JyImpliedZeroInflationTermStructure Class Reference

#include <qle/models/jyimpliedzeroinflationtermstructure.hpp>

Inheritance diagram for JyImpliedZeroInflationTermStructure:

Collaboration diagram for JyImpliedZeroInflationTermStructure:

Public Member Functions
	JyImpliedZeroInflationTermStructure (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, QuantLib::Size index)
QL_DEPRECATED	JyImpliedZeroInflationTermStructure (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, QuantLib::Size index, bool indexIsInterpolated)
Public Member Functions inherited from ZeroInflationModelTermStructure
	ZeroInflationModelTermStructure (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, QuantLib::Size index)
QL_DEPRECATED	ZeroInflationModelTermStructure (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, QuantLib::Size index, bool indexIsInterpolated)
void	update () override
QuantLib::Date	maxDate () const override
QuantLib::Time	maxTime () const override
const QuantLib::Date &	referenceDate () const override
QuantLib::Date	baseDate () const override
virtual void	referenceDate (const QuantLib::Date &d)
	Set the reference date. More...
void	state (const QuantLib::Array &s)
	Set the current state variables. More...
void	move (const QuantLib::Date &d, const QuantLib::Array &s)
	Set the current state and move the reference date to date d. More...

Protected Member Functions
ZeroInflationTermStructure interface
QuantLib::Real	zeroRateImpl (QuantLib::Time t) const override
ZeroInflationModelTermStructure interface
void	checkState () const override
Protected Member Functions inherited from ZeroInflationModelTermStructure

Additional Inherited Members
Protected Attributes inherited from ZeroInflationModelTermStructure
QuantLib::ext::shared_ptr< CrossAssetModel >	model_
QuantLib::Size	index_
QL_DEPRECATED bool	indexIsInterpolated_
QuantLib::Date	referenceDate_
QuantLib::Time	relativeTime_
QuantLib::Array	state_

Detailed Description

Jarrow Yildrim (JY) implied zero inflation term structure

Definition at line 35 of file jyimpliedzeroinflationtermstructure.hpp.

Constructor & Destructor Documentation

JyImpliedZeroInflationTermStructure() [1/2]

JyImpliedZeroInflationTermStructure	(	const QuantLib::ext::shared_ptr< CrossAssetModel > &	model,
		QuantLib::Size	index
	)

Constructor taking the cross asset model, model, and the index of the relevant inflation component within the model, index.

JyImpliedZeroInflationTermStructure() [2/2]

QL_DEPRECATED JyImpliedZeroInflationTermStructure	(	const QuantLib::ext::shared_ptr< CrossAssetModel > &	model,
		QuantLib::Size	index,
		bool	indexIsInterpolated
	)

Member Function Documentation

zeroRateImpl()

QL_DEPRECATED_ENABLE_WARNING Real zeroRateImpl ( QuantLib::Time  t ) const

overrideprotected

Definition at line 39 of file jyimpliedzeroinflationtermstructure.cpp.

                                                                   {
 
    QL_REQUIRE(t >= 0.0, "JyImpliedZeroInflationTermStructure::zeroRateImpl: negative time (" << t << ") given");
 
    // Zero rate is calculated from the relation: P_n(S, T) (1 + z(S))^t = P_r(S, T)
    // Here, S in the relation is given by relativeTime_ and T := S + t.
    // ratio holds \frac{P_r(S, T)}{P_n(S, T)}.
    auto S = relativeTime_;
    auto T = relativeTime_ + t;
    QL_DEPRECATED_DISABLE_WARNING
    auto ratio = inflationGrowth(model_, index_, S, T, state_[2], state_[0], indexIsInterpolated_);
    QL_DEPRECATED_ENABLE_WARNING
    // Return the desired z(S) = \left( \frac{P_r(S, T)}{P_n(S, T)} \right)^{\frac{1}{t}} - 1
    return std::pow(ratio, 1 / t) - 1;
}

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checkState()

void checkState ( ) const

overrideprotectedvirtual

Override this method to perform checks on the state variable array when the state and move methods are called.

Reimplemented from ZeroInflationModelTermStructure.

Definition at line 55 of file jyimpliedzeroinflationtermstructure.cpp.

                                                           {
    // For JY, expect the state to be three variables i.e. z_I, c_I and z_{ir}.
    QL_REQUIRE(state_.size() == 3, "JyImpliedZeroInflationTermStructure: expected state to have " <<
        "three elements but got " << state_.size());
}