QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Interface for zero inflation term structures. More...
#include <ql/termstructures/inflationtermstructure.hpp>
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< 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_ |
Interface for zero inflation term structures.
Definition at line 116 of file inflationtermstructure.hpp.
ZeroInflationTermStructure | ( | const DayCounter & | dayCounter, |
Rate | baseZeroRate, | ||
const Period & | lag, | ||
Frequency | frequency, | ||
const ext::shared_ptr< Seasonality > & | seasonality = {} |
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) |
Definition at line 106 of file inflationtermstructure.cpp.
ZeroInflationTermStructure | ( | const Date & | referenceDate, |
const Calendar & | calendar, | ||
const DayCounter & | dayCounter, | ||
Rate | baseZeroRate, | ||
const Period & | lag, | ||
Frequency | frequency, | ||
const ext::shared_ptr< Seasonality > & | seasonality = {} |
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) |
Definition at line 115 of file inflationtermstructure.cpp.
ZeroInflationTermStructure | ( | Natural | settlementDays, |
const Calendar & | calendar, | ||
const DayCounter & | dayCounter, | ||
Rate | baseZeroRate, | ||
const Period & | lag, | ||
Frequency | frequency, | ||
const ext::shared_ptr< Seasonality > & | seasonality = {} |
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) |
Definition at line 126 of file inflationtermstructure.cpp.
Rate zeroRate | ( | const Date & | d, |
const Period & | instObsLag = Period(-1,Days) , |
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bool | forceLinearInterpolation = false , |
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bool | extrapolate = false |
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) | 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.
Definition at line 137 of file inflationtermstructure.cpp.
zero-coupon inflation rate.
Definition at line 173 of file inflationtermstructure.cpp.
to be defined in derived classes
Implemented in InterpolatedZeroInflationCurve< Interpolator >.