Interface for zero inflation term structures. More...

#include <inflationtermstructure.hpp>

Inheritance diagram for ZeroInflationTermStructure:

Collaboration diagram for ZeroInflationTermStructure:

Public Member Functions
Constructors
	ZeroInflationTermStructure (Date baseDate, Frequency frequency, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})

	ZeroInflationTermStructure (const Date &referenceDate, Date baseDate, Frequency frequency, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})

	ZeroInflationTermStructure (Natural settlementDays, const Calendar &calendar, Date baseDate, Frequency frequency, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})

QL_DEPRECATED	ZeroInflationTermStructure (const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, const ext::shared_ptr< Seasonality > &seasonality={})

QL_DEPRECATED	ZeroInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, const ext::shared_ptr< Seasonality > &seasonality={})

QL_DEPRECATED	ZeroInflationTermStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, const ext::shared_ptr< Seasonality > &seasonality={})

Public Member Functions inherited from InflationTermStructure
	InflationTermStructure (Date baseDate, Frequency frequency, const DayCounter &dayCounter=DayCounter(), ext::shared_ptr< Seasonality > seasonality={}, Rate baseRate=Null< Rate >())

	InflationTermStructure (const Date &referenceDate, Date baseDate, Frequency frequency, const DayCounter &dayCounter=DayCounter(), ext::shared_ptr< Seasonality > seasonality={}, Rate baseRate=Null< Rate >())

	InflationTermStructure (Natural settlementDays, const Calendar &calendar, Date baseDate, Frequency frequency, const DayCounter &dayCounter=DayCounter(), ext::shared_ptr< Seasonality > seasonality={}, Rate baseRate=Null< Rate >())

QL_DEPRECATED	InflationTermStructure (Rate baseRate, const Period &observationLag, Frequency frequency, const DayCounter &dayCounter=DayCounter(), ext::shared_ptr< Seasonality > seasonality={})

QL_DEPRECATED	InflationTermStructure (const Date &referenceDate, Rate baseRate, const Period &observationLag, Frequency frequency, const Calendar &calendar=Calendar(), const DayCounter &dayCounter=DayCounter(), ext::shared_ptr< Seasonality > seasonality={})

QL_DEPRECATED	InflationTermStructure (Natural settlementDays, const Calendar &calendar, Rate baseRate, const Period &observationLag, Frequency frequency, const DayCounter &dayCounter=DayCounter(), ext::shared_ptr< Seasonality > seasonality={})

virtual Period	observationLag () const

virtual Frequency	frequency () const

virtual Rate	baseRate () const

virtual Date	baseDate () const
	minimum (base) date More...

bool	hasExplicitBaseDate () const

void	setSeasonality ()

void	setSeasonality (const ext::shared_ptr< Seasonality > &seasonality)

ext::shared_ptr< Seasonality >	seasonality () const

bool	hasSeasonality () const

Public Member Functions inherited from TermStructure
	TermStructure (DayCounter dc=DayCounter())
	default constructor More...

	TermStructure (const Date &referenceDate, Calendar calendar=Calendar(), DayCounter dc=DayCounter())
	initialize with a fixed reference date More...

	TermStructure (Natural settlementDays, Calendar, DayCounter dc=DayCounter())
	calculate the reference date based on the global evaluation date More...

	~TermStructure () override=default

virtual DayCounter	dayCounter () const
	the day counter used for date/time conversion More...

Time	timeFromReference (const Date &date) const
	date/time conversion More...

virtual Date	maxDate () const =0
	the latest date for which the curve can return values More...

virtual Time	maxTime () const
	the latest time for which the curve can return values More...

virtual const Date &	referenceDate () const
	the date at which discount = 1.0 and/or variance = 0.0 More...

virtual Calendar	calendar () const
	the calendar used for reference and/or option date calculation More...

virtual Natural	settlementDays () const
	the settlementDays used for reference date calculation More...

void	update () override

Public Member Functions inherited from Observer
	Observer ()=default

	Observer (const Observer &)

Observer &	operator= (const Observer &)

virtual	~Observer ()

std::pair< iterator, bool >	registerWith (const ext::shared_ptr< Observable > &)

void	registerWithObservables (const ext::shared_ptr< Observer > &)

Size	unregisterWith (const ext::shared_ptr< Observable > &)

void	unregisterWithAll ()

virtual void	update ()=0

virtual void	deepUpdate ()

Public Member Functions inherited from Observable
	Observable ()

	Observable (const Observable &)

Observable &	operator= (const Observable &)

	Observable (Observable &&)=delete

Observable &	operator= (Observable &&)=delete

virtual	~Observable ()=default

void	notifyObservers ()

Public Member Functions inherited from Extrapolator
	Extrapolator ()=default

virtual	~Extrapolator ()=default

void	enableExtrapolation (bool b=true)
	enable extrapolation in subsequent calls More...

void	disableExtrapolation (bool b=true)
	disable extrapolation in subsequent calls More...

bool	allowsExtrapolation () const
	tells whether extrapolation is enabled More...

Inspectors
Rate	zeroRate (const Date &d, const Period &instObsLag=Period(-1, Days), bool forceLinearInterpolation=false, bool extrapolate=false) const
	zero-coupon inflation rate. More...

Rate	zeroRate (Time t, bool extrapolate=false) const
	zero-coupon inflation rate. More...

virtual Rate	zeroRateImpl (Time t) const =0
	to be defined in derived classes More...

Additional Inherited Members
Public Types inherited from Observer
typedef set_type::iterator	iterator

Protected Member Functions inherited from InflationTermStructure
virtual void	setBaseRate (const Rate &r)

void	checkRange (const Date &, bool extrapolate) const

void	checkRange (Time t, bool extrapolate) const

Protected Member Functions inherited from TermStructure
void	checkRange (const Date &d, bool extrapolate) const
	date-range check More...

void	checkRange (Time t, bool extrapolate) const
	time-range check More...

Protected Attributes inherited from InflationTermStructure
ext::shared_ptr< Seasonality >	seasonality_

Period	observationLag_

Frequency	frequency_

Rate	baseRate_

Protected Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Detailed Description

Interface for zero inflation term structures.

Definition at line 158 of file inflationtermstructure.hpp.

Constructor & Destructor Documentation

◆ ZeroInflationTermStructure() [1/6]

ZeroInflationTermStructure	(	Date	baseDate,
		Frequency	frequency,
		const DayCounter &	dayCounter,
		const ext::shared_ptr< Seasonality > &	seasonality = `{}`
	)

Definition at line 164 of file inflationtermstructure.cpp.

◆ ZeroInflationTermStructure() [2/6]

ZeroInflationTermStructure	(	const Date &	referenceDate,
		Date	baseDate,
		Frequency	frequency,
		const DayCounter &	dayCounter,
		const ext::shared_ptr< Seasonality > &	seasonality = `{}`
	)

Definition at line 171 of file inflationtermstructure.cpp.

◆ ZeroInflationTermStructure() [3/6]

ZeroInflationTermStructure	(	Natural	settlementDays,
		const Calendar &	calendar,
		Date	baseDate,
		Frequency	frequency,
		const DayCounter &	dayCounter,
		const ext::shared_ptr< Seasonality > &	seasonality = `{}`
	)

Definition at line 179 of file inflationtermstructure.cpp.

◆ ZeroInflationTermStructure() [4/6]

QL_DEPRECATED_DISABLE_WARNING ZeroInflationTermStructure	(	const DayCounter &	dayCounter,
		Rate	baseZeroRate,
		const Period &	lag,
		Frequency	frequency,
		const ext::shared_ptr< Seasonality > &	seasonality = `{}`
	)

Deprecated:: Use another overload and pass the base date directly instead of using a lag. A base rate should not be needed. Deprecated in version 1.34.

Definition at line 190 of file inflationtermstructure.cpp.

◆ ZeroInflationTermStructure() [5/6]

ZeroInflationTermStructure	(	const Date &	referenceDate,
		const Calendar &	calendar,
		const DayCounter &	dayCounter,
		Rate	baseZeroRate,
		const Period &	lag,
		Frequency	frequency,
		const ext::shared_ptr< Seasonality > &	seasonality = `{}`
	)

Deprecated:: Use another overload and pass the base date directly instead of using a lag. A base rate should not be needed. Deprecated in version 1.34.

Definition at line 199 of file inflationtermstructure.cpp.

◆ ZeroInflationTermStructure() [6/6]

ZeroInflationTermStructure	(	Natural	settlementDays,
		const Calendar &	calendar,
		const DayCounter &	dayCounter,
		Rate	baseZeroRate,
		const Period &	lag,
		Frequency	frequency,
		const ext::shared_ptr< Seasonality > &	seasonality = `{}`
	)

Deprecated:: Use another overload and pass the base date directly instead of using a lag. A base rate should not be needed. Deprecated in version 1.34.

Definition at line 210 of file inflationtermstructure.cpp.

Member Function Documentation

◆ zeroRate() [1/2]

QL_DEPRECATED_ENABLE_WARNING Rate zeroRate	(	const Date &	d,
		const Period &	instObsLag = `Period(-1,Days)`,
		bool	forceLinearInterpolation = `false`,
		bool	extrapolate = `false`
	)		const

zero-coupon inflation rate.

Essentially the fair rate for a zero-coupon inflation swap (by definition), i.e. the zero term structure uses yearly compounding, which is assumed for ZCIIS instrument quotes.

Note: by default you get the same as lag and interpolation as the term structure. If you want to get predictions of RPI/CPI/etc then use an index.

Definition at line 223 of file inflationtermstructure.cpp.

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◆ zeroRate() [2/2]

Rate zeroRate	(	Time	t,
		bool	extrapolate = `false`
	)		const

zero-coupon inflation rate.

Warning:: Since inflation is highly linked to dates (lags, interpolation, months for seasonality, etc) this method cannot account for all effects. If you call it, You'll have to manage lag, seasonality etc. yourself.

Definition at line 259 of file inflationtermstructure.cpp.

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◆ zeroRateImpl()

virtual Rate zeroRateImpl ( Time t ) const

protectedpure virtual

to be defined in derived classes

Implemented in InterpolatedZeroInflationCurve< Interpolator >.