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PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits > Class Template Reference

Piecewise zero-inflation term structure. More...

#include <ql/termstructures/inflation/piecewisezeroinflationcurve.hpp>

+ Inheritance diagram for PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >:
+ Collaboration diagram for PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >:

Public Types

typedef Traits traits_type
 
typedef Interpolator interpolator_type
 
- Public Types inherited from Observer
typedef set_type::iterator iterator
 

Public Member Functions

Constructors
 PiecewiseZeroInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseZeroRate, std::vector< ext::shared_ptr< typename Traits::helper > > instruments, Real accuracy=1.0e-12, const Interpolator &i=Interpolator())
 
Inflation interface
Date baseDate () const override
 minimum (base) date More...
 
Date maxDate () const override
 the latest date for which the curve can return values More...
 
Inspectors
const std::vector< Time > & times () const
 
const std::vector< Date > & dates () const
 
const std::vector< Real > & data () const
 
std::vector< std::pair< Date, Real > > nodes () const
 
- Public Member Functions inherited from InterpolatedZeroInflationCurve< Interpolator >
 InterpolatedZeroInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, std::vector< Date > dates, const std::vector< Rate > &rates, const Interpolator &interpolator=Interpolator())
 
const std::vector< Date > & dates () const
 
const std::vector< Time > & times () const
 
const std::vector< Real > & data () const
 
const std::vector< Rate > & rates () const
 
std::vector< std::pair< Date, Rate > > nodes () const
 
- Public Member Functions inherited from ZeroInflationTermStructure
 ZeroInflationTermStructure (const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, const ext::shared_ptr< Seasonality > &seasonality={})
 
 ZeroInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, const ext::shared_ptr< Seasonality > &seasonality={})
 
 ZeroInflationTermStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, const ext::shared_ptr< Seasonality > &seasonality={})
 
Rate zeroRate (const Date &d, const Period &instObsLag=Period(-1, Days), bool forceLinearInterpolation=false, bool extrapolate=false) const
 zero-coupon inflation rate. More...
 
Rate zeroRate (Time t, bool extrapolate=false) const
 zero-coupon inflation rate. More...
 
- Public Member Functions inherited from InflationTermStructure
 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={})
 
virtual Period observationLag () const
 
virtual Frequency frequency () const
 
virtual Rate baseRate () const
 
void setSeasonality (const ext::shared_ptr< Seasonality > &seasonality={})
 Functions to set and get seasonality. More...
 
ext::shared_ptr< Seasonalityseasonality () 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 Time maxTime () const
 the latest time for which the curve can return values More...
 
virtual const DatereferenceDate () 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...
 
- Public Member Functions inherited from Observer
 Observer ()=default
 
 Observer (const Observer &)
 
Observeroperator= (const Observer &)
 
virtual ~Observer ()
 
std::pair< iterator, boolregisterWith (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 &)
 
Observableoperator= (const Observable &)
 
 Observable (Observable &&)=delete
 
Observableoperator= (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...
 
- Public Member Functions inherited from LazyObject
 LazyObject ()
 
 ~LazyObject () override=default
 
bool isCalculated () const
 
void forwardFirstNotificationOnly ()
 
void alwaysForwardNotifications ()
 
void recalculate ()
 
void freeze ()
 
void unfreeze ()
 

Private Types

typedef InterpolatedZeroInflationCurve< Interpolator > base_curve
 
typedef PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits > this_curve
 

Observer interface

std::vector< ext::shared_ptr< typename Traits::helper > > instruments_
 
Real accuracy_
 
Bootstrap< this_curvebootstrap_
 
class Bootstrap< this_curve >
 
class BootstrapError< this_curve >
 
void update () override
 
void performCalculations () const override
 

Additional Inherited Members

- Protected Member Functions inherited from InterpolatedZeroInflationCurve< Interpolator >
Rate zeroRateImpl (Time t) const override
 to be defined in derived classes More...
 
 InterpolatedZeroInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseZeroRate, const Interpolator &interpolator=Interpolator())
 
- Protected Member Functions inherited from ZeroInflationTermStructure
- 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 Member Functions inherited from InterpolatedCurve< Interpolator >
 InterpolatedCurve (std::vector< Time > times, std::vector< Real > data, const Interpolator &i=Interpolator())
 
 InterpolatedCurve (std::vector< Time > times, const Interpolator &i=Interpolator())
 
 InterpolatedCurve (Size n, const Interpolator &i=Interpolator())
 
 InterpolatedCurve (const Interpolator &i=Interpolator())
 
 InterpolatedCurve (const InterpolatedCurve &c)
 
InterpolatedCurveoperator= (const InterpolatedCurve &c)
 
 InterpolatedCurve (InterpolatedCurve &&c) noexcept
 
InterpolatedCurveoperator= (InterpolatedCurve &&c) noexcept
 
void setupTimes (const std::vector< Date > &dates, Date referenceDate, const DayCounter &dayCounter)
 
void setupInterpolation ()
 
 ~InterpolatedCurve ()=default
 
- Protected Member Functions inherited from LazyObject
virtual void calculate () const
 
- Protected Attributes inherited from InterpolatedZeroInflationCurve< Interpolator >
std::vector< Datedates_
 
- Protected Attributes inherited from InflationTermStructure
ext::shared_ptr< Seasonalityseasonality_
 
Period observationLag_
 
Frequency frequency_
 
Rate baseRate_
 
- Protected Attributes inherited from TermStructure
bool moving_ = false
 
bool updated_ = true
 
Calendar calendar_
 
- Protected Attributes inherited from InterpolatedCurve< Interpolator >
std::vector< Timetimes_
 
std::vector< Realdata_
 
Interpolation interpolation_
 
Interpolator interpolator_
 
Date maxDate_
 
- Protected Attributes inherited from LazyObject
bool calculated_ = false
 
bool frozen_ = false
 
bool alwaysForward_
 

Detailed Description

template<class Interpolator, template< class > class Bootstrap = IterativeBootstrap, class Traits = ZeroInflationTraits>
class QuantLib::PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >

Piecewise zero-inflation term structure.

Definition at line 40 of file piecewisezeroinflationcurve.hpp.

Member Typedef Documentation

◆ base_curve

typedef InterpolatedZeroInflationCurve<Interpolator> base_curve
private

Definition at line 44 of file piecewisezeroinflationcurve.hpp.

◆ this_curve

typedef PiecewiseZeroInflationCurve<Interpolator,Bootstrap,Traits> this_curve
private

Definition at line 46 of file piecewisezeroinflationcurve.hpp.

◆ traits_type

typedef Traits traits_type

Definition at line 48 of file piecewisezeroinflationcurve.hpp.

◆ interpolator_type

typedef Interpolator interpolator_type

Definition at line 49 of file piecewisezeroinflationcurve.hpp.

Constructor & Destructor Documentation

◆ PiecewiseZeroInflationCurve()

PiecewiseZeroInflationCurve ( const Date referenceDate,
const Calendar calendar,
const DayCounter dayCounter,
const Period lag,
Frequency  frequency,
Rate  baseZeroRate,
std::vector< ext::shared_ptr< typename Traits::helper > >  instruments,
Real  accuracy = 1.0e-12,
const Interpolator &  i = Interpolator() 
)

Definition at line 53 of file piecewisezeroinflationcurve.hpp.

Member Function Documentation

◆ baseDate()

Date baseDate ( ) const
overridevirtual

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).

Reimplemented from InterpolatedZeroInflationCurve< Interpolator >.

Definition at line 107 of file piecewisezeroinflationcurve.hpp.

◆ maxDate()

Date maxDate ( ) const
overridevirtual

the latest date for which the curve can return values

Reimplemented from InterpolatedZeroInflationCurve< Interpolator >.

Definition at line 113 of file piecewisezeroinflationcurve.hpp.

◆ times()

const std::vector< Time > & times

Definition at line 119 of file piecewisezeroinflationcurve.hpp.

◆ dates()

const std::vector< Date > & dates

Definition at line 125 of file piecewisezeroinflationcurve.hpp.

◆ data()

const std::vector< Real > & data

Definition at line 131 of file piecewisezeroinflationcurve.hpp.

◆ nodes()

std::vector< std::pair< Date, Real > > nodes

Definition at line 138 of file piecewisezeroinflationcurve.hpp.

◆ 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.

Reimplemented from LazyObject.

Definition at line 149 of file piecewisezeroinflationcurve.hpp.

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◆ performCalculations()

void performCalculations ( ) const
overrideprivatevirtual

This method must implement any calculations which must be (re)done in order to calculate the desired results.

Implements LazyObject.

Definition at line 144 of file piecewisezeroinflationcurve.hpp.

Friends And Related Function Documentation

◆ Bootstrap< this_curve >

friend class Bootstrap< this_curve >
friend

Definition at line 96 of file piecewisezeroinflationcurve.hpp.

◆ BootstrapError< this_curve >

friend class BootstrapError< this_curve >
friend

Definition at line 96 of file piecewisezeroinflationcurve.hpp.

Member Data Documentation

◆ instruments_

std::vector<ext::shared_ptr<typename Traits::helper> > instruments_
private

Definition at line 95 of file piecewisezeroinflationcurve.hpp.

◆ accuracy_

Real accuracy_
private

Definition at line 96 of file piecewisezeroinflationcurve.hpp.

◆ bootstrap_

Bootstrap<this_curve> bootstrap_
private

Definition at line 100 of file piecewisezeroinflationcurve.hpp.