QuantLib: a free/open-source library for quantitative finance
Fully annotated sources - version 1.32
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Piecewise zero-inflation term structure. More...
#include <ql/termstructures/inflation/piecewisezeroinflationcurve.hpp>
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< 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, 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_ |
Piecewise zero-inflation term structure.
Definition at line 40 of file piecewisezeroinflationcurve.hpp.
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private |
Definition at line 44 of file piecewisezeroinflationcurve.hpp.
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Definition at line 46 of file piecewisezeroinflationcurve.hpp.
typedef Traits traits_type |
Definition at line 48 of file piecewisezeroinflationcurve.hpp.
typedef Interpolator interpolator_type |
Definition at line 49 of file piecewisezeroinflationcurve.hpp.
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 , |
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const Interpolator & | i = Interpolator() |
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Definition at line 53 of file piecewisezeroinflationcurve.hpp.
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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.
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overridevirtual |
the latest date for which the curve can return values
Reimplemented from InterpolatedZeroInflationCurve< Interpolator >.
Definition at line 113 of file piecewisezeroinflationcurve.hpp.
const std::vector< Time > & times |
Definition at line 119 of file piecewisezeroinflationcurve.hpp.
const std::vector< Date > & dates |
Definition at line 125 of file piecewisezeroinflationcurve.hpp.
const std::vector< Real > & data |
Definition at line 131 of file piecewisezeroinflationcurve.hpp.
Definition at line 138 of file piecewisezeroinflationcurve.hpp.
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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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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.
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friend |
Definition at line 96 of file piecewisezeroinflationcurve.hpp.
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friend |
Definition at line 96 of file piecewisezeroinflationcurve.hpp.
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private |
Definition at line 95 of file piecewisezeroinflationcurve.hpp.
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private |
Definition at line 96 of file piecewisezeroinflationcurve.hpp.
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private |
Definition at line 100 of file piecewisezeroinflationcurve.hpp.