YoYInflationIndexWrapper Class Reference

Wrapper that creates a yoy from a zc index. More...

#include <qle/indexes/inflationindexwrapper.hpp>

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Public Member Functions
	YoYInflationIndexWrapper (const QuantLib::ext::shared_ptr< ZeroInflationIndex > zeroIndex, const bool interpolated, const Handle< YoYInflationTermStructure > &ts=Handle< YoYInflationTermStructure >())
Rate	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
const QuantLib::ext::shared_ptr< ZeroInflationIndex >	zeroIndex () const

Private Member Functions
Rate	forecastFixing (const Date &fixingDate) const

Private Attributes
const QuantLib::ext::shared_ptr< ZeroInflationIndex >	zeroIndex_

Detailed Description

Wrapper that creates a yoy from a zc index.

This creates a "ratio" - type YoYInflationIndex with the same family name as the zero index so that historical fixings can be reused. If a yoy ts is given, this is used to forecast fixings. If the ts is not given, the forecast falls back on the zero index, i.e. if the zero index has a curve attached a plain yoy rate without convexity adjustment is estimated using this index. The interpolation follows

• the interpolated flag for historical fixings
• the interpolated flag for forecasted fixings if a yoy ts is given
• the underlying zero index behaviour for forecasted fixings if no yoy ts is given

Definition at line 67 of file inflationindexwrapper.hpp.

Constructor & Destructor Documentation

YoYInflationIndexWrapper()

YoYInflationIndexWrapper	(	const QuantLib::ext::shared_ptr< ZeroInflationIndex >	zeroIndex,
		const bool	interpolated,
		const Handle< YoYInflationTermStructure > &	ts = Handle<YoYInflationTermStructure>()
	)

Definition at line 64 of file inflationindexwrapper.cpp.

    : YoYInflationIndex(zeroIndex, interpolated, ts),
      zeroIndex_(zeroIndex) {
    registerWith(zeroIndex_);
}

Member Function Documentation

fixing()

Rate fixing ( const Date &  fixingDate, bool  forecastTodaysFixing = false  ) const

override

Warning:

the forecastTodaysFixing parameter (required by the Index interface) is currently ignored.

Definition at line 71 of file inflationindexwrapper.cpp.

                                                                          {
 
    // duplicated logic from YoYInflationIndex, this would not be necessary, if forecastFixing
    // was defined virtual in InflationIndex
    if (needsForecast(fixingDate)) {
        return forecastFixing(fixingDate);
    }
    // historical fixing
    return YoYInflationIndex::fixing(fixingDate);
}

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zeroIndex()

const QuantLib::ext::shared_ptr< ZeroInflationIndex > zeroIndex

(

)

const

Definition at line 73 of file inflationindexwrapper.hpp.

{ return zeroIndex_; }

forecastFixing()

Real forecastFixing ( const Date &  fixingDate ) const

private

Definition at line 82 of file inflationindexwrapper.cpp.

                                                                          {
    if (!yoyInflationTermStructure().empty())
        return YoYInflationIndex::fixing(fixingDate);
    auto interpolation = YoYInflationIndex::interpolated() ? CPI::Linear : CPI::Flat;
    Real f1 = CPI::laggedFixing(zeroIndex_, fixingDate, 0 * Days, interpolation);
    Real f0 = CPI::laggedFixing(zeroIndex_, fixingDate - 1 * Years, 0 * Days, interpolation);
    return (f1 - f0) / f0;
}

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Member Data Documentation

zeroIndex_

const QuantLib::ext::shared_ptr<ZeroInflationIndex> zeroIndex_

private

Definition at line 77 of file inflationindexwrapper.hpp.