QuantLib_InterpolatedYoYInflationCurve man page

InterpolatedYoYInflationCurve< Interpolator > — Inflation term structure based on interpolated year-on-year rates.

Synopsis

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

Inherits YoYInflationTermStructure, and InterpolatedCurve< Interpolator >.

Inherited by PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >.

Public Member Functions

InterpolatedYoYInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const std::vector< Date > &dates, const std::vector< Rate > &rates, const Interpolator &interpolator=Interpolator())

InflationTermStructure interface

Date baseDate () const
minimum (base) date
Date maxDate () const
the latest date for which the curve can return values

Inspectors

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

Protected Member Functions

InterpolatedYoYInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const Interpolator &interpolator=Interpolator())

YoYInflationTermStructure interface

Rate yoyRateImpl (Time t) const
to be defined in derived classes

Protected Attributes

std::vector< Date > dates_

Additional Inherited Members

Detailed Description

template<class Interpolator>

class QuantLib::InterpolatedYoYInflationCurve< Interpolator >" Inflation term structure based on interpolated year-on-year rates.

Note:

The provided rates are not YY inflation-swap quotes.

Constructor & Destructor Documentation

InterpolatedYoYInflationCurve (const Date & referenceDate, const Calendar & calendar, const DayCounter & dayCounter, Rate baseYoYRate, const Period & lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > & yTS, const Interpolator & interpolator = Interpolator()) [protected]

Protected version for use when descendents don't want to (or can't) provide the points for interpolation on construction.

Member Function Documentation

Date baseDate () const [virtual]

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).

Implements InflationTermStructure.

Reimplemented in PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

InterpolatedYoYInflationCurve(3), rates(3) and yoyRateImpl(3) are aliases of QuantLib_InterpolatedYoYInflationCurve(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib