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Fully annotated reference manual - version 1.8.12
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dkimpliedzeroinflationtermstructure.hpp
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1/*
2 Copyright (C) 2017 Quaternion Risk Management Ltd
3 All rights reserved.
4
5 This file is part of ORE, a free-software/open-source library
6 for transparent pricing and risk analysis - http://opensourcerisk.org
7
8 ORE is free software: you can redistribute it and/or modify it
9 under the terms of the Modified BSD License. You should have received a
10 copy of the license along with this program.
11 The license is also available online at <http://opensourcerisk.org>
12
13 This program is distributed on the basis that it will form a useful
14 contribution to risk analytics and model standardisation, but WITHOUT
15 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or
16 FITNESS FOR A PARTICULAR PURPOSE. See the license for more details.
17*/
18
19/*! \file qle/models/dkimpliedzeroinflationtermstructure.hpp
20 \brief zero inflation term structure implied by a Dodgson Kainth (DK) model
21 \ingroup models
22*/
23
24#ifndef quantext_dk_implied_zero_inflation_term_structure_hpp
25#define quantext_dk_implied_zero_inflation_term_structure_hpp
26
29
30namespace QuantExt {
31
32/*! Dodgson Kainth (DK) implied zero inflation term structure
33 \ingroup models
34*/
36public:
37 /*! Constructor taking the cross asset model, \p model, and the index of the relevant inflation component within
38 the model, \p index.
39 */
40 DkImpliedZeroInflationTermStructure(const QuantLib::ext::shared_ptr<CrossAssetModel>& model, QuantLib::Size index);
41
42 QL_DEPRECATED
43 DkImpliedZeroInflationTermStructure(const QuantLib::ext::shared_ptr<CrossAssetModel>& model, QuantLib::Size index, bool indexIsInterpolated);
44
45protected:
46 //! \name ZeroInflationTermStructure interface
47 //@{
48 QuantLib::Real zeroRateImpl(QuantLib::Time t) const override;
49 //@}
50
51 //! \name ZeroInflationModelTermStructure interface
52 //@{
53 void checkState() const override;
54 //@}
55};
56
57}
58
59#endif
QL_DEPRECATED DkImpliedZeroInflationTermStructure(const QuantLib::ext::shared_ptr< CrossAssetModel > &model, QuantLib::Size index, bool indexIsInterpolated)
QuantLib::Real zeroRateImpl(QuantLib::Time t) const override
DkImpliedZeroInflationTermStructure(const QuantLib::ext::shared_ptr< CrossAssetModel > &model, QuantLib::Size index)
cross asset model
zero inflation term structure implied by a cross asset model