ZeroInflationTermStructure Class Reference
#include <ql/termstructures/inflationtermstructure.hpp>
Inheritance diagram for ZeroInflationTermStructure:

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
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.