YoYInflationModelTermStructure Class Reference

#include <qle/models/yoyinflationmodeltermstructure.hpp>

Inheritance diagram for YoYInflationModelTermStructure:

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Public Member Functions
	YoYInflationModelTermStructure (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, QuantLib::Size index, bool indexIsInterpolated)
Observer interface
void	update () override
TermStructure interface
QuantLib::Date	maxDate () const override
QuantLib::Time	maxTime () const override
const QuantLib::Date &	referenceDate () const override

Protected Member Functions
YoYInflationTermStructure interface
QuantLib::Real	yoyRateImpl (QuantLib::Time t) const override
	This cannot be called. The implementation is set to throw an exception. More...
virtual void	checkState () const

InflationTermStructure interface
QuantLib::ext::shared_ptr< CrossAssetModel >	model_
QuantLib::Size	index_
bool	indexIsInterpolated_
QuantLib::Date	referenceDate_
QuantLib::Time	relativeTime_
QuantLib::Array	state_
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...
QuantLib::Real	yoyRate (const QuantLib::Date &d, const QuantLib::Period &obsLag=-1 *QuantLib::Days, bool forceLinearInterpolation=false, bool extrapolate=false) const
virtual std::map< QuantLib::Date, QuantLib::Real >	yoyRates (const std::vector< QuantLib::Date > &dates, const QuantLib::Period &obsLag=-1 *QuantLib::Days) const =0

Detailed Description

Base class for cross asset model implied year on year inflation term structures.

The termstructure has the reference date of the model's term structure at construction, but you can vary this as well as the state. Note that this term structure does not implement the full YoYInflationTermStructure interface. It is questionable whether it should derive from YoYInflationTermStructure at all.

Definition at line 41 of file yoyinflationmodeltermstructure.hpp.

Constructor & Destructor Documentation

YoYInflationModelTermStructure()

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

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

Definition at line 29 of file yoyinflationmodeltermstructure.cpp.

    : YoYInflationTermStructure(
          inflationTermStructure(model, index)->dayCounter(), inflationTermStructure(model, index)->baseRate(),
          inflationTermStructure(model, index)->observationLag(), inflationTermStructure(model, index)->frequency(),
          indexIsInterpolated), // the QL constructor is not up to date, but the last argument here will go soon
      model_(model), index_(index), indexIsInterpolated_(indexIsInterpolated),
      referenceDate_(inflationTermStructure(model_, index_)->referenceDate()), relativeTime_(0.0) {
    registerWith(model_);
    update();
}

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Member Function Documentation

update()

void update ( )

override

Definition at line 41 of file yoyinflationmodeltermstructure.cpp.

                                            {
    notifyObservers();
}

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maxDate()

Date maxDate ( ) const

override

Definition at line 45 of file yoyinflationmodeltermstructure.cpp.

                                                   {
    // we don't care. Let the underlying classes throw exceptions if applicable
    return Date::maxDate();
}

maxTime()

Time maxTime ( ) const

override

Definition at line 50 of file yoyinflationmodeltermstructure.cpp.

                                                   {
    // see maxDate
    return QL_MAX_REAL;
}

referenceDate() [1/2]

const Date & referenceDate ( ) const

override

Definition at line 55 of file yoyinflationmodeltermstructure.cpp.

                                                                {
    return referenceDate_;
}

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baseDate()

Date baseDate ( ) const

override

Definition at line 59 of file yoyinflationmodeltermstructure.cpp.

                                                    {
    if (indexIsInterpolated_) {
        return referenceDate_ - observationLag_;
    } else {
        return inflationPeriod(referenceDate_ - observationLag_, frequency()).first;
    }
}

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referenceDate() [2/2]

virtual void referenceDate ( const QuantLib::Date &  d )

virtual

Set the reference date.

state()

void state

(

const QuantLib::Array &

s

)

Set the current state variables.

Definition at line 73 of file yoyinflationmodeltermstructure.cpp.

                                                         {
    state_ = s;
    checkState();
    notifyObservers();
}

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move()

void move	(	const QuantLib::Date &	d,
		const QuantLib::Array &	s
	)

Set the current state and move the reference date to date d.

Definition at line 79 of file yoyinflationmodeltermstructure.cpp.

                                                                       {
    state(s);
    referenceDate(d);
}

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yoyRate()

Real yoyRate	(	const QuantLib::Date &	d,
		const QuantLib::Period &	obsLag = -1 * QuantLib::Days,
		bool	forceLinearInterpolation = false,
		bool	extrapolate = false
	)		const

Hides the YoYInflationTermStructure::yoyRate method. The parameters forceLinearInterpolation and extrapolate are ignored.

Definition at line 84 of file yoyinflationmodeltermstructure.cpp.

                            {
    return yoyRates({ d }, obsLag).at(d);
}

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yoyRates()

virtual std::map< QuantLib::Date, QuantLib::Real > yoyRates ( const std::vector< QuantLib::Date > &  dates, const QuantLib::Period &  obsLag = -1 *QuantLib::Days  ) const

pure virtual

Return the year-on-year rates for the maturities associated with dates. If an obsLag is explicitly provided and not set to -1 * QuantLib::Days, it is used as the observation lag. Otherwise, the term structure's observation lag is used.

Implemented in DkImpliedYoYInflationTermStructure, and JyImpliedYoYInflationTermStructure.

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yoyRateImpl()

Real yoyRateImpl ( QuantLib::Time  t ) const

overrideprotected

This cannot be called. The implementation is set to throw an exception.

Definition at line 89 of file yoyinflationmodeltermstructure.cpp.

                                                             {
    QL_FAIL("YoYInflationModelTermStructure::yoyRateImpl cannot be called.");
}

checkState()

virtual void checkState ( ) const

protectedvirtual

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

Reimplemented in DkImpliedYoYInflationTermStructure, and JyImpliedYoYInflationTermStructure.

Definition at line 105 of file yoyinflationmodeltermstructure.hpp.

{}

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Member Data Documentation

model_

QuantLib::ext::shared_ptr<CrossAssetModel> model_

protected

Definition at line 88 of file yoyinflationmodeltermstructure.hpp.

index_

QuantLib::Size index_

protected

Definition at line 89 of file yoyinflationmodeltermstructure.hpp.

indexIsInterpolated_

bool indexIsInterpolated_

protected

Definition at line 90 of file yoyinflationmodeltermstructure.hpp.

referenceDate_

QuantLib::Date referenceDate_

protected

Definition at line 92 of file yoyinflationmodeltermstructure.hpp.

relativeTime_

QuantLib::Time relativeTime_

protected

Definition at line 93 of file yoyinflationmodeltermstructure.hpp.

state_

QuantLib::Array state_

protected

Definition at line 94 of file yoyinflationmodeltermstructure.hpp.