#include <qle/models/dkimpliedyoyinflationtermstructure.hpp>

Inheritance diagram for DkImpliedYoYInflationTermStructure:

Public Member Functions
	DkImpliedYoYInflationTermStructure (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, QuantLib::Size index, bool indexIsInterpolated)
Public Member Functions inherited from YoYInflationModelTermStructure
	YoYInflationModelTermStructure (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, QuantLib::Size index, bool indexIsInterpolated)
void	update () override
QuantLib::Date	maxDate () const override
QuantLib::Time	maxTime () const override
const QuantLib::Date &	referenceDate () const override
QuantLib::Date	baseDate () const override
virtual void	referenceDate (const QuantLib::Date &d)
	Set the reference date.
void	state (const QuantLib::Array &s)
	Set the current state variables.
void	move (const QuantLib::Date &d, const QuantLib::Array &s)
	Set the current state and move the reference date to date `d`.
QuantLib::Real	yoyRate (const QuantLib::Date &d, const QuantLib::Period &obsLag=-1 *QuantLib::Days, bool forceLinearInterpolation=false, bool extrapolate=false) const
void	enableCache (const bool b=true) const
virtual void	clearCache () const

YoYInflationModelTermStructure interface
std::map< QuantLib::Date, QuantLib::Real >	yoyRates (const std::vector< QuantLib::Date > &dates, const QuantLib::Period &obsLag=-1 *QuantLib::Days) const override
QuantLib::Real	yoySwapletRate (QuantLib::Time S, QuantLib::Time T) const
void	checkState () const override

Additional Inherited Members
QuantLib::Real	yoyRateImpl (QuantLib::Time t) const override
	This cannot be called. The implementation is set to throw an exception.
QuantLib::ext::shared_ptr< CrossAssetModel >	model_
QuantLib::Size	index_
bool	indexIsInterpolated_
QuantLib::Date	referenceDate_
QuantLib::Time	relativeTime_
QuantLib::Array	state_
bool	enableCache_ = false

Detailed Description

Dodgson Kainth (DK) implied year on year inflation term structure

Constructor & Destructor Documentation

◆ DkImpliedYoYInflationTermStructure()

DkImpliedYoYInflationTermStructure	(	const QuantLib::ext::shared_ptr< CrossAssetModel > &	model,
		QuantLib::Size	index,
		bool	indexIsInterpolated )

Constructor taking the cross asset model, model, and the index of the relevant inflation component within the model, index.

Member Function Documentation

◆ yoyRates()

std::map< QuantLib::Date, QuantLib::Real > yoyRates	(	const std::vector< QuantLib::Date > &	dates,
		const QuantLib::Period &	obsLag = -1 *QuantLib::Days ) const

overridevirtual

Return the year-on-year rates for the maturities associated with dates. If an obsLag is explicitly provided and not set to -1 * QuantLib::Days, it is used as the observation lag. Otherwise, the term structure's observation lag is used.

Implements YoYInflationModelTermStructure.

◆ checkState()

void checkState ( ) const

overrideprotectedvirtual

Override this method to perform checks on the state variable array when the state and move methods are called.

Reimplemented from YoYInflationModelTermStructure.

Public Member Functions