YoYInflationTermStructure Class Reference
Base class for year-on-year inflation term structures. More...
#include <ql/termstructures/inflationtermstructure.hpp>
Inheritance diagram for YoYInflationTermStructure:

Public Member Functions | |
Constructors | |
YoYInflationTermStructure (const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yieldTS, const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
YoYInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yieldTS, const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
YoYInflationTermStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yieldTS, const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
Inspectors | |
Rate | yoyRate (const Date &d, const Period &instObsLag=Period(-1, Days), bool forceLinearInterpolation=false, bool extrapolate=false) const |
Protected Member Functions | |
virtual Rate | yoyRateImpl (Time time) const =0 |
to be defined in derived classes |
Detailed Description
Base class for year-on-year inflation term structures.Member Function Documentation
Rate yoyRate | ( | const Date & | d, | |
const Period & | instObsLag = Period(-1, Days) , |
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bool | forceLinearInterpolation = false , |
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bool | extrapolate = false | |||
) | const |
year-on-year inflation rate, forceLinearInterpolation is relative to the frequency of the TS. Since inflation is highly linked to dates (lags, interpolation, months for seasonality etc) we do NOT provide a "time" version of the rate lookup.
- Note:
- this is not the year-on-year swap (YYIIS) rate.