PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits > Class Template Reference

Piecewise zero-inflation term structure. More...

#include <qle/termstructures/inflation/piecewisezeroinflationcurve.hpp>

Inheritance diagram for PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >:

Collaboration diagram for PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >:

Public Types
typedef Traits	traits_type
typedef Interpolator	interpolator_type

Public Member Functions
Constructors
	PiecewiseZeroInflationCurve (const QuantLib::Date &referenceDate, const QuantLib::Calendar &calendar, const QuantLib::DayCounter &dayCounter, const QuantLib::Period &lag, QuantLib::Frequency frequency, QuantLib::Rate baseZeroRate, std::vector< QuantLib::ext::shared_ptr< typename Traits::helper > > instruments, QuantLib::Real accuracy=1.0e-12, QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > index=nullptr, bool useLastAvailableFixingAsBaseDate=false, const Interpolator &i=Interpolator())
Inflation interface
QuantLib::Date	baseDate () const override
QuantLib::Date	maxDate () const override
void	setSeasonality (const QuantLib::ext::shared_ptr< QuantLib::Seasonality > &seasonality=QuantLib::ext::shared_ptr< QuantLib::Seasonality >()) override
Inspectors
const std::vector< QuantLib::Time > &	times () const
const std::vector< QuantLib::Date > &	dates () const
const std::vector< QuantLib::Real > &	data () const
std::vector< std::pair< QuantLib::Date, QuantLib::Real > >	nodes () const
Observer interface
void	update () override

Private Types
typedef QuantLib::InterpolatedZeroInflationCurve< Interpolator >	base_curve
typedef QuantExt::PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >	this_curve

Trait::BootstrapFirstDateInitializer interface
std::vector< QuantLib::ext::shared_ptr< typename Traits::helper > >	instruments_
QuantLib::Real	accuracy_
Bootstrap< this_curve >	bootstrap_
QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex >	index_
bool	useLastAvailableFixingAsBaseDate_
class	Bootstrap< this_curve >
class	QuantLib::BootstrapError< this_curve >
QuantLib::Date	initialDate () const override
void	performCalculations () const override

Detailed Description

template<class Interpolator, template< class > class Bootstrap = QuantLib::IterativeBootstrap, class Traits = QuantExt::ZeroInflationTraits>
class QuantExt::PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >

Piecewise zero-inflation term structure.

Definition at line 38 of file piecewisezeroinflationcurve.hpp.

Member Typedef Documentation

base_curve

typedef QuantLib::InterpolatedZeroInflationCurve<Interpolator> base_curve

private

Definition at line 42 of file piecewisezeroinflationcurve.hpp.

this_curve

typedef QuantExt::PiecewiseZeroInflationCurve<Interpolator, Bootstrap, Traits> this_curve

private

Definition at line 43 of file piecewisezeroinflationcurve.hpp.

traits_type

typedef Traits traits_type

Definition at line 46 of file piecewisezeroinflationcurve.hpp.

interpolator_type

typedef Interpolator interpolator_type

Definition at line 47 of file piecewisezeroinflationcurve.hpp.

Constructor & Destructor Documentation

PiecewiseZeroInflationCurve()

PiecewiseZeroInflationCurve	(	const QuantLib::Date &	referenceDate,
		const QuantLib::Calendar &	calendar,
		const QuantLib::DayCounter &	dayCounter,
		const QuantLib::Period &	lag,
		QuantLib::Frequency	frequency,
		QuantLib::Rate	baseZeroRate,
		std::vector< QuantLib::ext::shared_ptr< typename Traits::helper > >	instruments,
		QuantLib::Real	accuracy = 1.0e-12,
		QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex >	index = nullptr,
		bool	useLastAvailableFixingAsBaseDate = false,
		const Interpolator &	i = Interpolator()
	)

Definition at line 51 of file piecewisezeroinflationcurve.hpp.

        : base_curve(referenceDate, calendar, dayCounter, lag, frequency, baseZeroRate, i),
          instruments_(std::move(instruments)), accuracy_(accuracy), index_(index),
          useLastAvailableFixingAsBaseDate_(useLastAvailableFixingAsBaseDate) {
        bootstrap_.setup(this);
    }

Member Function Documentation

baseDate()

QuantLib::Date baseDate

override

Definition at line 104 of file piecewisezeroinflationcurve.hpp.

                                                                         {
    this->calculate();
    return base_curve::baseDate();
}

maxDate()

QuantLib::Date maxDate

override

Definition at line 110 of file piecewisezeroinflationcurve.hpp.

                                                                        {
    this->calculate();
    return base_curve::maxDate();
}

setSeasonality()

void setSeasonality ( const QuantLib::ext::shared_ptr< QuantLib::Seasonality > &  seasonality = QuantLib::ext::shared_ptr<QuantLib::Seasonality>() )

override

Definition at line 156 of file piecewisezeroinflationcurve.hpp.

                                                                                                                       {
    // always reset, whether with null or new pointer
    base_curve::seasonality_ = seasonality;
    if (base_curve::seasonality_ != nullptr) {
        QL_REQUIRE(base_curve::seasonality_->isConsistent(*this), "Seasonality inconsistent with "
                                                                  "inflation term structure");
    }
    update();
}

times()

const std::vector< QuantLib::Time > & times

Definition at line 116 of file piecewisezeroinflationcurve.hpp.

                                                                                 {
    calculate();
    return base_curve::times();
}

dates()

const std::vector< QuantLib::Date > & dates

Definition at line 122 of file piecewisezeroinflationcurve.hpp.

                                                                                 {
    calculate();
    return base_curve::dates();
}

data()

const std::vector< QuantLib::Real > & data

Definition at line 128 of file piecewisezeroinflationcurve.hpp.

                                                                                {
    calculate();
    return base_curve::rates();
}

nodes()

std::vector< std::pair< QuantLib::Date, QuantLib::Real > > nodes

Definition at line 134 of file piecewisezeroinflationcurve.hpp.

                                                                                                 {
    calculate();
    return base_curve::nodes();
}

update()

void update

override

Definition at line 144 of file piecewisezeroinflationcurve.hpp.

                                                                                                        {
    base_curve::update();
    LazyObject::update();
}

initialDate()

QuantLib::Date initialDate

override

Definition at line 150 of file piecewisezeroinflationcurve.hpp.

                                                                     {
    return ZeroInflation::curveBaseDate(useLastAvailableFixingAsBaseDate_, base_curve::referenceDate(),
                                        base_curve::observationLag(), base_curve::frequency(), index_);
}

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performCalculations()

void performCalculations

overrideprivate

Definition at line 140 of file piecewisezeroinflationcurve.hpp.

                                                                     {
    bootstrap_.calculate();
}

Friends And Related Function Documentation

Bootstrap< this_curve >

friend class Bootstrap< this_curve >

friend

Definition at line 92 of file piecewisezeroinflationcurve.hpp.

QuantLib::BootstrapError< this_curve >

friend class QuantLib::BootstrapError< this_curve >

friend

Definition at line 92 of file piecewisezeroinflationcurve.hpp.

Member Data Documentation

instruments_

std::vector<QuantLib::ext::shared_ptr<typename Traits::helper> > instruments_

private

Definition at line 91 of file piecewisezeroinflationcurve.hpp.

accuracy_

QuantLib::Real accuracy_

private

Definition at line 92 of file piecewisezeroinflationcurve.hpp.

bootstrap_

Bootstrap<this_curve> bootstrap_

private

Definition at line 96 of file piecewisezeroinflationcurve.hpp.

index_

QuantLib::ext::shared_ptr<QuantLib::ZeroInflationIndex> index_

private

Definition at line 97 of file piecewisezeroinflationcurve.hpp.

useLastAvailableFixingAsBaseDate_

bool useLastAvailableFixingAsBaseDate_

private

Definition at line 98 of file piecewisezeroinflationcurve.hpp.