Base class for year-on-year inflation term structures. More...

#include <inflationtermstructure.hpp>

Inheritance diagram for YoYInflationTermStructure:

Collaboration diagram for YoYInflationTermStructure:

Public Member Functions
Constructors
	YoYInflationTermStructure (Date baseDate, Rate baseYoYRate, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})

	YoYInflationTermStructure (const Date &referenceDate, Date baseDate, Rate baseYoYRate, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})

	YoYInflationTermStructure (Natural settlementDays, const Calendar &calendar, Date baseDate, Rate baseYoYRate, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})

QL_DEPRECATED	YoYInflationTermStructure (const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const ext::shared_ptr< Seasonality > &seasonality={})

QL_DEPRECATED	YoYInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const ext::shared_ptr< Seasonality > &seasonality={})

QL_DEPRECATED	YoYInflationTermStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const ext::shared_ptr< Seasonality > &seasonality={})

Public Member Functions inherited from InflationTermStructure
	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={})

virtual Period	observationLag () const

virtual Frequency	frequency () const

virtual Rate	baseRate () const

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

bool	hasExplicitBaseDate () const

void	setSeasonality ()

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

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 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...

Inspectors
bool	indexIsInterpolated_

Rate	yoyRate (const Date &d, const Period &instObsLag=Period(-1, Days), bool forceLinearInterpolation=false, bool extrapolate=false) const
	year-on-year inflation rate. More...

Rate	yoyRate (Time t, bool extrapolate=false) const
	year-on-year inflation rate. More...

virtual bool	indexIsInterpolated () const

virtual Rate	yoyRateImpl (Time time) const =0
	to be defined in derived classes More...

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

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 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_

Detailed Description

Base class for year-on-year inflation term structures.

Definition at line 250 of file inflationtermstructure.hpp.

Constructor & Destructor Documentation

◆ YoYInflationTermStructure() [1/6]

YoYInflationTermStructure	(	Date	baseDate,
		Rate	baseYoYRate,
		Frequency	frequency,
		bool	indexIsInterpolated,
		const DayCounter &	dayCounter,
		const ext::shared_ptr< Seasonality > &	seasonality = `{}`
	)

Definition at line 266 of file inflationtermstructure.cpp.

◆ YoYInflationTermStructure() [2/6]

YoYInflationTermStructure	(	const Date &	referenceDate,
		Date	baseDate,
		Rate	baseYoYRate,
		Frequency	frequency,
		bool	indexIsInterpolated,
		const DayCounter &	dayCounter,
		const ext::shared_ptr< Seasonality > &	seasonality = `{}`
	)

Definition at line 276 of file inflationtermstructure.cpp.

◆ YoYInflationTermStructure() [3/6]

YoYInflationTermStructure	(	Natural	settlementDays,
		const Calendar &	calendar,
		Date	baseDate,
		Rate	baseYoYRate,
		Frequency	frequency,
		bool	indexIsInterpolated,
		const DayCounter &	dayCounter,
		const ext::shared_ptr< Seasonality > &	seasonality = `{}`
	)

Definition at line 288 of file inflationtermstructure.cpp.

◆ YoYInflationTermStructure() [4/6]

QL_DEPRECATED_DISABLE_WARNING YoYInflationTermStructure	(	const DayCounter &	dayCounter,
		Rate	baseYoYRate,
		const Period &	lag,
		Frequency	frequency,
		bool	indexIsInterpolated,
		const 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 303 of file inflationtermstructure.cpp.

◆ YoYInflationTermStructure() [5/6]

YoYInflationTermStructure	(	const Date &	referenceDate,
		const Calendar &	calendar,
		const DayCounter &	dayCounter,
		Rate	baseYoYRate,
		const Period &	lag,
		Frequency	frequency,
		bool	indexIsInterpolated,
		const 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 314 of file inflationtermstructure.cpp.

◆ YoYInflationTermStructure() [6/6]

YoYInflationTermStructure	(	Natural	settlementDays,
		const Calendar &	calendar,
		const DayCounter &	dayCounter,
		Rate	baseYoYRate,
		const Period &	lag,
		Frequency	frequency,
		bool	indexIsInterpolated,
		const 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 327 of file inflationtermstructure.cpp.

Member Function Documentation

◆ yoyRate() [1/2]

QL_DEPRECATED_ENABLE_WARNING Rate yoyRate	(	const Date &	d,
		const Period &	instObsLag = `Period(-1,Days)`,
		bool	forceLinearInterpolation = `false`,
		bool	extrapolate = `false`
	)		const

year-on-year inflation rate.

The forceLinearInterpolation parameter is relative to the frequency of the TS.

Note: this is not the year-on-year swap (YYIIS) rate.

Definition at line 343 of file inflationtermstructure.cpp.

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◆ yoyRate() [2/2]

Rate yoyRate	(	Time	t,
		bool	extrapolate = `false`
	)		const

year-on-year inflation rate.

Warning:: Since inflation is highly linked to dates (lags, interpolation, months for seasonality, etc) this method cannot account for all effects. If you call it, You'll have to manage lag, seasonality etc. yourself.

Definition at line 385 of file inflationtermstructure.cpp.

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