QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
Loading...
Searching...
No Matches
Public Member Functions | Protected Member Functions | List of all members
KerkhofSeasonality Class Reference

#include <seasonality.hpp>

+ Inheritance diagram for KerkhofSeasonality:
+ Collaboration diagram for KerkhofSeasonality:

Public Member Functions

 KerkhofSeasonality (const Date &seasonalityBaseDate, const std::vector< Rate > &seasonalityFactors)
 
Real seasonalityFactor (const Date &to) const override
 The factor returned is NOT normalized relative to ANYTHING. More...
 
- Public Member Functions inherited from MultiplicativePriceSeasonality
 MultiplicativePriceSeasonality ()=default
 
 MultiplicativePriceSeasonality (const Date &seasonalityBaseDate, Frequency frequency, const std::vector< Rate > &seasonalityFactors)
 
virtual void set (const Date &seasonalityBaseDate, Frequency frequency, const std::vector< Rate > &seasonalityFactors)
 
virtual Date seasonalityBaseDate () const
 inspectors More...
 
virtual Frequency frequency () const
 
virtual std::vector< RateseasonalityFactors () const
 
virtual Rate seasonalityFactor (const Date &d) const
 The factor returned is NOT normalized relative to ANYTHING. More...
 
Rate correctZeroRate (const Date &d, Rate r, const InflationTermStructure &iTS) const override
 
Rate correctYoYRate (const Date &d, Rate r, const InflationTermStructure &iTS) const override
 
bool isConsistent (const InflationTermStructure &iTS) const override
 
 ~MultiplicativePriceSeasonality () override=default
 
- Public Member Functions inherited from Seasonality
virtual ~Seasonality ()=default
 

Protected Member Functions

Rate seasonalityCorrection (Rate rate, const Date &atDate, const DayCounter &dc, const Date &curveBaseDate, bool isZeroRate) const override
 
- Protected Member Functions inherited from MultiplicativePriceSeasonality
virtual void validate () const
 

Detailed Description

Definition at line 170 of file seasonality.hpp.

Constructor & Destructor Documentation

◆ KerkhofSeasonality()

KerkhofSeasonality ( const Date seasonalityBaseDate,
const std::vector< Rate > &  seasonalityFactors 
)

Definition at line 172 of file seasonality.hpp.

Member Function Documentation

◆ seasonalityFactor()

Real seasonalityFactor ( const Date d) const
overridevirtual

The factor returned is NOT normalized relative to ANYTHING.

Reimplemented from MultiplicativePriceSeasonality.

Definition at line 220 of file seasonality.cpp.

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

◆ seasonalityCorrection()

Rate seasonalityCorrection ( Rate  rate,
const Date atDate,
const DayCounter dc,
const Date curveBaseDate,
bool  isZeroRate 
) const
overrideprotectedvirtual

Reimplemented from MultiplicativePriceSeasonality.

Definition at line 257 of file seasonality.cpp.

+ Here is the call graph for this function: