ZeroInflationTraits Class Reference

Bootstrap traits to use for PiecewiseZeroInflationCurve. More...

#include <qle/termstructures/inflation/inflationtraits.hpp>

Collaboration diagram for ZeroInflationTraits:

Classes
class	BootstrapFirstDateInitializer

Public Types
typedef QuantLib::BootstrapHelper< QuantLib::ZeroInflationTermStructure >	helper

Static Public Member Functions
static QuantLib::Date	initialDate (const BootstrapFirstDateInitializer *t)
static QuantLib::Rate	initialValue (const QuantLib::ZeroInflationTermStructure *t)
template<class C >
static QuantLib::Rate	guess (QuantLib::Size i, const C *c, bool validData, QuantLib::Size)
template<class C >
static QuantLib::Rate	minValueAfter (QuantLib::Size i, const C *c, bool validData, QuantLib::Size)
template<class C >
static QuantLib::Rate	maxValueAfter (QuantLib::Size i, const C *c, bool validData, QuantLib::Size)
static void	updateGuess (std::vector< QuantLib::Rate > &data, QuantLib::Rate level, QuantLib::Size i)
static QuantLib::Size	maxIterations ()

Detailed Description

Bootstrap traits to use for PiecewiseZeroInflationCurve.

Definition at line 37 of file inflationtraits.hpp.

Member Typedef Documentation

helper

typedef QuantLib::BootstrapHelper<QuantLib::ZeroInflationTermStructure> helper

Definition at line 45 of file inflationtraits.hpp.

Member Function Documentation

initialDate()

static QuantLib::Date initialDate ( const BootstrapFirstDateInitializer *  t )

static

Definition at line 48 of file inflationtraits.hpp.

{ return t->initialDate(); }

Here is the call graph for this function:

initialValue()

static QuantLib::Rate initialValue ( const QuantLib::ZeroInflationTermStructure *  t )

static

Definition at line 50 of file inflationtraits.hpp.

{ return t->baseRate(); }

guess()

static QuantLib::Rate guess ( QuantLib::Size  i, const C *  c, bool  validData, QuantLib::Size    )

static

Definition at line 54 of file inflationtraits.hpp.

    {
        if (validData) // previous iteration value
            return c->data()[i];
 
        if (i == 1) // first pillar
            return detail::avgInflation;
 
        // could/should extrapolate
        return detail::avgInflation;
    }

minValueAfter()

static QuantLib::Rate minValueAfter ( QuantLib::Size  i, const C *  c, bool  validData, QuantLib::Size    )

static

Definition at line 69 of file inflationtraits.hpp.

    {
        if (validData) {
            QuantLib::Rate r = *(std::min_element(c->data().begin(), c->data().end()));
            return r < 0.0 ? r * 2.0 : r / 2.0;
        }
        return -detail::maxInflation;
    }

maxValueAfter()

static QuantLib::Rate maxValueAfter ( QuantLib::Size  i, const C *  c, bool  validData, QuantLib::Size    )

static

Definition at line 79 of file inflationtraits.hpp.

    {
        if (validData) {
            QuantLib::Rate r = *(std::max_element(c->data().begin(), c->data().end()));
            return r < 0.0 ? r / 2.0 : r * 2.0;
        }
        // no constraints.
        // We choose as max a value very unlikely to be exceeded.
        return detail::maxInflation;
    }

updateGuess()

static void updateGuess ( std::vector< QuantLib::Rate > &  data, QuantLib::Rate  level, QuantLib::Size  i  )

static

Definition at line 92 of file inflationtraits.hpp.

                                                                                               {
        data[i] = level;
    }

maxIterations()

static QuantLib::Size maxIterations ( )

static

Definition at line 97 of file inflationtraits.hpp.

{ return 5; }