InflationIndex Class Reference

Base class for inflation-rate indexes,. More...

#include <ql/indexes/inflationindex.hpp>

Inheritance diagram for InflationIndex:

Public Member Functions
	InflationIndex (std::string familyName, Region region, bool revised, Frequency frequency, const Period &availabilitiyLag, Currency currency)
Index interface
std::string	name () const override
	Returns the name of the index.
Calendar	fixingCalendar () const override
bool	isValidFixingDate (const Date &) const override
	returns TRUE if the fixing date is a valid one
Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override=0
Real	pastFixing (const Date &fixingDate) const override=0
	returns a past fixing at the given date
void	addFixing (const Date &fixingDate, Rate fixing, bool forceOverwrite=false) override
Public Member Functions inherited from Index
bool	hasHistoricalFixing (const Date &fixingDate) const
	returns whether a historical fixing was stored for the given date
const TimeSeries< Real > &	timeSeries () const
	returns the fixing TimeSeries
virtual bool	allowsNativeFixings ()
	check if index allows for native fixings.
void	update () override
void	addFixings (const TimeSeries< Real > &t, bool forceOverwrite=false)
	stores historical fixings from a TimeSeries
template<class DateIterator, class ValueIterator>
void	addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false)
	stores historical fixings at the given dates
void	clearFixings ()
	clears all stored historical fixings
Public Member Functions inherited from Observable
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
void	notifyObservers ()
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 ()

Inspectors
Date	referenceDate_
std::string	familyName_
Region	region_
bool	revised_
Frequency	frequency_
Period	availabilityLag_
Currency	currency_
std::string	familyName () const
Region	region () const
bool	revised () const
Frequency	frequency () const
Period	availabilityLag () const
Currency	currency () const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
ext::shared_ptr< Observable >	notifier () const

Detailed Description

Base class for inflation-rate indexes,.

Member Function Documentation

name()

std::string name ( ) const

overridevirtual

Returns the name of the index.

Warning

This method is used for output and comparison between indexes. It is not meant to be used for writing switch-on-type code.

Implements Index.

fixingCalendar()

Calendar fixingCalendar ( ) const

overridevirtual

Inflation indices are not associated to a particular day, but to months or quarters. Therefore, they do not have fixing calendars. Since we're forced by the base Index interface to add one, this method returns a NullCalendar instance.

Implements Index.

isValidFixingDate()

bool isValidFixingDate ( const Date & fixingDate ) const

overridevirtual

returns TRUE if the fixing date is a valid one

Implements Index.

fixing()

Real fixing ( const Date & fixingDate, bool forecastTodaysFixing = false ) const

overridepure virtual

Forecasting index values requires an inflation term structure, with a base date that is earlier than its asof date. This must be so because indices are available only with a lag. Usually, it makes sense for the base date to be the first day of the month of the last published fixing.

Implements Index.

Implemented in YoYInflationIndex, and ZeroInflationIndex.

pastFixing()

Real pastFixing ( const Date & fixingDate ) const

overridepure virtual

returns a past fixing at the given date

Reimplemented from Index.

Implemented in YoYInflationIndex, and ZeroInflationIndex.

addFixing()

void addFixing ( const Date & fixingDate, Rate fixing, bool forceOverwrite = false )

overridevirtual

Reimplemented from Index.

availabilityLag()

Period availabilityLag

(

)

const

The availability lag describes when the index might be available; for instance, the inflation value for January may only be available in April. This doesn't mean that that inflation value is considered as the April fixing; it remains the January fixing, independently of the lag in availability.