ZeroInflationModelTermStructure Class Reference

#include <qle/models/zeroinflationmodeltermstructure.hpp>

Inheritance diagram for ZeroInflationModelTermStructure:

Collaboration diagram for ZeroInflationModelTermStructure:

Public Member Functions
	ZeroInflationModelTermStructure (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, QuantLib::Size index)
QL_DEPRECATED	ZeroInflationModelTermStructure (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

InflationTermStructure interface
QuantLib::ext::shared_ptr< CrossAssetModel >	model_
QuantLib::Size	index_
QL_DEPRECATED 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...
virtual void	checkState () const

Detailed Description

Base class for cross asset model implied zero 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. This purely time based variant is mainly here for performance reasons. Note that it does not provide the full term structure interface and does not send notifications on reference time updates.

Definition at line 41 of file zeroinflationmodeltermstructure.hpp.

Constructor & Destructor Documentation

ZeroInflationModelTermStructure() [1/2]

ZeroInflationModelTermStructure	(	const QuantLib::ext::shared_ptr< CrossAssetModel > &	model,
		QuantLib::Size	index
	)

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

ZeroInflationModelTermStructure() [2/2]

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

Member Function Documentation

update()

QL_DEPRECATED_ENABLE_WARNING void update ( )

override

Definition at line 47 of file zeroinflationmodeltermstructure.cpp.

                                             {
    notifyObservers();
}

maxDate()

Date maxDate ( ) const

override

Definition at line 51 of file zeroinflationmodeltermstructure.cpp.

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

maxTime()

Time maxTime ( ) const

override

Definition at line 56 of file zeroinflationmodeltermstructure.cpp.

                                                    {
    // see maxDate
    return QL_MAX_REAL;
}

referenceDate() [1/2]

const Date & referenceDate ( ) const

override

Definition at line 61 of file zeroinflationmodeltermstructure.cpp.

                                                                 {
    return referenceDate_;
}

baseDate()

Date baseDate ( ) const

override

Definition at line 65 of file zeroinflationmodeltermstructure.cpp.

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

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 81 of file zeroinflationmodeltermstructure.cpp.

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

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 87 of file zeroinflationmodeltermstructure.cpp.

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

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 DkImpliedZeroInflationTermStructure, and JyImpliedZeroInflationTermStructure.

Definition at line 90 of file zeroinflationmodeltermstructure.hpp.

{}

Member Data Documentation

model_

QuantLib::ext::shared_ptr<CrossAssetModel> model_

protected

Definition at line 79 of file zeroinflationmodeltermstructure.hpp.

index_

QuantLib::Size index_

protected

Definition at line 80 of file zeroinflationmodeltermstructure.hpp.

indexIsInterpolated_

QL_DEPRECATED bool indexIsInterpolated_

protected

Definition at line 81 of file zeroinflationmodeltermstructure.hpp.

referenceDate_

QuantLib::Date referenceDate_

protected

Definition at line 83 of file zeroinflationmodeltermstructure.hpp.

relativeTime_

QuantLib::Time relativeTime_

protected

Definition at line 84 of file zeroinflationmodeltermstructure.hpp.

state_

QuantLib::Array state_

protected

Definition at line 85 of file zeroinflationmodeltermstructure.hpp.