YoYInflationTermStructure Class Reference

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

#include <ql/termstructures/inflationtermstructure.hpp>

Inheritance diagram for YoYInflationTermStructure:

List of all members.

Public Member Functions

Constructors
 YoYInflationTermStructure (const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yieldTS, const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >())
 YoYInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yieldTS, const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >())
 YoYInflationTermStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yieldTS, const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >())
Inspectors
Rate yoyRate (const Date &d, const Period &instObsLag=Period(-1, Days), bool forceLinearInterpolation=false, bool extrapolate=false) const

Protected Member Functions

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


Detailed Description

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

Member Function Documentation

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

year-on-year inflation rate, forceLinearInterpolation is relative to the frequency of the TS. Since inflation is highly linked to dates (lags, interpolation, months for seasonality etc) we do NOT provide a "time" version of the rate lookup.

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