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QuantLib_ZeroInflationTermStructure
Langue: en
Version: 374185 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
NAME
QuantLib::ZeroInflationTermStructure -Interface for zero inflation term structures.
SYNOPSIS
#include <ql/termstructures/inflationtermstructure.hpp>
Inherits QuantLib::InflationTermStructure.
Inherited by InterpolatedZeroInflationCurve< Interpolator >.
Public Member Functions
Constructors
ZeroInflationTermStructure (const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >())
ZeroInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, const bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >())
ZeroInflationTermStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >())
Inspectors
Rate zeroRate (const Date &d, const Period &instObsLag=Period(-1, Days), bool forceLinearInterpolation=false, bool extrapolate=false) const
Protected Member Functions
virtual Rate zeroRateImpl (Time t) const =0
to be defined in derived classes
Detailed Description
Interface for zero inflation term structures.
Member Function Documentation
Rate zeroRate (const Date & d, const Period & instObsLag = Period(-1, Days), bool forceLinearInterpolation = false, bool extrapolate = false) constzero-coupon inflation rate for an instrument with maturity (pay date) d that observes with given lag and interpolation. Since inflation is highly linked to dates (lags, interpolation, months for seasonality, etc) we do NOT provide a 'time' version of the rate lookup.
Essentially the fair rate for a zero-coupon inflation swap (by definition), i.e. the zero term structure uses yearly compounding, which is assumed for ZCIIS instrument quotes. N.B. by default you get the same as lag and interpolation as the term structure. If you want to get predictions of RPI/CPI/etc then use an index.
Author
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