QuantLib_ZeroInflationTermStructure man page

ZeroInflationTermStructure — Interface for zero inflation term structures.

Synopsis

#include <ql/termstructures/inflationtermstructure.hpp>

Inherits InflationTermStructure.

Inherited by InterpolatedZeroInflationCurve< Interpolator >.

Public Member Functions

Constructors

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

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

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

Inspectors

Rate zeroRate (const Date &d, const Period &instObsLag=Period(-1, Days), bool forceLinearInterpolation=false, bool extrapolate=false) const
zero-coupon inflation rate.
Rate zeroRate (Time t, bool extrapolate=false) const
zero-coupon inflation rate.

Protected Member Functions

virtual Rate zeroRateImpl (Time t) const =0
to be defined in derived classes

Additional Inherited Members

Detailed Description

Interface for zero inflation term structures.

Member Function Documentation

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

zero-coupon inflation rate. Essentially the fair rate for a zero-coupon inflation swap (by definition), i.e. the zero term structure uses yearly compounding, which is assumed for ZCIIS instrument quotes.

Note:

by default you get the same as lag and interpolation as the term structure. If you want to get predictions of RPI/CPI/etc then use an index.

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

zero-coupon 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

ZeroInflationTermStructure(3) is an alias of QuantLib_ZeroInflationTermStructure(3).

Fri Sep 23 2016 Version 1.8.1 QuantLib