Piecewise zero-inflation term structure. More...

#include <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, Date baseDate, Frequency frequency, const DayCounter &dayCounter, std::vector< ext::shared_ptr< typename Traits::helper > > instruments, const ext::shared_ptr< Seasonality > &seasonality={}, Real accuracy=1.0e-14, const Interpolator &i=Interpolator())

QL_DEPRECATED_DISABLE_WARNING QL_DEPRECATED	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, std::vector< Date > dates, const std::vector< Rate > &rates, Frequency frequency, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={}, const Interpolator &interpolator=Interpolator())

QL_DEPRECATED	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 (Date baseDate, Frequency frequency, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})

	ZeroInflationTermStructure (const Date &referenceDate, Date baseDate, Frequency frequency, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={})

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

QL_DEPRECATED	ZeroInflationTermStructure (const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, const ext::shared_ptr< Seasonality > &seasonality={})

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

QL_DEPRECATED	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 (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

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 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...

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...

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_curve >	bootstrap_

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, Date baseDate, Frequency frequency, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={}, const Interpolator &interpolator=Interpolator())

QL_DEPRECATED	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)

InterpolatedCurve &	operator= (const InterpolatedCurve &c)

	InterpolatedCurve (InterpolatedCurve &&c) noexcept

InterpolatedCurve &	operator= (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< Date >	dates_

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_

Protected Attributes inherited from InterpolatedCurve< Interpolator >
std::vector< Time >	times_

std::vector< Real >	data_

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() [1/2]

PiecewiseZeroInflationCurve	(	const Date &	referenceDate,
		Date	baseDate,
		Frequency	frequency,
		const DayCounter &	dayCounter,
		std::vector< ext::shared_ptr< typename Traits::helper > >	instruments,
		const ext::shared_ptr< Seasonality > &	seasonality = `{}`,
		Real	accuracy = `1.0e-14`,
		const Interpolator &	i = `Interpolator()`
	)

Definition at line 53 of file piecewisezeroinflationcurve.hpp.

◆ PiecewiseZeroInflationCurve() [2/2]

QL_DEPRECATED_DISABLE_WARNING QL_DEPRECATED 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()`
	)

Deprecated:: Use the other overload and pass the base date directly instead of using a lag. A base rate is not needed. Deprecated in version 1.34.

Definition at line 79 of file piecewisezeroinflationcurve.hpp.

Member Function Documentation

◆ baseDate()

Date baseDate

overridevirtual

minimum (base) date

The last date for which we have information.

When not set directly (the recommended option), it is calculated base on an observation lag relative to today.

Reimplemented from InterpolatedZeroInflationCurve< Interpolator >.

Definition at line 135 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 142 of file piecewisezeroinflationcurve.hpp.

◆ times()

const std::vector< Time > & times

Definition at line 148 of file piecewisezeroinflationcurve.hpp.

◆ dates()

const std::vector< Date > & dates

Definition at line 154 of file piecewisezeroinflationcurve.hpp.

◆ data()

const std::vector< Real > & data

Definition at line 160 of file piecewisezeroinflationcurve.hpp.

◆ nodes()

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

Definition at line 167 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 178 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 173 of file piecewisezeroinflationcurve.hpp.

Friends And Related Function Documentation

◆ Bootstrap< this_curve >

friend class Bootstrap< this_curve >

friend

Definition at line 124 of file piecewisezeroinflationcurve.hpp.

◆ BootstrapError< this_curve >

friend class BootstrapError< this_curve >

friend

Definition at line 124 of file piecewisezeroinflationcurve.hpp.

Member Data Documentation

◆ instruments_

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

private

Definition at line 123 of file piecewisezeroinflationcurve.hpp.

◆ accuracy_

Real accuracy_

private

Definition at line 124 of file piecewisezeroinflationcurve.hpp.

◆ bootstrap_

Bootstrap<this_curve> bootstrap_

private

Definition at line 128 of file piecewisezeroinflationcurve.hpp.

Public Types

Public Member Functions

Private Types

Observer interface

Additional Inherited Members

Detailed Description

Member Typedef Documentation

◆ base_curve

◆ this_curve

◆ traits_type

◆ interpolator_type

Constructor & Destructor Documentation

◆ PiecewiseZeroInflationCurve() [1/2]

◆ PiecewiseZeroInflationCurve() [2/2]

Member Function Documentation

◆ baseDate()

◆ maxDate()

◆ times()

◆ dates()

◆ data()

◆ nodes()

◆ update()

◆ performCalculations()

Friends And Related Function Documentation

◆ Bootstrap< this_curve >

◆ BootstrapError< this_curve >

Member Data Documentation

◆ instruments_

◆ accuracy_

◆ bootstrap_