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PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits > Class Template Reference

Piecewise year-on-year inflation term structure. More...

#include <piecewiseyoyinflationcurve.hpp>

+ Inheritance diagram for PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >:
+ Collaboration diagram for PiecewiseYoYInflationCurve< 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
 PiecewiseYoYInflationCurve (const Date &referenceDate, Date baseDate, Rate baseYoYRate, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter, std::vector< ext::shared_ptr< typename Traits::helper > > instruments, const ext::shared_ptr< Seasonality > &seasonality={}, Real accuracy=1.0e-12, const Interpolator &i=Interpolator())
 
QL_DEPRECATED_DISABLE_WARNING QL_DEPRECATED PiecewiseYoYInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate baseYoYRate, 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 InterpolatedYoYInflationCurve< Interpolator >
 InterpolatedYoYInflationCurve (const Date &referenceDate, std::vector< Date > dates, const std::vector< Rate > &rates, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={}, const Interpolator &interpolator=Interpolator())
 
QL_DEPRECATED InterpolatedYoYInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, bool indexIsInterpolated, 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 YoYInflationTermStructure
 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={})
 
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
 
- 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< 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 InterpolatedYoYInflationCurve< Interpolator > base_curve
 
typedef PiecewiseYoYInflationCurve< 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 InterpolatedYoYInflationCurve< Interpolator >
Rate yoyRateImpl (Time t) const override
 to be defined in derived classes More...
 
 InterpolatedYoYInflationCurve (const Date &referenceDate, Date baseDate, Rate baseYoYRate, Frequency frequency, bool indexIsInterpolated, const DayCounter &dayCounter, const ext::shared_ptr< Seasonality > &seasonality={}, const Interpolator &interpolator=Interpolator())
 
QL_DEPRECATED InterpolatedYoYInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Interpolator &interpolator=Interpolator())
 
- Protected Member Functions inherited from YoYInflationTermStructure
- 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 InterpolatedYoYInflationCurve< 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 = YoYInflationTraits>
class QuantLib::PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >

Piecewise year-on-year inflation term structure.

Definition at line 40 of file piecewiseyoyinflationcurve.hpp.

Member Typedef Documentation

◆ base_curve

typedef InterpolatedYoYInflationCurve<Interpolator> base_curve
private

Definition at line 44 of file piecewiseyoyinflationcurve.hpp.

◆ this_curve

typedef PiecewiseYoYInflationCurve<Interpolator,Bootstrap,Traits> this_curve
private

Definition at line 46 of file piecewiseyoyinflationcurve.hpp.

◆ traits_type

typedef Traits traits_type

Definition at line 48 of file piecewiseyoyinflationcurve.hpp.

◆ interpolator_type

typedef Interpolator interpolator_type

Definition at line 49 of file piecewiseyoyinflationcurve.hpp.

Constructor & Destructor Documentation

◆ PiecewiseYoYInflationCurve() [1/2]

PiecewiseYoYInflationCurve ( const Date referenceDate,
Date  baseDate,
Rate  baseYoYRate,
Frequency  frequency,
bool  indexIsInterpolated,
const DayCounter dayCounter,
std::vector< ext::shared_ptr< typename Traits::helper > >  instruments,
const ext::shared_ptr< Seasonality > &  seasonality = {},
Real  accuracy = 1.0e-12,
const Interpolator &  i = Interpolator() 
)

Definition at line 52 of file piecewiseyoyinflationcurve.hpp.

◆ PiecewiseYoYInflationCurve() [2/2]

QL_DEPRECATED_DISABLE_WARNING QL_DEPRECATED PiecewiseYoYInflationCurve ( const Date referenceDate,
const Calendar calendar,
const DayCounter dayCounter,
const Period lag,
Frequency  frequency,
bool  indexIsInterpolated,
Rate  baseYoYRate,
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. Deprecated in version 1.34.

Definition at line 83 of file piecewiseyoyinflationcurve.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 InterpolatedYoYInflationCurve< Interpolator >.

Definition at line 141 of file piecewiseyoyinflationcurve.hpp.

◆ maxDate()

Date maxDate ( ) const
overridevirtual

the latest date for which the curve can return values

Reimplemented from InterpolatedYoYInflationCurve< Interpolator >.

Definition at line 148 of file piecewiseyoyinflationcurve.hpp.

◆ times()

const std::vector< Time > & times

Definition at line 154 of file piecewiseyoyinflationcurve.hpp.

◆ dates()

const std::vector< Date > & dates

Definition at line 160 of file piecewiseyoyinflationcurve.hpp.

◆ data()

const std::vector< Real > & data

Definition at line 166 of file piecewiseyoyinflationcurve.hpp.

◆ nodes()

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

Definition at line 173 of file piecewiseyoyinflationcurve.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 184 of file piecewiseyoyinflationcurve.hpp.

+ Here is the call graph for this function:

◆ 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 179 of file piecewiseyoyinflationcurve.hpp.

Friends And Related Function Documentation

◆ Bootstrap< this_curve >

friend class Bootstrap< this_curve >
friend

Definition at line 130 of file piecewiseyoyinflationcurve.hpp.

◆ BootstrapError< this_curve >

friend class BootstrapError< this_curve >
friend

Definition at line 130 of file piecewiseyoyinflationcurve.hpp.

Member Data Documentation

◆ instruments_

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

Definition at line 129 of file piecewiseyoyinflationcurve.hpp.

◆ accuracy_

Real accuracy_
private

Definition at line 130 of file piecewiseyoyinflationcurve.hpp.

◆ bootstrap_

Bootstrap<this_curve> bootstrap_
private

Definition at line 134 of file piecewiseyoyinflationcurve.hpp.