Interface for inflation term structures. More...

#include <ql/termstructures/inflationtermstructure.hpp>

Inheritance diagram for InflationTermStructure:

Collaboration diagram for InflationTermStructure:

Public Member Functions
Constructors
	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={})

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...

Inflation interface
ext::shared_ptr< Seasonality >	seasonality_

Period	observationLag_

Frequency	frequency_

Rate	baseRate_

virtual Period	observationLag () const

virtual Frequency	frequency () const

virtual Rate	baseRate () const

virtual Date	baseDate () const =0
	minimum (base) date More...

void	setSeasonality (const ext::shared_ptr< Seasonality > &seasonality={})
	Functions to set and get seasonality. More...

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() [1/3]

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

Definition at line 26 of file inflationtermstructure.cpp.

◆ InflationTermStructure() [2/3]

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

Definition at line 41 of file inflationtermstructure.cpp.

◆ InflationTermStructure() [3/3]

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

Definition at line 57 of file inflationtermstructure.cpp.

Member Function Documentation

◆ observationLag()

Period observationLag ( ) const

virtual

The TS observes with a lag that is usually different from the availability lag of the index. An inflation rate is given, by default, for the maturity requested assuming this lag.

Reimplemented in CPICapFloorTermPriceSurface.

Definition at line 250 of file inflationtermstructure.hpp.

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◆ frequency()

Frequency frequency ( ) const

virtual

Definition at line 254 of file inflationtermstructure.hpp.

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◆ baseRate()

Rate baseRate ( ) const

virtual

Definition at line 258 of file inflationtermstructure.hpp.

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◆ baseDate()

virtual Date baseDate ( ) const

pure virtual

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).

Implemented in CPICapFloorTermPriceSurface, InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D >, InterpolatedYoYInflationCurve< Interpolator >, InterpolatedZeroInflationCurve< Interpolator >, PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >, and PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >.

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