Linux Certif

Toute la documentation sur la certification Linux LPI

QuantLib_InflationTermStructure

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

Generated automatically by Doxygen for QuantLib from the source code.