ZeroInflationIndexWrapper Class Reference

Wrapper that changes the interpolation of an underlying ZC inflation index. More...

#include <qle/indexes/inflationindexwrapper.hpp>

Inheritance diagram for ZeroInflationIndexWrapper:

Collaboration diagram for ZeroInflationIndexWrapper:

Public Member Functions
	ZeroInflationIndexWrapper (const QuantLib::ext::shared_ptr< ZeroInflationIndex > source)
QL_DEPRECATED	ZeroInflationIndexWrapper (const QuantLib::ext::shared_ptr< ZeroInflationIndex > source, const CPI::InterpolationType interpolation)
Rate	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override

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

Private Attributes
const QuantLib::ext::shared_ptr< ZeroInflationIndex >	source_
QL_DEPRECATED const CPI::InterpolationType	interpolation_

Detailed Description

Wrapper that changes the interpolation of an underlying ZC inflation index.

The (possible) change in the interpolation is not reflected in the index class itself, only the fixing methods behave consistently

Definition at line 39 of file inflationindexwrapper.hpp.

Constructor & Destructor Documentation

ZeroInflationIndexWrapper() [1/2]

QL_DEPRECATED_DISABLE_WARNING ZeroInflationIndexWrapper

(

const QuantLib::ext::shared_ptr< ZeroInflationIndex >

source

)

Definition at line 26 of file inflationindexwrapper.cpp.

    : ZeroInflationIndex(source->familyName(), source->region(), source->revised(), source->frequency(), source->availabilityLag(), source->currency(),
                         source->zeroInflationTermStructure()),
      source_(source), interpolation_(QuantLib::CPI::InterpolationType::Flat) {}

ZeroInflationIndexWrapper() [2/2]

ZeroInflationIndexWrapper	(	const QuantLib::ext::shared_ptr< ZeroInflationIndex >	source,
		const CPI::InterpolationType	interpolation
	)

Definition at line 31 of file inflationindexwrapper.cpp.

    : ZeroInflationIndex(source->familyName(), source->region(), source->revised(), source->interpolated(),
                         source->frequency(), source->availabilityLag(), source->currency(),
                         source->zeroInflationTermStructure()),
      source_(source), interpolation_(interpolation) {}

Member Function Documentation

fixing()

QL_DEPRECATED_ENABLE_WARNING 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 39 of file inflationindexwrapper.cpp.

                                                                           {
 
    // duplicated logic from CPICashFlow::amount()
 
    // what interpolation do we use? Index / flat / linear
    QL_DEPRECATED_DISABLE_WARNING
    if (interpolation_ == CPI::AsIndex) {
        return source_->fixing(fixingDate);
    } else {
        std::pair<Date, Date> dd = inflationPeriod(fixingDate, frequency());
        Real indexStart = source_->fixing(dd.first);
        if (interpolation_ == CPI::Linear) {
            Real indexEnd = source_->fixing(dd.second + Period(1, Days));
            // linear interpolation
            return indexStart + (indexEnd - indexStart) * (fixingDate - dd.first) /
                                    ((dd.second + Period(1, Days)) -
                                     dd.first); // can't get to next period's value within current period
        } else {
            // no interpolation, i.e. flat = constant, so use start-of-period value
            return indexStart;
        }
    }
    QL_DEPRECATED_ENABLE_WARNING
}

forecastFixing()

Rate forecastFixing ( const Date &  fixingDate ) const

private

Member Data Documentation

source_

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

private

Definition at line 51 of file inflationindexwrapper.hpp.

interpolation_

QL_DEPRECATED const CPI::InterpolationType interpolation_

private

Definition at line 52 of file inflationindexwrapper.hpp.