A free/open-source library for quantitative finance
PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits > Class Template Reference
Piecewise zero-inflation term structure. More...
#include <ql/termstructures/inflation/piecewisezeroinflationcurve.hpp>
Inheritance diagram for PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >:
Public Types | |
| typedef Traits | traits_type |
| typedef Interpolator | interpolator_type |
Public Member Functions | |
Constructors | |
| PiecewiseZeroInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate baseZeroRate, const Handle< YieldTermStructure > &nominalTS, const std::vector< boost::shared_ptr< typename Traits::helper > > &instruments, Real accuracy=1.0e-12, const Interpolator &i=Interpolator()) | |
Inflation interface | |
| Date | baseDate () const |
| minimum (base) date | |
| Date | maxDate () const |
| the latest date for which the curve can return values | |
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 |
Observer interface | |
| void | update () |
 Public Member Functions inherited from InterpolatedZeroInflationCurve< Interpolator > | |
| 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()) | |
| 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 ZeroInflationTermStructure | |
| 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 >()) | |
| 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. | |
| Public Member Functions inherited from InflationTermStructure | |
| void | setSeasonality (const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) |
| Functions to set and get seasonality. | |
| boost::shared_ptr< Seasonality > | seasonality () const |
| bool | hasSeasonality () const |
| InflationTermStructure (Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter(), const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
| InflationTermStructure (const Date &referenceDate, Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const Calendar &calendar=Calendar(), const DayCounter &dayCounter=DayCounter(), const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
| InflationTermStructure (Natural settlementDays, const Calendar &calendar, Rate baseRate, const Period &observationLag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter(), const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
| virtual Period | observationLag () const |
| virtual Frequency | frequency () const |
| virtual bool | indexIsInterpolated () const |
| virtual Rate | baseRate () const |
|
virtual Handle < YieldTermStructure > | nominalTermStructure () const |
| Public Member Functions inherited from TermStructure | |
| TermStructure (const DayCounter &dc=DayCounter()) | |
| default constructor | |
| TermStructure (const Date &referenceDate, const Calendar &calendar=Calendar(), const DayCounter &dc=DayCounter()) | |
| initialize with a fixed reference date | |
| TermStructure (Natural settlementDays, const Calendar &, const DayCounter &dc=DayCounter()) | |
| calculate the reference date based on the global evaluation date | |
| virtual DayCounter | dayCounter () const |
| the day counter used for date/time conversion | |
| Time | timeFromReference (const Date &date) const |
| date/time conversion | |
| virtual Time | maxTime () const |
| the latest time for which the curve can return values | |
| virtual const Date & | referenceDate () const |
| the date at which discount = 1.0 and/or variance = 0.0 | |
| virtual Calendar | calendar () const |
| the calendar used for reference and/or option date calculation | |
| virtual Natural | settlementDays () const |
| the settlementDays used for reference date calculation | |
| Public Member Functions inherited from Observer | |
| Observer (const Observer &) | |
| Observer & | operator= (const Observer &) |
|
std::pair< std::set < boost::shared_ptr < Observable > >::iterator, bool > | registerWith (const boost::shared_ptr< Observable > &) |
| Size | unregisterWith (const boost::shared_ptr< Observable > &) |
| void | unregisterWithAll () |
| Public Member Functions inherited from Observable | |
| Observable (const Observable &) | |
| Observable & | operator= (const Observable &) |
| void | notifyObservers () |
| Public Member Functions inherited from Extrapolator | |
| void | enableExtrapolation (bool b=true) |
| enable extrapolation in subsequent calls | |
| void | disableExtrapolation (bool b=true) |
| disable extrapolation in subsequent calls | |
| bool | allowsExtrapolation () const |
| tells whether extrapolation is enabled | |
| Public Member Functions inherited from LazyObject | |
| void | recalculate () |
| void | freeze () |
| void | unfreeze () |
Friends | |
| class | Bootstrap< this_curve > |
| class | BootstrapError< this_curve > |
Additional Inherited Members | |
| Protected Member Functions inherited from InterpolatedZeroInflationCurve< Interpolator > | |
| 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()) | |
| Rate | zeroRateImpl (Time t) const |
| to be defined in derived classes | |
| Protected Member Functions inherited from LazyObject | |
| virtual void | calculate () const |
| Protected Attributes inherited from InterpolatedZeroInflationCurve< Interpolator > | |
| std::vector< Date > | dates_ |
| Protected Attributes inherited from LazyObject | |
| bool | calculated_ |
| bool | frozen_ |
Detailed Description
template<class Interpolator, template< class > class Bootstrap = IterativeBootstrap, class Traits = ZeroInflationTraits>
class QuantLib::PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >
Piecewise zero-inflation term structure.
Member Function Documentation
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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).
Reimplemented from InterpolatedZeroInflationCurve< Interpolator >.