QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
Loading...
Searching...
No Matches
List of all members
ZeroInflationTermStructure Class Referenceabstract

Interface for zero inflation term structures. More...

#include <ql/termstructures/inflationtermstructure.hpp>

+ Inheritance diagram for ZeroInflationTermStructure:
+ Collaboration diagram for ZeroInflationTermStructure:

Public Member Functions

Constructors
 ZeroInflationTermStructure (const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, const ext::shared_ptr< Seasonality > &seasonality={})
 
 ZeroInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, const ext::shared_ptr< Seasonality > &seasonality={})
 
 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 (Rate baseRate, const Period &observationLag, Frequency frequency, const DayCounter &dayCounter=DayCounter(), ext::shared_ptr< Seasonality > seasonality={})
 
 InflationTermStructure (const Date &referenceDate, Rate baseRate, const Period &observationLag, Frequency frequency, const Calendar &calendar=Calendar(), const DayCounter &dayCounter=DayCounter(), ext::shared_ptr< Seasonality > seasonality={})
 
 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 =0
 minimum (base) date More...
 
void setSeasonality (const ext::shared_ptr< Seasonality > &seasonality={})
 Functions to set and get seasonality. More...
 
ext::shared_ptr< Seasonalityseasonality () 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 DatereferenceDate () 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 &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (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< Seasonalityseasonality_
 
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 116 of file inflationtermstructure.hpp.

Constructor & Destructor Documentation

◆ ZeroInflationTermStructure() [1/3]

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

Definition at line 106 of file inflationtermstructure.cpp.

◆ ZeroInflationTermStructure() [2/3]

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

Definition at line 115 of file inflationtermstructure.cpp.

◆ ZeroInflationTermStructure() [3/3]

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

Definition at line 126 of file inflationtermstructure.cpp.

Member Function Documentation

◆ zeroRate() [1/2]

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 137 of file inflationtermstructure.cpp.

+ Here is the call graph for this function:
+ Here is the caller graph for this function:

◆ 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 173 of file inflationtermstructure.cpp.

+ Here is the call graph for this function:

◆ zeroRateImpl()

virtual Rate zeroRateImpl ( Time  t) const
protectedpure virtual

to be defined in derived classes

Implemented in InterpolatedZeroInflationCurve< Interpolator >.

+ Here is the caller graph for this function: