InflationIndexObserver Class Reference

Inflation Index observer. More...

#include <qle/indexes/inflationindexobserver.hpp>

Inheritance diagram for InflationIndexObserver:

Collaboration diagram for InflationIndexObserver:

Public Member Functions
	InflationIndexObserver (const QuantLib::ext::shared_ptr< InflationIndex > &index, const Handle< Quote > &quote, const Period &observationLag, const DayCounter &dayCounter=DayCounter())
void	update () override
Date	maxDate () const override

Private Member Functions
void	setFixing ()

Private Attributes
QuantLib::ext::shared_ptr< InflationIndex >	index_
Handle< Quote >	quote_
Period	observationLag_

Detailed Description

Inflation Index observer.

Definition at line 31 of file inflationindexobserver.hpp.

Constructor & Destructor Documentation

InflationIndexObserver()

InflationIndexObserver	(	const QuantLib::ext::shared_ptr< InflationIndex > &	index,
		const Handle< Quote > &	quote,
		const Period &	observationLag,
		const DayCounter &	dayCounter = DayCounter()
	)

Definition at line 33 of file inflationindexobserver.hpp.

        : TermStructure(dayCounter), index_(index), quote_(quote), observationLag_(observationLag) {
        registerWith(quote_);
    }

Member Function Documentation

update()

void update ( )

override

Definition at line 39 of file inflationindexobserver.hpp.

                           { // called when the quote changes
        setFixing();
    }

Here is the call graph for this function:

maxDate()

Date maxDate ( ) const

override

Definition at line 43 of file inflationindexobserver.hpp.

                                  {
        Date today = Settings::instance().evaluationDate();
        return today;
    }

setFixing()

void setFixing ( )

private

Definition at line 49 of file inflationindexobserver.hpp.

                     {
        // something like this
        Date today = Settings::instance().evaluationDate();
        Date fixingDate = today - observationLag_;
        // overwrite the current fixing in the QuantLib::FixingManager
        index_->addFixing(fixingDate, quote_->value(), true);
    }

Here is the caller graph for this function:

Member Data Documentation

index_

QuantLib::ext::shared_ptr<InflationIndex> index_

private

Definition at line 57 of file inflationindexobserver.hpp.

quote_

Handle<Quote> quote_

private

Definition at line 58 of file inflationindexobserver.hpp.

observationLag_

Period observationLag_

private

Definition at line 59 of file inflationindexobserver.hpp.