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QuantLib_InflationTermStructure
Langue: en
Version: 374724 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
Sommaire
- NAME
- SYNOPSIS
- Detailed Description
- 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]
- void setSeasonality (const boost::shared_ptr< Seasonality > & seasonality = boost::shared_ptr< Seasonality >())
- Author
NAME
QuantLib::InflationTermStructure -Interface for inflation term structures.
SYNOPSIS
#include <ql/termstructures/inflationtermstructure.hpp>
Inherits QuantLib::TermStructure.
Inherited by YoYCapFloorTermPriceSurface, YoYInflationTermStructure, and ZeroInflationTermStructure.
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
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).
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.
Author
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Contenus ©2006-2024 Benjamin Poulain
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