SpreadedYoYInflationCurve Class Reference

#include <qle/termstructures/spreadedinflationcurve.hpp>

Inheritance diagram for SpreadedYoYInflationCurve:

Collaboration diagram for SpreadedYoYInflationCurve:

Public Member Functions
	SpreadedYoYInflationCurve (const Handle< YoYInflationTermStructure > &referenceCurve, const std::vector< Time > &times, const std::vector< Handle< Quote > > &quotes)
	times should be consistent with reference ts day counter More...
Date	maxDate () const override
void	update () override
const Date &	referenceDate () const override
Calendar	calendar () const override
Natural	settlementDays () const override
Date	baseDate () const override

Protected Member Functions
void	performCalculations () const override
Rate	yoyRateImpl (Time t) const override

Private Attributes
Handle< YoYInflationTermStructure >	referenceCurve_
std::vector< Time >	times_
std::vector< Handle< Quote > >	quotes_
std::vector< Real >	data_
QuantLib::ext::shared_ptr< Interpolation >	interpolation_

Detailed Description

Definition at line 62 of file spreadedinflationcurve.hpp.

Constructor & Destructor Documentation

SpreadedYoYInflationCurve()

SpreadedYoYInflationCurve	(	const Handle< YoYInflationTermStructure > &	referenceCurve,
		const std::vector< Time > &	times,
		const std::vector< Handle< Quote > > &	quotes
	)

times should be consistent with reference ts day counter

Definition at line 71 of file spreadedinflationcurve.cpp.

    : YoYInflationTermStructure(referenceCurve->dayCounter(), referenceCurve->baseRate(),
                                referenceCurve->observationLag(), referenceCurve->frequency(),
                                referenceCurve->indexIsInterpolated(), referenceCurve->seasonality()),
      referenceCurve_(referenceCurve), times_(times), quotes_(quotes), data_(times_.size(), 1.0) {
    QL_REQUIRE(times_.size() > 1, "SpreadedZeroInflationCurve: at least two times required");
    QL_REQUIRE(times_.size() == quotes.size(),
               "SpreadedZeroInflationCurve: size of time and quote vectors do not match");
    for (Size i = 0; i < quotes.size(); ++i) {
        registerWith(quotes_[i]);
    }
    interpolation_ = QuantLib::ext::make_shared<FlatExtrapolation>(
        QuantLib::ext::make_shared<LinearInterpolation>(times_.begin(), times_.end(), data_.begin()));
    interpolation_->enableExtrapolation();
    registerWith(referenceCurve_);
}

Member Function Documentation

maxDate()

Date maxDate ( ) const

override

Definition at line 92 of file spreadedinflationcurve.cpp.

{ return referenceCurve_->maxDate(); }

update()

void update ( )

override

Definition at line 94 of file spreadedinflationcurve.cpp.

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

referenceDate()

const Date & referenceDate ( ) const

override

Definition at line 99 of file spreadedinflationcurve.cpp.

{ return referenceCurve_->referenceDate(); }

calendar()

Calendar calendar ( ) const

override

Definition at line 101 of file spreadedinflationcurve.cpp.

{ return referenceCurve_->calendar(); }

settlementDays()

Natural settlementDays ( ) const

override

Definition at line 103 of file spreadedinflationcurve.cpp.

{ return referenceCurve_->settlementDays(); }

baseDate()

Date baseDate ( ) const

override

Definition at line 90 of file spreadedinflationcurve.cpp.

{ return referenceCurve_->baseDate(); }

performCalculations()

void performCalculations ( ) const

overrideprotected

Definition at line 105 of file spreadedinflationcurve.cpp.

                                                          {
    for (Size i = 0; i < times_.size(); ++i) {
        QL_REQUIRE(!quotes_[i].empty(), "SpreadedYoYInflationCurve: quote at index " << i << " is empty");
        data_[i] = quotes_[i]->value();
    }
    interpolation_->update();
}

yoyRateImpl()

Real yoyRateImpl ( Time  t ) const

overrideprotected

Definition at line 113 of file spreadedinflationcurve.cpp.

                                                        {
    calculate();
    return referenceCurve_->yoyRate(t) + (*interpolation_)(t);
}

Member Data Documentation

referenceCurve_

Handle<YoYInflationTermStructure> referenceCurve_

private

Definition at line 82 of file spreadedinflationcurve.hpp.

times_

std::vector<Time> times_

private

Definition at line 83 of file spreadedinflationcurve.hpp.

quotes_

std::vector<Handle<Quote> > quotes_

private

Definition at line 84 of file spreadedinflationcurve.hpp.

data_

std::vector<Real> data_

mutableprivate

Definition at line 85 of file spreadedinflationcurve.hpp.

interpolation_

QuantLib::ext::shared_ptr<Interpolation> interpolation_

private

Definition at line 86 of file spreadedinflationcurve.hpp.