Inflation term structure based on interpolated year-on-year rates. More...

#include <interpolatedyoyinflationcurve.hpp>

Inheritance diagram for InterpolatedYoYInflationCurve< Interpolator >:

Collaboration diagram for InterpolatedYoYInflationCurve< Interpolator >:

Public Member Functions
	InterpolatedYoYInflationCurve (const Date &referenceDate, std::vector< Date > dates, const std::vector< Rate > &rates, Frequency frequency, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={}, const Interpolator &interpolator=Interpolator())

	InterpolatedYoYInflationCurve (const Date &referenceDate, std::vector< Date > dates, const std::vector< Rate > &rates, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={}, const Interpolator &interpolator=Interpolator())

InflationTermStructure interface
Date	maxDate () const override
	the latest date for which the curve can return values More...

Inspectors
const std::vector< Date > &	dates () const

const std::vector< Time > &	times () const

const std::vector< Real > &	data () const

const std::vector< Rate > &	rates () const

std::vector< std::pair< Date, Rate > >	nodes () const

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

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

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

	YoYInflationTermStructure (Date baseDate, Rate baseYoYRate, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})

	YoYInflationTermStructure (const Date &referenceDate, Date baseDate, Rate baseYoYRate, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})

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

QL_DEPRECATED_DISABLE_WARNING	~YoYInflationTermStructure () override=default

Rate	yoyRate (const Date &d, const Period &instObsLag=Period(-1, Days), bool forceLinearInterpolation=false, bool extrapolate=false) const
	year-on-year inflation rate. More...

Rate	yoyRate (Time t, bool extrapolate=false) const
	year-on-year inflation rate. More...

virtual bool	indexIsInterpolated () const

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_DISABLE_WARNING	~InflationTermStructure () override=default

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 (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 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 ()=default

	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...

YoYInflationTermStructure interface
std::vector< Date >	dates_

Rate	yoyRateImpl (Time t) const override
	to be defined in derived classes More...

	InterpolatedYoYInflationCurve (const Date &referenceDate, Date baseDate, Rate baseYoYRate, Frequency frequency, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={}, const Interpolator &interpolator=Interpolator())

	InterpolatedYoYInflationCurve (const Date &referenceDate, Date baseDate, Rate baseYoYRate, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={}, const Interpolator &interpolator=Interpolator())

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

Protected Member Functions inherited from YoYInflationTermStructure
Protected Member Functions inherited from InflationTermStructure
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 Member Functions inherited from InterpolatedCurve< Interpolator >
	InterpolatedCurve (std::vector< Time > times, std::vector< Real > data, const Interpolator &i=Interpolator())

	InterpolatedCurve (std::vector< Time > times, const Interpolator &i=Interpolator())

	InterpolatedCurve (Size n, const Interpolator &i=Interpolator())

	InterpolatedCurve (const Interpolator &i=Interpolator())

	InterpolatedCurve (const InterpolatedCurve &c)

InterpolatedCurve &	operator= (const InterpolatedCurve &c)

	InterpolatedCurve (InterpolatedCurve &&c) noexcept

InterpolatedCurve &	operator= (InterpolatedCurve &&c) noexcept

void	setupTimes (const std::vector< Date > &dates, Date referenceDate, const DayCounter &dayCounter)

void	setupInterpolation ()

	~InterpolatedCurve ()=default

Protected Attributes inherited from YoYInflationTermStructure
bool	indexIsInterpolated_ = false

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_

Protected Attributes inherited from InterpolatedCurve< Interpolator >
std::vector< Time >	times_

std::vector< Real >	data_

Interpolation	interpolation_

Interpolator	interpolator_

Date	maxDate_

Detailed Description

template<class Interpolator>
class QuantLib::InterpolatedYoYInflationCurve< Interpolator >

Inflation term structure based on interpolated year-on-year rates.

Note: The provided rates are not YY inflation-swap quotes.

Definition at line 43 of file interpolatedyoyinflationcurve.hpp.

Constructor & Destructor Documentation

◆ InterpolatedYoYInflationCurve() [1/4]

InterpolatedYoYInflationCurve	(	const Date &	referenceDate,
		std::vector< Date >	dates,
		const std::vector< Rate > &	rates,
		Frequency	frequency,
		const DayCounter &	dayCounter,
		const ext::shared_ptr< Seasonality > &	seasonality = `{}`,
		const Interpolator &	interpolator = `Interpolator()`
	)

Definition at line 122 of file interpolatedyoyinflationcurve.hpp.

Here is the call graph for this function:

◆ InterpolatedYoYInflationCurve() [2/4]

InterpolatedYoYInflationCurve	(	const Date &	referenceDate,
		std::vector< Date >	dates,
		const std::vector< Rate > &	rates,
		Frequency	frequency,
		bool	indexIsInterpolated,
		const DayCounter &	dayCounter,
		const ext::shared_ptr< Seasonality > &	seasonality = `{}`,
		const Interpolator &	interpolator = `Interpolator()`
	)

Deprecated:: Use the overload without indexIsInterpolated. Deprecated in version 1.37.

Definition at line 154 of file interpolatedyoyinflationcurve.hpp.

Here is the call graph for this function:

◆ InterpolatedYoYInflationCurve() [3/4]

InterpolatedYoYInflationCurve	(	const Date &	referenceDate,
		Date	baseDate,
		Rate	baseYoYRate,
		Frequency	frequency,
		const DayCounter &	dayCounter,
		const ext::shared_ptr< Seasonality > &	seasonality = `{}`,
		const Interpolator &	interpolator = `Interpolator()`
	)

protected

Protected version for use when descendents don't want to (or can't) provide the points for interpolation on construction.

Definition at line 171 of file interpolatedyoyinflationcurve.hpp.

◆ InterpolatedYoYInflationCurve() [4/4]

InterpolatedYoYInflationCurve	(	const Date &	referenceDate,
		Date	baseDate,
		Rate	baseYoYRate,
		Frequency	frequency,
		bool	indexIsInterpolated,
		const DayCounter &	dayCounter,
		const ext::shared_ptr< Seasonality > &	seasonality = `{}`,
		const Interpolator &	interpolator = `Interpolator()`
	)