YoYInflationTermStructure Class Reference

Base class for year-on-year inflation term structures. More...

#include <ql/termstructures/inflationtermstructure.hpp>

Inheritance diagram for YoYInflationTermStructure:

Public Member Functions
Constructors
	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={})
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 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 () 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

Inspectors
bool	indexIsInterpolated_ = false
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
virtual Rate	yoyRateImpl (Time time) const =0
	to be defined in derived classes

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
ext::shared_ptr< Seasonality >	seasonality_
Period	observationLag_
Frequency	frequency_
Rate	baseRate_
Date	baseDate_
bool	moving_ = false
bool	updated_ = true
Calendar	calendar_

Detailed Description

Base class for year-on-year inflation term structures.

Constructor & Destructor Documentation

YoYInflationTermStructure() [1/3]

YoYInflationTermStructure	(	Date	baseDate,
		Rate	baseYoYRate,
		Frequency	frequency,
		bool	indexIsInterpolated,
		const DayCounter &	dayCounter,
		const ext::shared_ptr< Seasonality > &	seasonality = {} )

Deprecated

Use an overload with an explicit base date and without indexIsInterpolated. Deprecated in version 1.37.

YoYInflationTermStructure() [2/3]

YoYInflationTermStructure	(	const Date &	referenceDate,
		Date	baseDate,
		Rate	baseYoYRate,
		Frequency	frequency,
		bool	indexIsInterpolated,
		const DayCounter &	dayCounter,
		const ext::shared_ptr< Seasonality > &	seasonality = {} )

Deprecated

Use an overload with an explicit base date and without indexIsInterpolated. Deprecated in version 1.37.

YoYInflationTermStructure() [3/3]

YoYInflationTermStructure	(	Natural	settlementDays,
		const Calendar &	calendar,
		Date	baseDate,
		Rate	baseYoYRate,
		Frequency	frequency,
		bool	indexIsInterpolated,
		const DayCounter &	dayCounter,
		const ext::shared_ptr< Seasonality > &	seasonality = {} )

Deprecated

Use an overload with an explicit base date and without indexIsInterpolated. Deprecated in version 1.37.

Member Function Documentation

yoyRate() [1/2]

Rate yoyRate	(	const Date &	d,
		const Period &	instObsLag = Period(-1, Days),
		bool	forceLinearInterpolation = false,
		bool	extrapolate = false ) const

year-on-year inflation rate.

The forceLinearInterpolation parameter is relative to the frequency of the TS.

Note

this is not the year-on-year swap (YYIIS) rate.

yoyRate() [2/2]

Rate yoyRate	(	Time	t,
		bool	extrapolate = false ) const

year-on-year inflation rate.

Warning

Since inflation is highly linked to dates (lags, interpolation, months for seasonality, etc) this method cannot account for all effects. If you call it, You'll have to manage lag, seasonality etc. yourself.

indexIsInterpolated()

bool indexIsInterpolated ( ) const

virtual

Deprecated

This method will disappear. When it does, the curve will behave as if it returned false. Deprecated in version 1.37.

yoyRateImpl()

virtual Rate yoyRateImpl ( Time time ) const

protectedpure virtual

to be defined in derived classes

Implemented in InterpolatedYoYInflationCurve< Interpolator >, and InterpolatedYoYInflationCurve< Linear >.

Member Data Documentation

indexIsInterpolated_

bool indexIsInterpolated_ = false

protected

Deprecated

This data member will disappear. When it does, the curve will behave as if it was false. Deprecated in version 1.37.