QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Inflation term structure based on interpolated year-on-year rates. More...
#include <ql/termstructures/inflation/interpolatedyoyinflationcurve.hpp>
Public Member Functions | |
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()) | |
InflationTermStructure interface | |
Date | baseDate () const override |
minimum (base) date More... | |
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 (const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const ext::shared_ptr< Seasonality > &seasonality={}) | |
YoYInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const ext::shared_ptr< Seasonality > &seasonality={}) | |
YoYInflationTermStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const ext::shared_ptr< Seasonality > &seasonality={}) | |
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 (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 |
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 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... | |
YoYInflationTermStructure interface | |
std::vector< Date > | dates_ |
Rate | yoyRateImpl (Time t) const override |
to be defined in derived classes More... | |
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, |
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 101 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 144 of file interpolatedyoyinflationcurve.hpp.
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overridevirtual |
minimum (base) date
Important in inflation since it starts before nominal reference date. Changes depending whether index is interpolated or not. When interpolated the base date is just observation lag before nominal. When not interpolated it is the beginning of the relevant period (hence it is easy to create interpolated fixings from a not-interpolated curve because interpolation, usually, of fixings is forward looking).
Implements InflationTermStructure.
Reimplemented in PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >.
Definition at line 159 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 164 of file interpolatedyoyinflationcurve.hpp.
const std::vector< Date > & dates |
Definition at line 182 of file interpolatedyoyinflationcurve.hpp.
const std::vector< Time > & times |
Definition at line 176 of file interpolatedyoyinflationcurve.hpp.
const std::vector< Real > & data |
Definition at line 194 of file interpolatedyoyinflationcurve.hpp.
const std::vector< Rate > & rates |
Definition at line 188 of file interpolatedyoyinflationcurve.hpp.
Definition at line 200 of file interpolatedyoyinflationcurve.hpp.
to be defined in derived classes
Implements YoYInflationTermStructure.
Definition at line 170 of file interpolatedyoyinflationcurve.hpp.
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mutableprotected |
Definition at line 77 of file interpolatedyoyinflationcurve.hpp.