InterpolatedYoYInflationCurve Class Template Reference

#include <ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp>

Inheritance diagram for InterpolatedYoYInflationCurve:

List of all members.


Detailed Description

template<class Interpolator>
class QuantLib::InterpolatedYoYInflationCurve< Interpolator >

Inflation term structure based on interpolated year-on-year rates.

Note:
The provided rates are not YY inflation-swap quotes.

Public Member Functions

 InterpolatedYoYInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, const Handle< YieldTermStructure > &yTS, const std::vector< Date > &dates, const std::vector< Rate > &rates, const Interpolator &interpolator=Interpolator())
InflationTermStructure interface
Date baseDate () const
 minimum (base) date
Date maxDate () const
 the latest date for which the curve can return values
Inspectors
const std::vector< Date > & dates () const
const std::vector< Time > & times () const
const std::vector< Rate > & rates () const
std::vector< std::pair< Date,
Rate > > 
nodes () const

Protected Member Functions

 InterpolatedYoYInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseYoYRate, const Handle< YieldTermStructure > &yTS, const Interpolator &interpolator=Interpolator())
YoYInflationTermStructure interface
Rate yoyRateImpl (Time t) const
 to be defined in derived classes

Protected Attributes

std::vector< Datedates_
std::vector< Timetimes_
std::vector< Ratedata_
Interpolation interpolation_
Interpolator interpolator_

Constructor & Destructor Documentation

InterpolatedYoYInflationCurve ( const Date referenceDate,
const Calendar calendar,
const DayCounter dayCounter,
const Period lag,
Frequency  frequency,
Rate  baseYoYRate,
const Handle< YieldTermStructure > &  yTS,
const Interpolator &  interpolator = Interpolator() 
) [protected]

Protected version for use when descendents don't want to (or can't) provide the points for interpolation on construction.


Member Function Documentation

Date baseDate (  )  const [virtual]

minimum (base) date

Important in inflation since it starts before nominal reference date.

Implements InflationTermStructure.

Reimplemented in PiecewiseYoYInflationCurve.