QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.20
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ZeroInflationTermStructure Class Referenceabstract

Interface for zero inflation term structures. More...

#include <ql/termstructures/inflationtermstructure.hpp>

+ Inheritance diagram for ZeroInflationTermStructure:

Public Member Functions

Constructors
 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 >())
 
- 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
 
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< 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 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 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
 

Inspectors

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...
 
virtual Rate zeroRateImpl (Time t) const =0
 to be defined in derived classes
 

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 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 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_
 

Detailed Description

Interface for zero inflation term structures.

Constructor & Destructor Documentation

◆ ZeroInflationTermStructure() [1/3]

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 >() 
)
Deprecated:
Use one of the constructors not taking a yield term structure. Deprecated in version 1.19.

◆ ZeroInflationTermStructure() [2/3]

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 >() 
)
Deprecated:
Use one of the constructors not taking a yield term structure. Deprecated in version 1.19.

◆ ZeroInflationTermStructure() [3/3]

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 >() 
)
Deprecated:
Use one of the constructors not taking a yield term structure. Deprecated in version 1.19.

Member Function Documentation

◆ zeroRate() [1/2]

Rate zeroRate ( const Date d,
const Period instObsLag = Period(-1, Days),
bool  forceLinearInterpolation = false,
bool  extrapolate = false 
) const

zero-coupon inflation rate.

Essentially the fair rate for a zero-coupon inflation swap (by definition), i.e. the zero term structure uses yearly compounding, which is assumed for ZCIIS instrument quotes.

Note
by default you get the same as lag and interpolation as the term structure. If you want to get predictions of RPI/CPI/etc then use an index.

◆ zeroRate() [2/2]

Rate zeroRate ( Time  t,
bool  extrapolate = false 
) const

zero-coupon inflation rate.

Warning:
Since inflation is highly linked to dates (lags, interpolation, months for seasonality, etc) this method cannot account for all effects. If you call it, You'll have to manage lag, seasonality etc. yourself.