YoYInflationIndex Class Reference

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

#include <inflationindex.hpp>

Inheritance diagram for YoYInflationIndex:

Collaboration 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. More...
	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. More...
	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 More...
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. More...
Calendar	fixingCalendar () const override
bool	isValidFixingDate (const Date &) const override
	returns TRUE if the fixing date is a valid one More...
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
	~Index () override=default
virtual std::string	name () const =0
	Returns the name of the index. More...
virtual Calendar	fixingCalendar () const =0
	returns the calendar defining valid fixing dates More...
virtual bool	isValidFixingDate (const Date &fixingDate) const =0
	returns TRUE if the fixing date is a valid one More...
bool	hasHistoricalFixing (const Date &fixingDate) const
	returns whether a historical fixing was stored for the given date More...
virtual Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const =0
	returns the fixing at the given date More...
virtual Real	pastFixing (const Date &fixingDate) const
	returns a past fixing at the given date More...
const TimeSeries< Real > &	timeSeries () const
	returns the fixing TimeSeries More...
virtual bool	allowsNativeFixings ()
	check if index allows for native fixings. More...
void	update () override
void	addFixings (const TimeSeries< Real > &t, bool forceOverwrite=false)
	stores historical fixings from a TimeSeries More...
template<class DateIterator , class ValueIterator >
void	addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false)
	stores historical fixings at the given dates More...
void	clearFixings ()
	clears all stored historical fixings More...
Public Member Functions inherited from Observable
	Observable ()=default
	Observable (const Observable &)
Observable &	operator= (const Observable &)
	Observable (Observable &&)=delete
Observable &	operator= (Observable &&)=delete
virtual	~Observable ()=default
void	notifyObservers ()
Public Member Functions inherited from Observer
	Observer ()=default
	Observer (const Observer &)
Observer &	operator= (const Observer &)
virtual	~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	update ()=0
virtual void	deepUpdate ()

Other methods
bool	interpolated_
bool	ratio_
ext::shared_ptr< ZeroInflationIndex >	underlyingIndex_
Handle< YoYInflationTermStructure >	yoyInflation_
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
Rate	forecastFixing (const Date &fixingDate) const

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator
Protected Member Functions inherited from Index
ext::shared_ptr< Observable >	notifier () const
Protected Attributes inherited from InflationIndex
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.

Definition at line 189 of file inflationindex.hpp.

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.

Definition at line 243 of file inflationindex.cpp.

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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.

Definition at line 254 of file inflationindex.cpp.

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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.

Definition at line 261 of file inflationindex.cpp.

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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.

Definition at line 273 of file inflationindex.cpp.

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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.

Definition at line 286 of file inflationindex.cpp.

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pastFixing()

Real pastFixing ( const Date &  fixingDate ) const

overridevirtual

returns a past fixing at the given date

Implements InflationIndex.

Definition at line 337 of file inflationindex.cpp.

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lastFixingDate()

Date lastFixingDate

(

)

const

Definition at line 295 of file inflationindex.cpp.

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interpolated()

bool interpolated

(

)

const

Definition at line 328 of file inflationindex.hpp.

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ratio()

bool ratio

(

)

const

Definition at line 332 of file inflationindex.hpp.

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underlyingIndex()

ext::shared_ptr< ZeroInflationIndex > underlyingIndex

(

)

const

Definition at line 336 of file inflationindex.hpp.

yoyInflationTermStructure()

Handle< YoYInflationTermStructure > yoyInflationTermStructure

(

)

const

Definition at line 341 of file inflationindex.hpp.

clone()

ext::shared_ptr< YoYInflationIndex > clone

(

const Handle< YoYInflationTermStructure > &

h

)

const

Definition at line 387 of file inflationindex.cpp.

needsForecast()

bool needsForecast

(

const Date &

fixingDate

)

const

Definition at line 306 of file inflationindex.cpp.

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forecastFixing()

Real forecastFixing ( const Date &  fixingDate ) const

private

Definition at line 373 of file inflationindex.cpp.

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Member Data Documentation

interpolated_

bool interpolated_

protected

Definition at line 262 of file inflationindex.hpp.

ratio_

bool ratio_

private

Definition at line 266 of file inflationindex.hpp.

underlyingIndex_

ext::shared_ptr<ZeroInflationIndex> underlyingIndex_

private

Definition at line 267 of file inflationindex.hpp.

yoyInflation_

Handle<YoYInflationTermStructure> yoyInflation_

private

Definition at line 268 of file inflationindex.hpp.