InflationTermStructure Class Reference

Interface for inflation term structures. More...

#include <ql/termstructures/inflationtermstructure.hpp>

Inheritance diagram for InflationTermStructure:

List of all members.

Public Member Functions

void setSeasonality (const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >())
 Functions to set and get seasonality.
boost::shared_ptr< Seasonalityseasonality () 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< YieldTermStructurenominalTermStructure_
Period observationLag_
Frequency frequency_
bool indexIsInterpolated_
Rate baseRate_
boost::shared_ptr< Seasonalityseasonality_

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.