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QuantLib_YoYInflationTermStructure
Langue: en
Version: 159741 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
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 >, and InterpolatedYoYInflationCurve< Interpolator >.
Public Member Functions
Constructors
YoYInflationTermStructure (const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseYoYRate, const Handle< YieldTermStructure > &yieldTS)
YoYInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseYoYRate, const Handle< YieldTermStructure > &yieldTS)
YoYInflationTermStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseYoYRate, const Handle< YieldTermStructure > &yieldTS)
Inspectors
Rate yoyRate (const Date &d, bool extrapolate=false) const
year-on-year inflation rate
Rate yoyRate (Time time, 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, bool extrapolate = false) const
year-on-year inflation rate
Note:
- this is not the year-on-year swap (YYIIS) rate.
Author
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