QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Inflation term structure based on the interpolation of zero rates. More...
#include <ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp>
Public Member Functions | |
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 (const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, const ext::shared_ptr< Seasonality > &seasonality={}) | |
ZeroInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, const ext::shared_ptr< Seasonality > &seasonality={}) | |
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 (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... | |
ZeroInflationTermStructure Interface | |
std::vector< Date > | dates_ |
Rate | zeroRateImpl (Time t) const override |
to be defined in derived classes More... | |
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_ |
Inflation term structure based on the interpolation of zero rates.
Definition at line 39 of file interpolatedzeroinflationcurve.hpp.
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() |
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) |
Definition at line 94 of file interpolatedzeroinflationcurve.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 132 of file interpolatedzeroinflationcurve.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 PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >.
Definition at line 146 of file interpolatedzeroinflationcurve.hpp.
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overridevirtual |
the latest date for which the curve can return values
Implements TermStructure.
Reimplemented in PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >.
Definition at line 151 of file interpolatedzeroinflationcurve.hpp.
const std::vector< Date > & dates |
Definition at line 168 of file interpolatedzeroinflationcurve.hpp.
const std::vector< Time > & times |
Definition at line 162 of file interpolatedzeroinflationcurve.hpp.
const std::vector< Real > & data |
Definition at line 180 of file interpolatedzeroinflationcurve.hpp.
const std::vector< Rate > & rates |
Definition at line 174 of file interpolatedzeroinflationcurve.hpp.
Definition at line 186 of file interpolatedzeroinflationcurve.hpp.
to be defined in derived classes
Implements ZeroInflationTermStructure.
Definition at line 156 of file interpolatedzeroinflationcurve.hpp.
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mutableprotected |
Definition at line 72 of file interpolatedzeroinflationcurve.hpp.