QuantLib: YoYInflationIndex Class Reference

Base class for year-on-year inflation indices. More...

#include <ql/indexes/inflationindex.hpp>

Inheritance diagram for YoYInflationIndex:

Public Member Functions
Constructors
	YoYInflationIndex (const ext::shared_ptr< ZeroInflationIndex > &underlyingIndex, Handle< YoYInflationTermStructure > ts={})
	Constructor for year-on-year indices defined as a ratio.
	YoYInflationIndex (const ext::shared_ptr< ZeroInflationIndex > &underlyingIndex, bool interpolated, Handle< YoYInflationTermStructure > ts={})
	YoYInflationIndex (const std::string &familyName, const Region &region, bool revised, Frequency frequency, const Period &availabilityLag, const Currency &currency, Handle< YoYInflationTermStructure > ts={})
	Constructor for quoted year-on-year indices.
	YoYInflationIndex (const std::string &familyName, const Region &region, bool revised, bool interpolated, Frequency frequency, const Period &availabilityLag, const Currency &currency, Handle< YoYInflationTermStructure > ts={})
Index interface
Rate	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
Real	pastFixing (const Date &fixingDate) const override
	returns a past fixing at the given date
Public Member Functions inherited from InflationIndex
	InflationIndex (std::string familyName, Region region, bool revised, Frequency frequency, const Period &availabilitiyLag, Currency currency)
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
void	addFixing (const Date &fixingDate, Rate fixing, bool forceOverwrite=false) override
std::string	familyName () const
Region	region () const
bool	revised () const
Frequency	frequency () const
Period	availabilityLag () const
Currency	currency () const
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 ()

Other methods
bool	interpolated_
Date	lastFixingDate () const
bool	interpolated () const
bool	ratio () const
ext::shared_ptr< ZeroInflationIndex >	underlyingIndex () const
Handle< YoYInflationTermStructure >	yoyInflationTermStructure () const
ext::shared_ptr< YoYInflationIndex >	clone (const Handle< YoYInflationTermStructure > &h) const
bool	needsForecast (const Date &fixingDate) const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
ext::shared_ptr< Observable >	notifier () const
Date	referenceDate_
std::string	familyName_
Region	region_
bool	revised_
Frequency	frequency_
Period	availabilityLag_
Currency	currency_

Detailed Description

Base class for year-on-year inflation indices.

These may be quoted indices published on, say, Bloomberg, or can be defined as the ratio of an index at different time points.

Constructor & Destructor Documentation

◆ YoYInflationIndex() [1/4]

YoYInflationIndex	(	const ext::shared_ptr< ZeroInflationIndex > &	underlyingIndex,
		Handle< YoYInflationTermStructure >	ts = {} )

explicit

Constructor for year-on-year indices defined as a ratio.

An index build with this constructor won't store past fixings of its own; they will be calculated as a ratio from the past fixings stored in the underlying index.

◆ YoYInflationIndex() [2/4]

YoYInflationIndex	(	const ext::shared_ptr< ZeroInflationIndex > &	underlyingIndex,
		bool	interpolated,
		Handle< YoYInflationTermStructure >	ts = {} )

Deprecated: Use the similar overload without the interpolated parameter. Deprecated in version 1.38.

◆ YoYInflationIndex() [3/4]

YoYInflationIndex	(	const std::string &	familyName,
		const Region &	region,
		bool	revised,
		Frequency	frequency,
		const Period &	availabilityLag,
		const Currency &	currency,
		Handle< YoYInflationTermStructure >	ts = {} )

Constructor for quoted year-on-year indices.

An index built with this constructor needs its past fixings (i.e., the past year-on-year values) to be stored via the addFixing or addFixings method.

◆ YoYInflationIndex() [4/4]

YoYInflationIndex	(	const std::string &	familyName,
		const Region &	region,
		bool	revised,
		bool	interpolated,
		Frequency	frequency,
		const Period &	availabilityLag,
		const Currency &	currency,
		Handle< YoYInflationTermStructure >	ts = {} )

Deprecated: Use the similar overload without the interpolated parameter. Deprecated in version 1.38.

Member Function Documentation

◆ fixing()

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

overridevirtual

Warning: the forecastTodaysFixing parameter (required by the Index interface) is currently ignored.

Implements InflationIndex.

◆ pastFixing()

Real pastFixing ( const Date & fixingDate ) const