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QuantLib_YoYInflationTermStructure

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

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