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QuantLib_InterpolatedYoYInflationCurve

NAME

QuantLib::InterpolatedYoYInflationCurve -

Inflation term structure based on interpolated year-on-year rates.

SYNOPSIS

#include <ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp>

Inherits QuantLib::YoYInflationTermStructure, and QuantLib::InterpolatedCurve< Interpolator >.

Inherited by PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >.

Public Member Functions

InterpolatedYoYInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const std::vector< Date > &dates, const std::vector< Rate > &rates, const Interpolator &interpolator=Interpolator())

InflationTermStructure interface

 

Date baseDate () const

Date maxDate () const

Inspectors

 

const std::vector< Date > & dates () const

const std::vector< Time > & times () const

const std::vector< Rate > & rates () const

std::vector< std::pair< Date, Rate > > nodes () const

Protected Member Functions

InterpolatedYoYInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const Interpolator &interpolator=Interpolator())

YoYInflationTermStructure interface

 

Rate yoyRateImpl (Time t) const

Protected Attributes

std::vector< Date > dates_

Detailed Description

template<class Interpolator> class QuantLib::InterpolatedYoYInflationCurve< Interpolator >

Inflation term structure based on interpolated year-on-year rates.

Note:

The provided rates are not YY inflation-swap quotes.

Constructor & Destructor Documentation

InterpolatedYoYInflationCurve (const Date & referenceDate, const Calendar & calendar, const DayCounter & dayCounter, Rate baseYoYRate, const Period & lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > & yTS, const Interpolator & interpolator = Interpolator()) [protected]Protected version for use when descendents don't want to (or can't) provide the points for interpolation on construction.

Author

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