ZeroInflationTermStructure Class Reference
Interface for zero inflation term structures. More...
#include <ql/termstructures/inflationtermstructure.hpp>
Inheritance diagram for ZeroInflationTermStructure:

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) , |
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bool | forceLinearInterpolation = false , |
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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.