Rechercher une page de manuel
QuantLib_YoYInflationTermStructure
Langue: en
Version: 377482 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::YoYInflationTermStructure -Base class for year-on-year inflation term structures.
SYNOPSIS
#include <ql/termstructures/inflationtermstructure.hpp>
Inherits QuantLib::InflationTermStructure.
Inherited by InterpolatedYoYInflationCurve< Interpolator >.
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
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) constyear-on-year inflation rate, forceLinearInterpolation is relative to the frequency of the TS. Since inflation is highly linked to dates (lags, interpolation, months for seasonality etc) we do NOT provide a 'time' version of the rate lookup.
Note:
- this is not the year-on-year swap (YYIIS) rate.
Author
Generated automatically by Doxygen for QuantLib from the source code.
Contenus ©2006-2024 Benjamin Poulain
Design ©2006-2024 Maxime Vantorre