YoYInflationTermStructure Class Reference

Base class for year-on-year inflation term structures. More...

#include <ql/termstructures/inflationtermstructure.hpp>

Inheritance diagram for YoYInflationTermStructure:

List of all members.

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
 year-on-year inflation rate.
Rate yoyRate (Time t, bool extrapolate=false) const
 year-on-year inflation rate.

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),
bool  forceLinearInterpolation = false,
bool  extrapolate = false 
) const

year-on-year inflation rate.

The forceLinearInterpolation parameter is relative to the frequency of the TS.

Note:
this is not the year-on-year swap (YYIIS) rate.
Rate yoyRate ( Time  t,
bool  extrapolate = false 
) const

year-on-year inflation rate.

Warning:
Since inflation is highly linked to dates (lags, interpolation, months for seasonality, etc) this method cannot account for all effects. If you call it, You'll have to manage lag, seasonality etc. yourself.