QuantLib: InterpolatedZeroInflationCurve< Interpolator

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, std::vector< Date > dates, const std::vector< Rate > &rates, Frequency frequency, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={}, const Interpolator &interpolator=Interpolator())
InflationTermStructure interface
Date	maxDate () const override
	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 (Date baseDate, Frequency frequency, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})
	ZeroInflationTermStructure (const Date &referenceDate, Date baseDate, Frequency frequency, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})
	ZeroInflationTermStructure (Natural settlementDays, const Calendar &calendar, Date baseDate, Frequency frequency, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})
Rate	zeroRate (const Date &d, const Period &instObsLag=Period(-1, Days), bool forceLinearInterpolation=false, bool extrapolate=false) const
	zero-coupon inflation rate.
Rate	zeroRate (Time t, bool extrapolate=false) const
	zero-coupon inflation rate.
Public Member Functions inherited from InflationTermStructure
	InflationTermStructure (Date baseDate, Frequency frequency, const DayCounter &dayCounter=DayCounter(), ext::shared_ptr< Seasonality > seasonality={}, Rate baseRate=Null< Rate >())
	InflationTermStructure (const Date &referenceDate, Date baseDate, Frequency frequency, const DayCounter &dayCounter=DayCounter(), ext::shared_ptr< Seasonality > seasonality={}, Rate baseRate=Null< Rate >())
	InflationTermStructure (Natural settlementDays, const Calendar &calendar, Date baseDate, Frequency frequency, const DayCounter &dayCounter=DayCounter(), ext::shared_ptr< Seasonality > seasonality={}, Rate baseRate=Null< Rate >())
virtual Period	observationLag () const
virtual Frequency	frequency () const
virtual Rate	baseRate () const
virtual Date	baseDate () const
	minimum (base) date
bool	hasExplicitBaseDate () const
void	setSeasonality (const ext::shared_ptr< Seasonality > &seasonality)
ext::shared_ptr< Seasonality >	seasonality () const
bool	hasSeasonality () const
Public Member Functions inherited from TermStructure
	TermStructure (DayCounter dc=DayCounter())
	default constructor
	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date
	TermStructure (Natural settlementDays, Calendar, 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 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 () override
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 ()
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 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< Date >	dates_
Rate	zeroRateImpl (Time t) const override
	to be defined in derived classes
	InterpolatedZeroInflationCurve (const Date &referenceDate, Date baseDate, Frequency frequency, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={}, const Interpolator &interpolator=Interpolator())

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
void	checkRange (const Date &, bool extrapolate) const
void	checkRange (Time t, bool extrapolate) const
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 (std::vector< Time > times, std::vector< Real > data, const Interpolator &i=Interpolator())
	InterpolatedCurve (std::vector< Time > times, 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)
	InterpolatedCurve (InterpolatedCurve &&c) noexcept
InterpolatedCurve &	operator= (InterpolatedCurve &&c) noexcept
void	setupTimes (const std::vector< Date > &dates, Date referenceDate, const DayCounter &dayCounter)
void	setupInterpolation ()
ext::shared_ptr< Seasonality >	seasonality_
Period	observationLag_
Frequency	frequency_
Rate	baseRate_
Date	baseDate_
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_
std::vector< Time >	times_
std::vector< Real >	data_
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()

template<class Interpolator>

InterpolatedZeroInflationCurve	(	const Date &	referenceDate,
		Date	baseDate,
		Frequency	frequency,
		const DayCounter &	dayCounter,
		const ext::shared_ptr< Seasonality > &	seasonality = {},
		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.

Member Function Documentation

◆ maxDate()

template<class T>

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Implements TermStructure.

Reimplemented in PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >, PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >, and PiecewiseZeroInflationCurve< Interpolator, IterativeBootstrap, ZeroInflationTraits >.

◆ zeroRateImpl()

template<class T>

Rate zeroRateImpl ( Time t ) const

overrideprotectedvirtual

to be defined in derived classes

Implements ZeroInflationTermStructure.

Public Member Functions