QuantLib: a free/open-source library for quantitative finance
fully annotated source code - version 1.34
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Inflation term structure based on interpolated year-on-year rates. More...
#include <interpolatedyoyinflationcurve.hpp>
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, bool indexIsInterpolated, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={}, const Interpolator &interpolator=Interpolator()) | |
QL_DEPRECATED | InterpolatedYoYInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, 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 | |
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 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 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_ |
Inflation term structure based on interpolated year-on-year rates.
Definition at line 43 of file interpolatedyoyinflationcurve.hpp.
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 = {} , |
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const Interpolator & | interpolator = Interpolator() |
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) |
Definition at line 128 of file interpolatedyoyinflationcurve.hpp.
QL_DEPRECATED_DISABLE_WARNING InterpolatedYoYInflationCurve | ( | const Date & | referenceDate, |
const Calendar & | calendar, | ||
const DayCounter & | dayCounter, | ||
const Period & | lag, | ||
Frequency | frequency, | ||
bool | indexIsInterpolated, | ||
std::vector< Date > | dates, | ||
const std::vector< Rate > & | rates, | ||
const Interpolator & | interpolator = Interpolator() |
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) |
Definition at line 178 of file interpolatedyoyinflationcurve.hpp.
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protected |
Protected version for use when descendents don't want to (or can't) provide the points for interpolation on construction.
Definition at line 161 of file interpolatedyoyinflationcurve.hpp.
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protected |
Definition at line 221 of file interpolatedyoyinflationcurve.hpp.
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overridevirtual |
minimum (base) date
The last date for which we have information.
When not set directly (the recommended option), it is calculated base on an observation lag relative to today.
Reimplemented from InflationTermStructure.
Reimplemented in PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >.
Definition at line 238 of file interpolatedyoyinflationcurve.hpp.
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overridevirtual |
the latest date for which the curve can return values
Implements TermStructure.
Reimplemented in PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >.
Definition at line 246 of file interpolatedyoyinflationcurve.hpp.
const std::vector< Date > & dates |
Definition at line 264 of file interpolatedyoyinflationcurve.hpp.
const std::vector< Time > & times |
Definition at line 258 of file interpolatedyoyinflationcurve.hpp.
const std::vector< Real > & data |
Definition at line 276 of file interpolatedyoyinflationcurve.hpp.
const std::vector< Rate > & rates |
Definition at line 270 of file interpolatedyoyinflationcurve.hpp.
Definition at line 282 of file interpolatedyoyinflationcurve.hpp.
to be defined in derived classes
Implements YoYInflationTermStructure.
Definition at line 252 of file interpolatedyoyinflationcurve.hpp.
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mutableprotected |
Definition at line 91 of file interpolatedyoyinflationcurve.hpp.