ZeroInflationCurveObserverMoving< Interpolator > Class Template Reference

Inflation term structure based on the interpolation of zero rates, with floating reference date. More...

#include <qle/termstructures/zeroinflationcurveobservermoving.hpp>

Inheritance diagram for ZeroInflationCurveObserverMoving< Interpolator >:

Collaboration diagram for ZeroInflationCurveObserverMoving< Interpolator >:

Public Member Functions
	ZeroInflationCurveObserverMoving (Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, bool indexIsInterpolated, const std::vector< Time > &times, const std::vector< Handle< Quote > > &rates, const QuantLib::ext::shared_ptr< Seasonality > &seasonality=QuantLib::ext::shared_ptr< Seasonality >(), const Interpolator &interpolator=Interpolator())
InflationTermStructure interface
Date	baseDate () const override
Time	maxTime () const override
Date	maxDate () const override
Inspectors
const std::vector< Time > &	times () const
const std::vector< Real > &	data () const
const std::vector< Rate > &	rates () const
const std::vector< Handle< Quote > > &	quotes () const
Observer interface
void	update () override

Private Member Functions
LazyObject interface
void	performCalculations () const override

ZeroInflationTermStructure Interface
std::vector< Handle< Quote > >	quotes_
bool	indexIsInterpolated_
Date	baseDate_
Rate	zeroRateImpl (Time t) const override

Detailed Description

template<class Interpolator>
class QuantExt::ZeroInflationCurveObserverMoving< Interpolator >

Inflation term structure based on the interpolation of zero rates, with floating reference date.

Definition at line 39 of file zeroinflationcurveobservermoving.hpp.

Constructor & Destructor Documentation

ZeroInflationCurveObserverMoving()

ZeroInflationCurveObserverMoving	(	Natural	settlementDays,
		const Calendar &	calendar,
		const DayCounter &	dayCounter,
		const Period &	lag,
		Frequency	frequency,
		bool	indexIsInterpolated,
		const std::vector< Time > &	times,
		const std::vector< Handle< Quote > > &	rates,
		const QuantLib::ext::shared_ptr< Seasonality > &	seasonality = QuantLib::ext::shared_ptr<Seasonality>(),
		const Interpolator &	interpolator = Interpolator()
	)

Definition at line 90 of file zeroinflationcurveobservermoving.hpp.

    : ZeroInflationTermStructure(settlementDays, calendar, dayCounter, rates[0]->value(), lag, frequency, seasonality),
      InterpolatedCurve<Interpolator>(std::vector<Time>(), std::vector<Real>(), interpolator), quotes_(rates), indexIsInterpolated_(indexIsInterpolated) {
 
    QL_REQUIRE(times.size() > 1, "too few times: " << times.size());
    this->times_.resize(times.size());
    this->times_[0] = times[0];
    for (Size i = 1; i < times.size(); i++) {
        QL_REQUIRE(times[i] > times[i - 1], "times not sorted");
        this->times_[i] = times[i];
    }
 
    QL_REQUIRE(this->quotes_.size() == this->times_.size(),
               "quotes/times count mismatch: " << this->quotes_.size() << " vs " << this->times_.size());
 
    // initialise data vector, values are copied from quotes in performCalculations()
    this->data_.resize(this->times_.size());
    for (Size i = 0; i < this->times_.size(); i++)
        this->data_[0] = 0.0;
 
    this->interpolation_ =
        this->interpolator_.interpolate(this->times_.begin(), this->times_.end(), this->data_.begin());
    this->interpolation_.update();
 
    // register with each of the quotes
    for (Size i = 0; i < this->quotes_.size(); i++)
        registerWith(this->quotes_[i]);
}

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Member Function Documentation

baseDate()

Date baseDate

override

Definition at line 123 of file zeroinflationcurveobservermoving.hpp.

                                                                            {
    // if indexIsInterpolated we fixed the dates in the constructor
    calculate();
    return baseDate_;
}

maxTime()

Time maxTime

override

Definition at line 129 of file zeroinflationcurveobservermoving.hpp.

{ return this->times_.back(); }

maxDate()

Date maxDate

override

Definition at line 131 of file zeroinflationcurveobservermoving.hpp.

{ return this->maxDate_; }

times()

const std::vector< Time > & times

Definition at line 138 of file zeroinflationcurveobservermoving.hpp.

                                                                                                  {
    return this->times_;
}

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data()

const std::vector< Real > & data

Definition at line 147 of file zeroinflationcurveobservermoving.hpp.

                                                                                                 {
    calculate();
    return this->data_;
}

rates()

const std::vector< Rate > & rates

Definition at line 142 of file zeroinflationcurveobservermoving.hpp.

                                                                                                  {
    calculate();
    return this->data_;
}

quotes()

const std::vector< Handle< Quote > > & quotes

(

)

const

Definition at line 63 of file zeroinflationcurveobservermoving.hpp.

{ return quotes_; };

update()

void update

override

Definition at line 152 of file zeroinflationcurveobservermoving.hpp.

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

performCalculations()

void performCalculations

overrideprivate

Definition at line 157 of file zeroinflationcurveobservermoving.hpp.

                                                                                              {
 
    Date d = Settings::instance().evaluationDate();
    Date d0 = d - this->observationLag();
    if (!indexIsInterpolated_) {
        baseDate_ = inflationPeriod(d0, this->frequency_).first;
    } else {
        baseDate_ = d0;
    }
 
    for (Size i = 0; i < this->times_.size(); ++i)
        this->data_[i] = quotes_[i]->value();
    this->interpolation_ =
        this->interpolator_.interpolate(this->times_.begin(), this->times_.end(), this->data_.begin());
    this->interpolation_.update();
}

zeroRateImpl()

Rate zeroRateImpl ( Time  t ) const

overrideprotected

Definition at line 133 of file zeroinflationcurveobservermoving.hpp.

                                                                                             {
    calculate();
    return this->interpolation_(t, true);
}

Member Data Documentation

quotes_

std::vector<Handle<Quote> > quotes_

protected

Definition at line 82 of file zeroinflationcurveobservermoving.hpp.

indexIsInterpolated_

bool indexIsInterpolated_

protected

Definition at line 83 of file zeroinflationcurveobservermoving.hpp.

baseDate_

Date baseDate_

mutableprotected

Definition at line 84 of file zeroinflationcurveobservermoving.hpp.