Inflation term structure based on the interpolation of zero rates. More...

#include <interpolatedzeroinflationcurve.hpp>

Inheritance diagram for InterpolatedZeroInflationCurve< Interpolator >:

Collaboration diagram for InterpolatedZeroInflationCurve< Interpolator >:

Public Member Functions
	InterpolatedZeroInflationCurve (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())

QL_DEPRECATED	InterpolatedZeroInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, 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 ZeroInflationTermStructure
	ZeroInflationTermStructure (Date baseDate, Frequency frequency, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})

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

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

QL_DEPRECATED	ZeroInflationTermStructure (const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, const ext::shared_ptr< Seasonality > &seasonality={})

QL_DEPRECATED	ZeroInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, const ext::shared_ptr< Seasonality > &seasonality={})

QL_DEPRECATED	ZeroInflationTermStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, const ext::shared_ptr< Seasonality > &seasonality={})

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...

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	InflationTermStructure (Rate baseRate, const Period &observationLag, Frequency frequency, const DayCounter &dayCounter=DayCounter(), ext::shared_ptr< Seasonality > seasonality={})

QL_DEPRECATED	InflationTermStructure (const Date &referenceDate, Rate baseRate, const Period &observationLag, Frequency frequency, const Calendar &calendar=Calendar(), const DayCounter &dayCounter=DayCounter(), ext::shared_ptr< Seasonality > seasonality={})

QL_DEPRECATED	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

bool	hasExplicitBaseDate () const

void	setSeasonality ()

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 ()

	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...

ZeroInflationTermStructure Interface
std::vector< Date >	dates_

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

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

QL_DEPRECATED	InterpolatedZeroInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseZeroRate, const Interpolator &interpolator=Interpolator())

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

Protected Member Functions inherited from ZeroInflationTermStructure
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_

Detailed Description

template<class Interpolator>
class QuantLib::InterpolatedZeroInflationCurve< Interpolator >

Inflation term structure based on the interpolation of zero rates.

Definition at line 39 of file interpolatedzeroinflationcurve.hpp.

Constructor & Destructor Documentation

◆ InterpolatedZeroInflationCurve() [1/4]

InterpolatedZeroInflationCurve	(	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 119 of file interpolatedzeroinflationcurve.hpp.

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◆ InterpolatedZeroInflationCurve() [2/4]

QL_DEPRECATED_DISABLE_WARNING InterpolatedZeroInflationCurve	(	const Date &	referenceDate,
		const Calendar &	calendar,
		const DayCounter &	dayCounter,
		const Period &	lag,
		Frequency	frequency,
		std::vector< Date >	dates,
		const std::vector< Rate > &	rates,
		const Interpolator &	interpolator = `Interpolator()`
	)

Deprecated:: Use the other overload and pass the base date directly as the first date in the vector instead of using a lag. Deprecated in version 1.34.

Definition at line 161 of file interpolatedzeroinflationcurve.hpp.

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◆ InterpolatedZeroInflationCurve() [3/4]

InterpolatedZeroInflationCurve	(	const Date &	referenceDate,
		Date	baseDate,
		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 147 of file interpolatedzeroinflationcurve.hpp.

◆ InterpolatedZeroInflationCurve() [4/4]

InterpolatedZeroInflationCurve	(	const Date &	referenceDate,
		const Calendar &	calendar,
		const DayCounter &	dayCounter,
		const Period &	lag,
		Frequency	frequency,
		Rate	baseZeroRate,
		const Interpolator &	interpolator = `Interpolator()`
	)

protected

Deprecated:: Use the other overload and pass the base date directly instead of using a lag. A base rate should not be needed. Deprecated in version 1.34.

Definition at line 199 of file interpolatedzeroinflationcurve.hpp.