PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits > Class Template Reference

Piecewise year-on-year inflation term structure. More...

#include <ql/termstructures/inflation/piecewiseyoyinflationcurve.hpp>

Inheritance diagram for PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >:

Public Types
typedef Traits	traits_type
typedef Interpolator	interpolator_type
Public Types inherited from Observer
typedef set_type::iterator	iterator

Public Member Functions
Constructors
	PiecewiseYoYInflationCurve (const Date &referenceDate, Date baseDate, Rate baseYoYRate, Frequency frequency, const DayCounter &dayCounter, std::vector< ext::shared_ptr< typename Traits::helper > > instruments, const ext::shared_ptr< Seasonality > &seasonality={}, Real accuracy=1.0e-12, const Interpolator &i=Interpolator())
	PiecewiseYoYInflationCurve (const Date &referenceDate, Date baseDate, Rate baseYoYRate, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter, std::vector< ext::shared_ptr< typename Traits::helper > > instruments, const ext::shared_ptr< Seasonality > &seasonality={}, Real accuracy=1.0e-12, const Interpolator &i=Interpolator())
Inflation interface
Date	maxDate () const override
	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
Public Member Functions inherited from InterpolatedYoYInflationCurve< Interpolator >
	InterpolatedYoYInflationCurve (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())
	InterpolatedYoYInflationCurve (const Date &referenceDate, std::vector< Date > dates, const std::vector< Rate > &rates, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={}, 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
Public Member Functions inherited from YoYInflationTermStructure
	YoYInflationTermStructure (Date baseDate, Rate baseYoYRate, Frequency frequency, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})
	YoYInflationTermStructure (const Date &referenceDate, Date baseDate, Rate baseYoYRate, Frequency frequency, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})
	YoYInflationTermStructure (Natural settlementDays, const Calendar &calendar, Date baseDate, Rate baseYoYRate, Frequency frequency, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})
	YoYInflationTermStructure (Date baseDate, Rate baseYoYRate, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})
	YoYInflationTermStructure (const Date &referenceDate, Date baseDate, Rate baseYoYRate, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})
	YoYInflationTermStructure (Natural settlementDays, const Calendar &calendar, Date baseDate, Rate baseYoYRate, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})
Rate	yoyRate (const Date &d, const Period &instObsLag=Period(-1, Days), bool forceLinearInterpolation=false, bool extrapolate=false) const
	year-on-year inflation rate.
Rate	yoyRate (Time t, bool extrapolate=false) const
	year-on-year inflation rate.
virtual bool	indexIsInterpolated () const
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
Public Member Functions inherited from LazyObject
bool	isCalculated () const
void	forwardFirstNotificationOnly ()
void	alwaysForwardNotifications ()
void	recalculate ()
void	freeze ()
void	unfreeze ()

Observer interface
class	Bootstrap< this_curve >
void	update () override

Additional Inherited Members
	InterpolatedYoYInflationCurve (const Date &referenceDate, Date baseDate, Rate baseYoYRate, Frequency frequency, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={}, const Interpolator &interpolator=Interpolator())
	InterpolatedYoYInflationCurve (const Date &referenceDate, Date baseDate, Rate baseYoYRate, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={}, const Interpolator &interpolator=Interpolator())
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 ()
virtual void	calculate () const
std::vector< Date >	dates_
bool	indexIsInterpolated_ = false
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_
bool	calculated_ = false
bool	frozen_ = false
bool	alwaysForward_

Detailed Description

template<class Interpolator, template< class > class Bootstrap = IterativeBootstrap, class Traits = YoYInflationTraits>
class QuantLib::PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >

Piecewise year-on-year inflation term structure.

Constructor & Destructor Documentation

PiecewiseYoYInflationCurve()

template<class Interpolator, template< class > class Bootstrap = IterativeBootstrap, class Traits = YoYInflationTraits>

PiecewiseYoYInflationCurve	(	const Date &	referenceDate,
		Date	baseDate,
		Rate	baseYoYRate,
		Frequency	frequency,
		bool	indexIsInterpolated,
		const DayCounter &	dayCounter,
		std::vector< ext::shared_ptr< typename Traits::helper > >	instruments,
		const ext::shared_ptr< Seasonality > &	seasonality = {},
		Real	accuracy = 1.0e-12,
		const Interpolator &	i = Interpolator() )

Deprecated

Use the overload without indexIsInterpolated. Deprecated in version 1.37.

Member Function Documentation

maxDate()

template<class I, template< class > class B, class T>

Date maxDate ( ) const

overridevirtual

the latest date for which the curve can return values

Reimplemented from InterpolatedYoYInflationCurve< Interpolator >.

update()

template<class I, template< class > class B, class T>

void update ( )

overridevirtual

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.

Implements Observer.