Interface for inflation term structures. More...

#include <inflationtermstructure.hpp>

Inheritance diagram for InflationTermStructure:

Collaboration diagram for InflationTermStructure:

Public Member Functions
Constructors
	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={})

Inflation interface
virtual Period	observationLag () const

virtual Frequency	frequency () const

virtual Rate	baseRate () const

virtual Date	baseDate () const
	minimum (base) date More...

bool	hasExplicitBaseDate () 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 Date	maxDate () const =0
	the latest date for which the curve can return values 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...

Seasonality
ext::shared_ptr< Seasonality >	seasonality_

Period	observationLag_

Frequency	frequency_

Rate	baseRate_

Date	baseDate_

bool	hasExplicitBaseDate_

void	setSeasonality ()

void	setSeasonality (const ext::shared_ptr< Seasonality > &seasonality)

ext::shared_ptr< Seasonality >	seasonality () const

bool	hasSeasonality () const

virtual void	setBaseRate (const Rate &r)

void	checkRange (const Date &, bool extrapolate) const

void	checkRange (Time t, bool extrapolate) const

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

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 Attributes inherited from TermStructure
bool	moving_ = false

bool	updated_ = true

Calendar	calendar_

Detailed Description

Interface for inflation term structures.

Definition at line 36 of file inflationtermstructure.hpp.

Constructor & Destructor Documentation

◆ InflationTermStructure() [1/6]

InflationTermStructure	(	Date	baseDate,
		Frequency	frequency,
		const DayCounter &	dayCounter = `DayCounter()`,
		ext::shared_ptr< Seasonality >	seasonality = `{}`,
		Rate	baseRate = `Null<Rate>()`
	)

Definition at line 26 of file inflationtermstructure.cpp.

◆ InflationTermStructure() [2/6]

InflationTermStructure	(	const Date &	referenceDate,
		Date	baseDate,
		Frequency	frequency,
		const DayCounter &	dayCounter = `DayCounter()`,
		ext::shared_ptr< Seasonality >	seasonality = `{}`,
		Rate	baseRate = `Null<Rate>()`
	)

Definition at line 41 of file inflationtermstructure.cpp.

◆ InflationTermStructure() [3/6]

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

Definition at line 57 of file inflationtermstructure.cpp.

◆ InflationTermStructure() [4/6]

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

Deprecated:: Use another overload and pass the base date directly instead of using a lag. Deprecated in version 1.34.

Definition at line 74 of file inflationtermstructure.cpp.

◆ InflationTermStructure() [5/6]

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

Deprecated:: Use another overload and pass the base date directly instead of using a lag. Deprecated in version 1.34.

Definition at line 90 of file inflationtermstructure.cpp.

◆ InflationTermStructure() [6/6]

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

Deprecated:: Use another overload and pass the base date directly instead of using a lag. Deprecated in version 1.34.

Definition at line 107 of file inflationtermstructure.cpp.

Member Function Documentation

◆ observationLag()

Period observationLag ( ) const

virtual

Definition at line 364 of file inflationtermstructure.hpp.

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◆ frequency()

Frequency frequency ( ) const

virtual

Definition at line 368 of file inflationtermstructure.hpp.

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◆ baseRate()

Rate baseRate ( ) const

virtual

Definition at line 372 of file inflationtermstructure.hpp.

◆ baseDate()

Date baseDate ( ) const

virtual

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 in InterpolatedYoYInflationCurve< Interpolator >, InterpolatedZeroInflationCurve< Interpolator >, PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >, and PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >.

Definition at line 125 of file inflationtermstructure.cpp.

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◆ hasExplicitBaseDate()

bool hasExplicitBaseDate ( ) const

This can be used temporarily to check whether the term structure was created using one of the new constructors taking a base date or one of the deprecated ones taking an observation lag.

Definition at line 117 of file inflationtermstructure.hpp.

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