InflationTermStructure Class Reference
Interface for inflation term structures. More...
#include <ql/termstructures/inflationtermstructure.hpp>

Public Member Functions | |
void | setSeasonality (const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) |
Functions to set and get seasonality. | |
boost::shared_ptr< Seasonality > | seasonality () const |
bool | hasSeasonality () const |
Constructors | |
InflationTermStructure (Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter(), const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
InflationTermStructure (const Date &referenceDate, Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const Calendar &calendar=Calendar(), const DayCounter &dayCounter=DayCounter(), const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
InflationTermStructure (Natural settlementDays, const Calendar &calendar, Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter(), const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
Inflation interface | |
virtual Period | observationLag () const |
virtual Frequency | frequency () const |
virtual bool | indexIsInterpolated () const |
virtual Rate | baseRate () const |
virtual Handle < YieldTermStructure > | nominalTermStructure () const |
virtual Date | baseDate () const =0 |
minimum (base) date | |
Protected Member Functions | |
virtual void | setBaseRate (const Rate &r) |
void | checkRange (const Date &, bool extrapolate) const |
date-range check | |
void | checkRange (Time t, bool extrapolate) const |
time-range check | |
Protected Attributes | |
Handle< YieldTermStructure > | nominalTermStructure_ |
Period | observationLag_ |
Frequency | frequency_ |
bool | indexIsInterpolated_ |
Rate | baseRate_ |
boost::shared_ptr< Seasonality > | seasonality_ |
Detailed Description
Interface for inflation term structures.
Member Function Documentation
virtual Period observationLag | ( | ) | const [virtual] |
The TS observes with a lag that is usually different from the availability lag of the index. An inflation rate is given, by default, for the maturity requested assuming this lag.
virtual Date baseDate | ( | ) | const [pure virtual] |
minimum (base) date
Important in inflation since it starts before nominal reference date. Changes depending whether index is interpolated or not. When interpolated the base date is just observation lag before nominal. When not interpolated it is the beginning of the relevant period (hence it is easy to create interpolated fixings from a not-interpolated curve because interpolation, usually, of fixings is forward looking).
Implemented in InterpolatedYoYInflationCurve< Interpolator >, InterpolatedZeroInflationCurve< Interpolator >, PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >, and PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >.
void setSeasonality | ( | const boost::shared_ptr< Seasonality > & | seasonality = boost::shared_ptr< Seasonality >() | ) |
Functions to set and get seasonality.
Calling setSeasonality with no arguments means unsetting as the default is used to choose unsetting.