Base class for inflation-rate indexes,. More...

#include <ql/indexes/inflationindex.hpp>

Inheritance diagram for InflationIndex:

Collaboration diagram for InflationIndex:

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

QL_DEPRECATED	InflationIndex (std::string familyName, Region region, bool revised, bool interpolated, Frequency frequency, const Period &availabilitiyLag, Currency currency)

Index interface
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...

Real	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override=0

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

Observer interface
void	update () override

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 ()

Inspectors
Date	referenceDate_

std::string	familyName_

Region	region_

bool	revised_

Frequency	frequency_

Period	availabilityLag_

Currency	currency_

QL_DEPRECATED bool	interpolated_ = false

std::string	name_

std::string	familyName () const

Region	region () const

bool	revised () const

QL_DEPRECATED bool	interpolated () const

Frequency	frequency () const

Period	availabilityLag () const

Currency	currency () const

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

Detailed Description

Base class for inflation-rate indexes,.

Definition at line 65 of file inflationindex.hpp.

Constructor & Destructor Documentation

◆ InflationIndex() [1/2]

QL_DEPRECATED_DISABLE_WARNING InflationIndex	(	std::string	familyName,
		Region	region,
		bool	revised,
		Frequency	frequency,
		const Period &	availabilitiyLag,
		Currency	currency
	)

Definition at line 88 of file inflationindex.cpp.

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◆ InflationIndex() [2/2]

InflationIndex	(	std::string	familyName,
		Region	region,
		bool	revised,
		bool	interpolated,
		Frequency	frequency,
		const Period &	availabilitiyLag,
		Currency	currency
	)

Deprecated:: Use the constructor without the "interpolated" parameter. Deprecated in version 1.29.

Definition at line 66 of file inflationindex.cpp.

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Member Function Documentation

◆ name()

std::string name ( ) const

overridevirtual

Returns the name of the index.

Warning:: This method is used for output and comparison between indexes. It is not meant to be used for writing switch-on-type code.

Implements Index.

Definition at line 332 of file inflationindex.hpp.

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◆ fixingCalendar()

Calendar fixingCalendar ( ) const

overridevirtual

Inflation indices do not have fixing calendars. An inflation index value is valid for every day (including weekends) of a calendar period. I.e. it uses the NullCalendar as its fixing calendar.

Implements Index.

Definition at line 108 of file inflationindex.cpp.

◆ isValidFixingDate()

bool isValidFixingDate ( const Date & fixingDate ) const

overridevirtual

returns TRUE if the fixing date is a valid one

Implements Index.

Definition at line 96 of file inflationindex.hpp.

◆ fixing()

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

overridepure virtual

Forecasting index values requires an inflation term structure. The inflation term structure (ITS) defines the usual lag (not the index). I.e. an ITS is always relatve to a base date that is earlier than its asof date. This must be so because indices are available only with a lag. However, the index availability lag only sets a minimum lag for the ITS. An ITS may be relative to an earlier date, e.g. an index may have a 2-month delay in publication but the inflation swaps may take as their base the index 3 months before.

Implements Index.

Implemented in ZeroInflationIndex, and YoYInflationIndex.

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◆ addFixing()

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

overridevirtual

this method creates all the "fixings" for the relevant period of the index. E.g. for monthly indices it will put the same value in every calendar day in the month.

Reimplemented from Index.

Definition at line 113 of file inflationindex.cpp.

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◆ update()

void update ( )

overridevirtual

This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Implements Observer.

Definition at line 336 of file inflationindex.hpp.

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◆ familyName()

std::string familyName ( ) const

Definition at line 340 of file inflationindex.hpp.

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◆ region()

Region region ( ) const

Definition at line 344 of file inflationindex.hpp.

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◆ revised()

bool revised ( ) const

Definition at line 348 of file inflationindex.hpp.

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◆ interpolated()

QL_DEPRECATED_ENABLE_WARNING bool interpolated ( ) const

Forecasting index values using an inflation term structure uses the interpolation of the inflation term structure unless interpolation is set to false. In this case the extrapolated values are constant within each period taking the mid-period extrapolated value.

Deprecated:: Don't use this method. Indexes should only be asked monthly fixings (by convention, on the first of the month); interpolation is delegated to coupons. Deprecated in version 1.29.

Definition at line 102 of file inflationindex.cpp.

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◆ frequency()

Frequency frequency ( ) const

Definition at line 352 of file inflationindex.hpp.

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◆ availabilityLag()

Period availabilityLag ( ) const

The availability lag describes when the index is available, not how it is used. Specifically the fixing for, say, January, may only be available in April but the index will always return the index value applicable for January as its January fixing (independent of the lag in availability).

Definition at line 356 of file inflationindex.hpp.

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◆ currency()

Currency currency ( ) const

Definition at line 360 of file inflationindex.hpp.

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Member Data Documentation

◆ referenceDate_

Date referenceDate_

protected

Definition at line 157 of file inflationindex.hpp.

◆ familyName_

std::string familyName_

protected

Definition at line 158 of file inflationindex.hpp.

◆ region_

Region region_

protected

Definition at line 159 of file inflationindex.hpp.

◆ revised_

bool revised_

protected

Definition at line 160 of file inflationindex.hpp.

◆ frequency_

Frequency frequency_

protected

Definition at line 161 of file inflationindex.hpp.

◆ availabilityLag_

Period availabilityLag_

protected

Definition at line 162 of file inflationindex.hpp.

◆ currency_

Currency currency_

protected

Definition at line 163 of file inflationindex.hpp.

◆ interpolated_

QL_DEPRECATED bool interpolated_ = false

protected

Deprecated:: Don't use this data member. Indexes should only be asked monthly fixings (by convention, on the first of the month); interpolation is delegated to coupons. Deprecated in version 1.29.

Definition at line 172 of file inflationindex.hpp.

◆ name_

std::string name_

private

Definition at line 175 of file inflationindex.hpp.

Public Member Functions

Inspectors

Additional Inherited Members

Detailed Description

Constructor & Destructor Documentation

◆ InflationIndex() [1/2]

◆ InflationIndex() [2/2]

Member Function Documentation

◆ name()

◆ fixingCalendar()

◆ isValidFixingDate()

◆ fixing()

◆ addFixing()

◆ update()

◆ familyName()

◆ region()

◆ revised()

◆ interpolated()

◆ frequency()

◆ availabilityLag()

◆ currency()

Member Data Documentation

◆ referenceDate_

◆ familyName_

◆ region_

◆ revised_

◆ frequency_

◆ availabilityLag_

◆ currency_

◆ interpolated_

◆ name_