QuantLib: InflationIndex Class Reference

Base class for inflation-rate indexes,. More...

#include <inflationindex.hpp>

Inheritance diagram for InflationIndex:

Collaboration diagram for InflationIndex:

Public Member Functions
	InflationIndex (std::string familyName, Region region, bool revised, Frequency frequency, const Period &availabilitiyLag, Currency currency)

Index interface
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...

Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override=0

Real	pastFixing (const Date &fixingDate) const override=0
	returns a past fixing at the given date More...

void	addFixing (const Date &fixingDate, Rate fixing, bool forceOverwrite=false) override

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 ()

Inspectors
Date	referenceDate_

std::string	familyName_

Region	region_

bool	revised_

Frequency	frequency_

Period	availabilityLag_

Currency	currency_

std::string	name_

std::string	familyName () const

Region	region () const

bool	revised () const

Frequency	frequency () const

Period	availabilityLag () const

Currency	currency () 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

Detailed Description

Base class for inflation-rate indexes,.

Definition at line 84 of file inflationindex.hpp.

Constructor & Destructor Documentation

◆ InflationIndex()

InflationIndex	(	std::string	familyName,
		Region	region,
		bool	revised,
		Frequency	frequency,
		const Period &	availabilitiyLag,
		Currency	currency
	)

Definition at line 119 of file inflationindex.cpp.

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Member Function Documentation

◆ name()

std::string name ( ) const

overridevirtual

Returns the name of the index.

Warning:: This method is used for output and comparison between indexes. It is not meant to be used for writing switch-on-type code.

Implements Index.

Definition at line 295 of file inflationindex.hpp.

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◆ fixingCalendar()

Calendar fixingCalendar ( ) const

overridevirtual

Inflation indices are not associated to a particular day, but to months or quarters. Therefore, they do not have fixing calendars. Since we're forced by the base Index interface to add one, this method returns a NullCalendar instance.

Implements Index.

Definition at line 132 of file inflationindex.cpp.

◆ isValidFixingDate()

bool isValidFixingDate ( const Date & fixingDate ) const

overridevirtual

returns TRUE if the fixing date is a valid one

Implements Index.

Definition at line 104 of file inflationindex.hpp.

◆ fixing()

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

overridepure virtual

Forecasting index values requires an inflation term structure, with a base date that is earlier than its asof date. This must be so because indices are available only with a lag. Usually, it makes sense for the base date to be the first day of the month of the last published fixing.

Implements Index.

Implemented in ZeroInflationIndex, and YoYInflationIndex.

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◆ pastFixing()

Real pastFixing ( const Date & fixingDate ) const

overridepure virtual

returns a past fixing at the given date

Reimplemented from Index.

Implemented in ZeroInflationIndex, and YoYInflationIndex.

◆ addFixing()

void addFixing	(	const Date &	fixingDate,
		Rate	fixing,
		bool	forceOverwrite = `false`
	)

overridevirtual

Reimplemented from Index.

Definition at line 137 of file inflationindex.cpp.

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◆ familyName()

std::string familyName ( ) const

Definition at line 299 of file inflationindex.hpp.

◆ region()

Region region ( ) const

Definition at line 303 of file inflationindex.hpp.

◆ revised()

bool revised ( ) const

Definition at line 307 of file inflationindex.hpp.

◆ frequency()

Frequency frequency ( ) const

Definition at line 311 of file inflationindex.hpp.

◆ availabilityLag()

Period availabilityLag ( ) const

The availability lag describes when the index might be available; for instance, the inflation value for January may only be available in April. This doesn't mean that that inflation value is considered as the April fixing; it remains the January fixing, independently of the lag in availability.

Definition at line 315 of file inflationindex.hpp.

◆ currency()

Currency currency ( ) const

Definition at line 319 of file inflationindex.hpp.

Member Data Documentation

◆ referenceDate_

Date referenceDate_

protected

Definition at line 139 of file inflationindex.hpp.

◆ familyName_

std::string familyName_

protected

Definition at line 140 of file inflationindex.hpp.

◆ region_

Region region_

protected

Definition at line 141 of file inflationindex.hpp.

◆ revised_

bool revised_

protected

Definition at line 142 of file inflationindex.hpp.

◆ frequency_

Frequency frequency_

protected

Definition at line 143 of file inflationindex.hpp.

◆ availabilityLag_

Period availabilityLag_

protected

Definition at line 144 of file inflationindex.hpp.

◆ currency_

Currency currency_

protected

Definition at line 145 of file inflationindex.hpp.

◆ name_

std::string name_

private

Definition at line 148 of file inflationindex.hpp.

Public Member Functions

Inspectors

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ InflationIndex()

Member Function Documentation

◆ name()

◆ fixingCalendar()

◆ isValidFixingDate()

◆ fixing()

◆ pastFixing()

◆ addFixing()

◆ familyName()

◆ region()

◆ revised()

◆ frequency()

◆ availabilityLag()

◆ currency()

Member Data Documentation

◆ referenceDate_

◆ familyName_

◆ region_

◆ revised_

◆ frequency_

◆ availabilityLag_

◆ currency_

◆ name_