ZeroInflationTermStructure Class Reference

#include <ql/termstructures/inflationtermstructure.hpp>

Inheritance diagram for ZeroInflationTermStructure:

List of all members.


Detailed Description

Interface for zero inflation term structures.

Public Member Functions

Constructors
 ZeroInflationTermStructure (const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseZeroRate, const Handle< YieldTermStructure > &yTS)
 ZeroInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseZeroRate, const Handle< YieldTermStructure > &yTS)
 ZeroInflationTermStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseZeroRate, const Handle< YieldTermStructure > &yTS)
Inspectors
Rate zeroRate (const Date &d, bool extrapolate=false) const
 zero-coupon inflation rate
Rate zeroRate (Time t, bool extrapolate=false) const

Protected Member Functions

virtual Rate zeroRateImpl (Time t) const =0
 to be defined in derived classes

Member Function Documentation

Rate zeroRate ( const Date d,
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.