QuantLib_InterpolatedZeroInflationCurve man page

InterpolatedZeroInflationCurve< Interpolator > — Inflation term structure based on the interpolation of zero rates.

Synopsis

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

Inherits ZeroInflationTermStructure, and InterpolatedCurve< Interpolator >.

Inherited by PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >.

Public Member Functions

InterpolatedZeroInflationCurve (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

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

ZeroInflationTermStructure Interface

Rate zeroRateImpl (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::InterpolatedZeroInflationCurve< Interpolator >" Inflation term structure based on the interpolation of zero rates.

Constructor & Destructor Documentation

InterpolatedZeroInflationCurve (const Date & referenceDate, const Calendar & calendar, const DayCounter & dayCounter, const Period & lag, Frequency frequency, bool indexIsInterpolated, Rate baseZeroRate, 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 PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

InterpolatedZeroInflationCurve(3) and zeroRateImpl(3) are aliases of QuantLib_InterpolatedZeroInflationCurve(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib