonality () const
 
- 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 Time maxTime () const
 the latest time for which the curve can return values
 
virtual const DatereferenceDate () 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 &)
 
Observeroperator= (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 &)
 
Observableoperator= (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
 

ZeroInflationTermStructure Interface

std::vector< Datedates_
 
Rate zeroRateImpl (Time t) const
 to be defined in derived classes
 
 InterpolatedZeroInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate baseZeroRate, const Interpolator &interpolator=Interpolator())
 
QL_DEPRECATED InterpolatedZeroInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate baseZeroRate, const Handle< YieldTermStructure > &yTS, const Interpolator &interpolator=Interpolator())
 

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 ZeroInflationTermStructure
- Protected Member Functions inherited from InflationTermStructure
virtual void setBaseRate (const Rate &r)
 
void checkRange (const Date &, bool extrapolate) const
 
void checkRange (Time t, bool extrapolate) const
 
- 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 Member Functions inherited from InterpolatedCurve< Interpolator >
 InterpolatedCurve (const std::vector< Time > &times, const std::vector< Real > &data, const Interpolator &i=Interpolator())
 
 InterpolatedCurve (const std::vector< Time > &times, const Interpolator &i=Interpolator())
 
 InterpolatedCurve (Size n, const Interpolator &i=Interpolator())
 
 InterpolatedCurve (const Interpolator &i=Interpolator())
 
 InterpolatedCurve (const InterpolatedCurve &c)
 
InterpolatedCurveoperator= (const InterpolatedCurve &c)
 
void setupInterpolation ()
 
- Protected Attributes inherited from InflationTermStructure
ext::shared_ptr< Seasonalityseasonality_
 
Period observationLag_
 
Frequency frequency_
 
bool indexIsInterpolated_
 
Rate baseRate_
 
Handle< YieldTermStructurenominalTermStructure_
 
- Protected Attributes inherited from TermStructure
bool moving_
 
bool updated_
 
Calendar calendar_
 
- Protected Attributes inherited from InterpolatedCurve< Interpolator >
std::vector< Timetimes_
 
std::vector< Realdata_
 
Interpolation interpolation_
 
Interpolator interpolator_
 
Date maxDate_
 

Detailed Description

template<class Interpolator>
class QuantLib::InterpolatedZeroInflationCurve< Interpolator >

Inflation term structure based on the interpolation of zero rates.

Constructor & Destructor Documentation

◆ InterpolatedZeroInflationCurve() [1/3]

InterpolatedZeroInflationCurve ( const Date referenceDate,
const Calendar calendar,
const DayCounter dayCounter,
const Period lag,
Frequency  frequency,
bool  indexIsInterpolated,
const Handle< YieldTermStructure > &  yTS,
const std::vector< Date > &  dates,
const std::vector< Rate > &  rates,
const Interpolator &  interpolator = Interpolator() 
)
Deprecated:
Use the constructor not taking a yield term structure. Deprecated in version 1.19.

◆ InterpolatedZeroInflationCurve() [2/3]

InterpolatedZeroInflationCurve ( const Date referenceDate,
const Calendar calendar,
const DayCounter dayCounter,
const Period lag,
Frequency  frequency,
bool  indexIsInterpolated,
Rate  baseZeroRate,
const Interpolator &  interpolator = Interpolator() 
)
protected

Protected version for use when descendents don't want to (or can't) provide the points for interpolation on construction.

◆ InterpolatedZeroInflationCurve() [3/3]

InterpolatedZeroInflationCurve ( const Date referenceDate,
const Calendar calendar,
const DayCounter dayCounter,
const Period lag,
Frequency  frequency,
bool  indexIsInterpolated,
Rate  baseZeroRate,
const Handle< YieldTermStructure > &  yTS,
const Interpolator &  interpolator = Interpolator() 
)
protected
Deprecated:
Use the constructor not taking a yield term structure. Deprecated in version 1.19.

Member Function Documentation

◆ baseDate()

Date baseDate ( ) const
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).

Implements InflationTermStructure.

Reimplemented in PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >.