QuantLib: CPI Struct Reference

Collaboration diagram for CPI:

Public Types
enum	InterpolationType { AsIndex , Flat , Linear }
	when you observe an index, how do you interpolate between fixings? More...

Static Public Member Functions
static Real	laggedFixing (const ext::shared_ptr< ZeroInflationIndex > &index, const Date &date, const Period &observationLag, InterpolationType interpolationType)
	interpolated inflation fixing More...

static Real	laggedYoYRate (const ext::shared_ptr< YoYInflationIndex > &index, const Date &date, const Period &observationLag, InterpolationType interpolationType)
	interpolated year-on-year inflation rate More...

Detailed Description

Definition at line 39 of file inflationindex.hpp.

when you observe an index, how do you interpolate between fixings?

Enumerator
AsIndex	same interpolation as index
Flat	flat from previous fixing
Linear	linearly between bracketing fixings

Definition at line 42 of file inflationindex.hpp.

Real laggedFixing	(	const ext::shared_ptr< ZeroInflationIndex > &	index,
		const Date &	date,
		const Period &	observationLag,
		CPI::InterpolationType	interpolationType
	)

static

interpolated inflation fixing

Parameters

index	The index whose fixing should be retrieved
date	The date without lag; usually, the payment date for some inflation-based coupon.
observationLag	The observation lag to be subtracted from the passed date; for instance, if the passed date is in May and the lag is three months, the inflation fixing from February (and March, in case of interpolation) will be observed.
interpolationType	The interpolation type (flat or linear)

Definition at line 28 of file inflationindex.cpp.

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Real laggedYoYRate	(	const ext::shared_ptr< YoYInflationIndex > &	index,
		const Date &	date,
		const Period &	observationLag,
		CPI::InterpolationType	interpolationType
	)

static

interpolated year-on-year inflation rate

Parameters

index	The index whose fixing should be retrieved
date	The date without lag; usually, the payment date for some inflation-based coupon.
observationLag	The observation lag to be subtracted from the passed date; for instance, if the passed date is in May and the lag is three months, the year-on-year rate from February (and March, in case of interpolation) will be observed.
interpolationType	The interpolation type (flat or linear)

Definition at line 65 of file inflationindex.cpp.

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