Base class for year-on-year inflation indices. More...

#include <inflationindex.hpp>

Inheritance diagram for YoYInflationIndex:

Collaboration diagram for YoYInflationIndex:

Public Member Functions
Constructors
	YoYInflationIndex (const ext::shared_ptr< ZeroInflationIndex > &underlyingIndex, bool interpolated, Handle< YoYInflationTermStructure > ts={})
	Constructor for year-on-year indices defined as a ratio. More...

	YoYInflationIndex (const std::string &familyName, const Region &region, bool revised, bool interpolated, Frequency frequency, const Period &availabilityLag, const Currency &currency, Handle< YoYInflationTermStructure > ts={})
	Constructor for quoted year-on-year indices. More...

QL_DEPRECATED	YoYInflationIndex (const std::string &familyName, const Region &region, bool revised, bool interpolated, bool ratio, Frequency frequency, const Period &availabilityLag, const Currency &currency, Handle< YoYInflationTermStructure > ts={})
	Old generic constructor for year-on-year indices. More...

Index interface
Rate	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override

Public Member Functions inherited from InflationIndex
	InflationIndex (std::string familyName, Region region, bool revised, Frequency frequency, const Period &availabilitiyLag, Currency currency)

std::string	name () const override
	Returns the name of the index. More...

Calendar	fixingCalendar () const override

bool	isValidFixingDate (const Date &) const override
	returns TRUE if the fixing date is a valid one More...

void	addFixing (const Date &fixingDate, Rate fixing, bool forceOverwrite=false) override

void	update () override

std::string	familyName () const

Region	region () const

bool	revised () const

Frequency	frequency () const

Period	availabilityLag () const

Currency	currency () const

Public Member Functions inherited from Index
	~Index () override=default

virtual std::string	name () const =0
	Returns the name of the index. More...

virtual Calendar	fixingCalendar () const =0
	returns the calendar defining valid fixing dates More...

virtual bool	isValidFixingDate (const Date &fixingDate) const =0
	returns TRUE if the fixing date is a valid one More...

bool	hasHistoricalFixing (const Date &fixingDate) const
	returns whether a historical fixing was stored for the given date More...

virtual Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const =0
	returns the fixing at the given date More...

const TimeSeries< Real > &	timeSeries () const
	returns the fixing TimeSeries More...

virtual bool	allowsNativeFixings ()
	check if index allows for native fixings. More...

virtual void	addFixing (const Date &fixingDate, Real fixing, bool forceOverwrite=false)
	stores the historical fixing at the given date More...

void	addFixings (const TimeSeries< Real > &t, bool forceOverwrite=false)
	stores historical fixings from a TimeSeries More...

template<class DateIterator , class ValueIterator >
void	addFixings (DateIterator dBegin, DateIterator dEnd, ValueIterator vBegin, bool forceOverwrite=false)
	stores historical fixings at the given dates More...

void	clearFixings ()
	clears all stored historical fixings More...

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 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 ()

Other methods
bool	interpolated_

bool	ratio_

ext::shared_ptr< ZeroInflationIndex >	underlyingIndex_

Handle< YoYInflationTermStructure >	yoyInflation_

bool	interpolated () const

bool	ratio () const

ext::shared_ptr< ZeroInflationIndex >	underlyingIndex () const

Handle< YoYInflationTermStructure >	yoyInflationTermStructure () const

ext::shared_ptr< YoYInflationIndex >	clone (const Handle< YoYInflationTermStructure > &h) const

Rate	forecastFixing (const Date &fixingDate) const

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

Protected Attributes inherited from InflationIndex
Date	referenceDate_

std::string	familyName_

Region	region_

bool	revised_

Frequency	frequency_

Period	availabilityLag_

Currency	currency_

Detailed Description

Base class for year-on-year inflation indices.

These may be quoted indices published on, say, Bloomberg, or can be defined as the ratio of an index at different time points.

Definition at line 185 of file inflationindex.hpp.

Constructor & Destructor Documentation

◆ YoYInflationIndex() [1/3]

YoYInflationIndex	(	const ext::shared_ptr< ZeroInflationIndex > &	underlyingIndex,
		bool	interpolated,
		Handle< YoYInflationTermStructure >	ts = `{}`
	)

Constructor for year-on-year indices defined as a ratio.

An index build with this constructor doesn't need to store past fixings of its own; they will be calculated as a ratio from the past fixings stored in the underlying index.

Definition at line 195 of file inflationindex.cpp.

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◆ YoYInflationIndex() [2/3]

QL_DEPRECATED_DISABLE_WARNING YoYInflationIndex	(	const std::string &	familyName,
		const Region &	region,
		bool	revised,
		bool	interpolated,
		Frequency	frequency,
		const Period &	availabilityLag,
		const Currency &	currency,
		Handle< YoYInflationTermStructure >	ts = `{}`
	)

Constructor for quoted year-on-year indices.

An index built with this constructor needs its past fixings (i.e., the past year-on-year values) to be stored via the addFixing or addFixings method.

Definition at line 209 of file inflationindex.cpp.

◆ YoYInflationIndex() [3/3]

QL_DEPRECATED_ENABLE_WARNING YoYInflationIndex	(	const std::string &	familyName,
		const Region &	region,
		bool	revised,
		bool	interpolated,
		bool	ratio,
		Frequency	frequency,
		const Period &	availabilityLag,
		const Currency &	currency,
		Handle< YoYInflationTermStructure >	ts = `{}`
	)

Old generic constructor for year-on-year indices.

An index built with this constructor needs its past fixings to be stored via the addFixing or addFixings method. Care must be taken about what to store: if ratio is false, the stored values must be the year-on-year values; if ratio is true, they must be the past fixings of the underlying index.

Deprecated:: Use one of the other constructors instead. Deprecated in version 1.31.

Definition at line 222 of file inflationindex.cpp.

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Member Function Documentation

◆ fixing()

Rate fixing	(	const Date &	fixingDate,
		bool	forecastTodaysFixing = `false`
	)		const

overridevirtual

Warning:: the forecastTodaysFixing parameter (required by the Index interface) is currently ignored.

Implements InflationIndex.

Definition at line 240 of file inflationindex.cpp.

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◆ interpolated()

bool interpolated ( ) const

Definition at line 323 of file inflationindex.hpp.

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◆ ratio()

bool ratio ( ) const

Definition at line 327 of file inflationindex.hpp.

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◆ underlyingIndex()

ext::shared_ptr< ZeroInflationIndex > underlyingIndex ( ) const

Definition at line 331 of file inflationindex.hpp.

◆ yoyInflationTermStructure()

Handle< YoYInflationTermStructure > yoyInflationTermStructure ( ) const

Definition at line 336 of file inflationindex.hpp.

◆ clone()

ext::shared_ptr< YoYInflationIndex > clone ( const Handle< YoYInflationTermStructure > & h ) const

Definition at line 316 of file inflationindex.cpp.

◆ forecastFixing()

Real forecastFixing ( const Date & fixingDate ) const

private

Definition at line 302 of file inflationindex.cpp.

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Member Data Documentation

◆ interpolated_

bool interpolated_

protected

Definition at line 259 of file inflationindex.hpp.

◆ ratio_

bool ratio_

private

Definition at line 263 of file inflationindex.hpp.

◆ underlyingIndex_

ext::shared_ptr<ZeroInflationIndex> underlyingIndex_

private

Definition at line 264 of file inflationindex.hpp.

◆ yoyInflation_

Handle<YoYInflationTermStructure> yoyInflation_

private

Definition at line 265 of file inflationindex.hpp.

Public Member Functions

Other methods

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ YoYInflationIndex() [1/3]

◆ YoYInflationIndex() [2/3]

◆ YoYInflationIndex() [3/3]

Member Function Documentation

◆ fixing()

◆ interpolated()

◆ ratio()

◆ underlyingIndex()

◆ yoyInflationTermStructure()

◆ clone()

◆ forecastFixing()

Member Data Documentation

◆ interpolated_

◆ ratio_

◆ underlyingIndex_

◆ yoyInflation_