ZeroInflationTermStructure Class Reference

Interface for zero inflation term structures. More...

#include <ql/termstructures/inflationtermstructure.hpp>

Inheritance diagram for ZeroInflationTermStructure:

List of all members.

Public Member Functions

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

Protected Member Functions

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


Detailed Description

Interface for zero inflation term structures.

Member Function Documentation

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

zero-coupon inflation rate for an instrument with maturity (pay date) d that observes with given lag and interpolation. Since inflation is highly linked to dates (lags, interpolation, months for seasonality, etc) we do NOT provide a "time" version of the rate lookup.

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. N.B. by default you get the same as lag and interpolation as the term structure. If you want to get predictions of RPI/CPI/etc then use an index.