ZeroInflationIndex Class Reference
Base class for zero inflation indices. More...
#include <ql/indexes/inflationindex.hpp>
Inheritance diagram for ZeroInflationIndex:

Public Member Functions | |
ZeroInflationIndex (const std::string &familyName, const Region ®ion, bool revised, bool interpolated, Frequency frequency, const Period &availabilityLag, const Currency ¤cy, const Handle< ZeroInflationTermStructure > &ts=Handle< ZeroInflationTermStructure >()) | |
Always use the evaluation date as the reference date. | |
Rate | fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const |
Handle < ZeroInflationTermStructure > | zeroInflationTermStructure () const |
Detailed Description
Base class for zero inflation indices.Member Function Documentation
Forecasting index values requires an inflation term structure. The inflation term structure (ITS) defines the usual lag (not the index). I.e. an ITS is always relatve to a base date that is earlier than its asof date. This must be so because indices are available only with a lag. However, the index availability lag only sets a minimum lag for the ITS. An ITS may be relative to an earlier date, e.g. an index may have a 2-month delay in publication but the inflation swaps may take as their base the index 3 months before.
Implements InflationIndex.