inflation.cpp File Reference

#include <ql/cashflows/cpicoupon.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <qle/utilities/inflation.hpp>
#include <ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp>
#include <qle/termstructures/inflation/cpivolatilitystructure.hpp>

Go to the source code of this file.

Namespaces
namespace	QuantExt
namespace	QuantExt::ZeroInflation

Functions
Time	inflationTime (const Date &date, const QuantLib::ext::shared_ptr< InflationTermStructure > &inflationTs, bool indexIsInterpolated, const DayCounter &dayCounter)
Real	inflationGrowth (const Handle< ZeroInflationTermStructure > &ts, Time t, const DayCounter &dc, bool indexIsInterpolated)
Real	inflationGrowth (const Handle< ZeroInflationTermStructure > &ts, Time t, bool indexIsInterpolated)
Real	inflationLinkedBondQuoteFactor (const QuantLib::ext::shared_ptr< QuantLib::Bond > &bond)
void	addInflationIndexToMap (std::map< std::tuple< std::string, QuantLib::CPI::InterpolationType, QuantLib::Frequency, QuantLib::Period >, QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > > &inflationIndices, const QuantLib::ext::shared_ptr< QuantLib::Index > &index, QuantLib::CPI::InterpolationType interpolation, Frequency couponFrequency, Period observationLag)
std::map< std::tuple< std::string, QuantLib::CPI::InterpolationType, QuantLib::Frequency, QuantLib::Period >, QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > >	extractAllInflationUnderlyingFromBond (const QuantLib::ext::shared_ptr< QuantLib::Bond > &bond)
QuantLib::Date	lastAvailableFixing (const QuantLib::ZeroInflationIndex &index, const QuantLib::Date &asof)
	Check if today - availabilityLag is already known, otherwise return the fixingDate of the previous fixing. More...
QuantLib::Rate	cpiFixing (const QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > &index, const QuantLib::Date &maturity, const QuantLib::Period &obsLag, bool interpolated)
	Computes a CPI fixing giving an zeroIndex, with interpolation if needed. More...
QuantLib::Date	curveBaseDate (const bool baseDateLastKnownFixing, const QuantLib::Date &refDate, const QuantLib::Period obsLagCurve, const QuantLib::Frequency curveFreq, const QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > &index)
	derives the zero inflation curve base date based on the useLastKnownFixing rule More...
QuantLib::Date	fixingDate (const QuantLib::Date &d, const QuantLib::Period obsLag, const QuantLib::Frequency freq, bool interpolated)
QuantLib::Rate	guessCurveBaseRate (const bool baseDateLastKnownFixing, const QuantLib::Date &swapStart, const QuantLib::Date &asof, const QuantLib::Period &swapTenor, const QuantLib::DayCounter &swapZCLegDayCounter, const QuantLib::Period &swapObsLag, const QuantLib::Rate zeroCouponRate, const QuantLib::Period &curveObsLag, const QuantLib::DayCounter &curveDayCounter, const QuantLib::ext::shared_ptr< QuantLib::ZeroInflationIndex > &index, const bool interpolated, const QuantLib::ext::shared_ptr< QuantLib::Seasonality > &seasonality)
bool	isCPIVolSurfaceLogNormal (const QuantLib::ext::shared_ptr< QuantLib::CPIVolatilitySurface > &surface)