ZeroInflationTermStructure Class Reference

Interface for zero inflation term structures. More...

#include <ql/termstructures/inflationtermstructure.hpp>

Inheritance diagram for ZeroInflationTermStructure:

Public Member Functions
Constructors
	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={})
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
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.
virtual Rate	zeroRateImpl (Time t) 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

Interface for zero inflation term structures.

Member Function Documentation

zeroRate() [1/2]

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

zero-coupon inflation rate.

Essentially the fair rate for a zero-coupon inflation swap (by definition), i.e. the zero term structure uses yearly compounding, which is assumed for ZCIIS instrument quotes.

Note

by default you get the same as lag and interpolation as the term structure. If you want to get predictions of RPI/CPI/etc then use an index.

zeroRate() [2/2]

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

zero-coupon 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.

zeroRateImpl()

virtual Rate zeroRateImpl ( Time t ) const

protectedpure virtual

to be defined in derived classes

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