QuantLib_YoYInflationTermStructure man page

YoYInflationTermStructure — Base class for year-on-year inflation term structures.

Synopsis

#include <ql/termstructures/inflationtermstructure.hpp>

Inherits InflationTermStructure.

Inherited by InterpolatedYoYInflationCurve< Interpolator >.

Public Member Functions

Constructors

YoYInflationTermStructure (const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yieldTS, const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >())

YoYInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yieldTS, const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >())

YoYInflationTermStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter, Rate baseYoYRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yieldTS, const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >())

Inspectors

Rate yoyRate (const Date &d, const Period &instObsLag=Period(-1, Days), bool forceLinearInterpolation=false, bool extrapolate=false) const
year-on-year inflation rate.
Rate yoyRate (Time t, bool extrapolate=false) const
year-on-year inflation rate.

Protected Member Functions

virtual Rate yoyRateImpl (Time time) const =0
to be defined in derived classes

Additional Inherited Members

Detailed Description

Base class for year-on-year inflation term structures.

Member Function Documentation

Rate yoyRate (const Date & d, const Period & instObsLag = Period(-1, Days), bool forceLinearInterpolation = false, bool extrapolate = false) const

year-on-year inflation rate. The forceLinearInterpolation parameter is relative to the frequency of the TS.

Note:

this is not the year-on-year swap (YYIIS) rate.

Rate yoyRate (Time t, bool extrapolate = false) const

year-on-year inflation rate.

Warning

Since inflation is highly linked to dates (lags, interpolation, months for seasonality, etc) this method cannot account for all effects. If you call it, You'll have to manage lag, seasonality etc. yourself.

Author

Generated automatically by Doxygen for QuantLib from the source code.

Referenced By

YoYInflationTermStructure(3) and yoyRate(3) are aliases of QuantLib_YoYInflationTermStructure(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib