Base class for year-on-year inflation term structures. More...
#include <ql/termstructures/inflationtermstructure.hpp>
Inheritance diagram for YoYInflationTermStructure:Public Member Functions | |
Constructors | |
| YoYInflationTermStructure (const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yieldTS, const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
| YoYInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yieldTS, const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
| YoYInflationTermStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yieldTS, const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
Inspectors | |
| 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... | |
Public Member Functions inherited from InflationTermStructure | |
| void | setSeasonality (const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) |
| Functions to set and get seasonality. More... | |
| boost::shared_ptr< Seasonality > | seasonality () const |
| bool | hasSeasonality () const |
| InflationTermStructure (Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter(), const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
| 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 boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
| InflationTermStructure (Natural settlementDays, const Calendar &calendar, Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter(), const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
| 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... | |
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 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< std::set< boost::shared_ptr< Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| void | registerWithObservables (const boost::shared_ptr< Observer > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
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 | |
Protected Member Functions | |
| virtual Rate | yoyRateImpl (Time time) const =0 |
| to be defined in derived classes | |
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 | |
Additional Inherited Members | |
Protected Attributes inherited from InflationTermStructure | |
| boost::shared_ptr< Seasonality > | seasonality_ |
| Period | observationLag_ |
| Frequency | frequency_ |
| bool | indexIsInterpolated_ |
| Rate | baseRate_ |
| Handle< YieldTermStructure > | nominalTermStructure_ |
Protected Attributes inherited from TermStructure | |
| bool | moving_ |
| bool | updated_ |
| Calendar | calendar_ |
Base class for year-on-year inflation term structures.
| Rate yoyRate | ( | const Date & | d, |
| const Period & | instObsLag = Period(-1, Days), |
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| bool | forceLinearInterpolation = false, |
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| bool | extrapolate = false |
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| ) | const |
year-on-year inflation rate.
The forceLinearInterpolation parameter is relative to the frequency of the TS.