QuantLib: ZeroInflationTermStructure Class Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

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Protected Member Functions | List of all members
ZeroInflationTermStructure Class Referenceabstract

Interface for zero inflation term structures. More...

`#include <ql/termstructures/inflationtermstructure.hpp>`

Inheritance diagram for ZeroInflationTermStructure:
[legend]

## 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. More...
Rate | zeroRate (Time t, bool extrapolate=false) const
| zero-coupon inflation rate. More...
Public Member Functions inherited from InflationTermStructure
void | setSeasonality (const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >())
| Functions to set and get seasonality. More...
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
virtual Date | baseDate () const =0
| minimum (base) date More...
Public Member Functions inherited from TermStructure
| TermStructure (const DayCounter &dc=DayCounter())
| default constructor More...
| 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 Date | maxDate () const =0
| the latest date for which the curve can return values
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
void | update ()
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 > &)
void | registerWithObservables (const boost::shared_ptr< Observer > &)
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

## Protected Member Functions
virtual Rate | zeroRateImpl (Time t) const =0
| to be defined in derived classes
Protected Member Functions inherited from InflationTermStructure
virtual void | setBaseRate (const Rate &r)
void | checkRange (const Date &, bool extrapolate) const
void | checkRange (Time t, bool extrapolate) const
Protected Member Functions inherited from TermStructure
void | checkRange (const Date &d, bool extrapolate) const
| date-range check
void | checkRange (Time t, bool extrapolate) const
| time-range check

## Additional Inherited Members
Protected Attributes inherited from InflationTermStructure
boost::shared_ptr< Seasonality > | seasonality_
Period | observationLag_
Frequency | frequency_
bool | indexIsInterpolated_
Rate | baseRate_
Handle< YieldTermStructure > | nominalTermStructure_
Protected Attributes inherited from TermStructure
bool | moving_
bool | updated_
Calendar | calendar_

## 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.