Piecewise year-on-year inflation term structure. More...
#include <ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp>
Public Types | |
typedef Traits | traits_type |
typedef Interpolator | interpolator_type |
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typedef boost::unordered_set< ext::shared_ptr< Observable > > | set_type |
typedef set_type::iterator | iterator |
Public Member Functions | |
Constructors | |
PiecewiseYoYInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate baseYoYRate, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, Real accuracy=1.0e-12, const Interpolator &i=Interpolator()) | |
QL_DEPRECATED | PiecewiseYoYInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate baseYoYRate, const Handle< YieldTermStructure > &nominalTS, const std::vector< ext::shared_ptr< typename Traits::helper > > &instruments, Real accuracy=1.0e-12, const Interpolator &i=Interpolator()) |
Inflation 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< Time > & | times () const |
const std::vector< Date > & | dates () const |
const std::vector< Real > & | data () const |
std::vector< std::pair< Date, Real > > | nodes () const |
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InterpolatedYoYInflationCurve (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 | InterpolatedYoYInflationCurve (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()) |
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 |
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YoYInflationTermStructure (const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >()) | |
YoYInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >()) | |
YoYInflationTermStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >()) | |
QL_DEPRECATED | YoYInflationTermStructure (const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yieldTS, const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >()) |
QL_DEPRECATED | YoYInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yieldTS, const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >()) |
QL_DEPRECATED | YoYInflationTermStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yieldTS, const ext::shared_ptr< Seasonality > &seasonality=ext::shared_ptr< Seasonality >()) |
Rate | yoyRate (const Date &d, const Period &instObsLag=Period(-1, Days), bool forceLinearInterpolation=false, bool extrapolate=false) const |
year-on-year inflation rate. More... | |
Rate | yoyRate (Time t, bool extrapolate=false) const |
year-on-year inflation rate. More... | |
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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< YieldTermStructure > | nominalTermStructure () const |
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 |
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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 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 | |
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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 () |
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Observable (const Observable &) | |
Observable & | operator= (const Observable &) |
void | notifyObservers () |
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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 | |
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void | recalculate () |
void | freeze () |
void | unfreeze () |
void | alwaysForwardNotifications () |
Observer interface | |
class | Bootstrap< this_curve > |
class | BootstrapError< this_curve > |
void | update () |
Additional Inherited Members | |
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Rate | yoyRateImpl (Time t) const |
to be defined in derived classes | |
InterpolatedYoYInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Interpolator &interpolator=Interpolator()) | |
QL_DEPRECATED | InterpolatedYoYInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const Interpolator &interpolator=Interpolator()) |
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virtual void | setBaseRate (const Rate &r) |
void | checkRange (const Date &, bool extrapolate) const |
void | checkRange (Time t, bool extrapolate) const |
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void | checkRange (const Date &d, bool extrapolate) const |
date-range check | |
void | checkRange (Time t, bool extrapolate) const |
time-range check | |
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InterpolatedCurve (const std::vector< Time > ×, const std::vector< Real > &data, const Interpolator &i=Interpolator()) | |
InterpolatedCurve (const std::vector< Time > ×, const Interpolator &i=Interpolator()) | |
InterpolatedCurve (Size n, const Interpolator &i=Interpolator()) | |
InterpolatedCurve (const Interpolator &i=Interpolator()) | |
InterpolatedCurve (const InterpolatedCurve &c) | |
InterpolatedCurve & | operator= (const InterpolatedCurve &c) |
void | setupInterpolation () |
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virtual void | calculate () const |
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std::vector< Date > | dates_ |
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ext::shared_ptr< Seasonality > | seasonality_ |
Period | observationLag_ |
Frequency | frequency_ |
bool | indexIsInterpolated_ |
Rate | baseRate_ |
Handle< YieldTermStructure > | nominalTermStructure_ |
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bool | moving_ |
bool | updated_ |
Calendar | calendar_ |
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std::vector< Time > | times_ |
std::vector< Real > | data_ |
Interpolation | interpolation_ |
Interpolator | interpolator_ |
Date | maxDate_ |
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bool | calculated_ |
bool | frozen_ |
bool | alwaysForward_ |
Piecewise year-on-year inflation term structure.
QL_DEPRECATED PiecewiseYoYInflationCurve | ( | const Date & | referenceDate, |
const Calendar & | calendar, | ||
const DayCounter & | dayCounter, | ||
const Period & | lag, | ||
Frequency | frequency, | ||
bool | indexIsInterpolated, | ||
Rate | baseYoYRate, | ||
const Handle< YieldTermStructure > & | nominalTS, | ||
const std::vector< ext::shared_ptr< typename Traits::helper > > & | instruments, | ||
Real | accuracy = 1.0e-12 , |
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const Interpolator & | i = Interpolator() |
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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).
Reimplemented from InterpolatedYoYInflationCurve< Interpolator >.
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virtual |
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.
Reimplemented from LazyObject.