InterpolatedCPIInflationCurve< Interpolator > Class Template Reference

Inflation term structure based on the interpolation of zero rates. More...

#include <qle/termstructures/inflation/interpolatedcpiinflationcurve.hpp>

Inheritance diagram for InterpolatedCPIInflationCurve< Interpolator >:

Public Member Functions
	InterpolatedCPIInflationCurve (const QuantLib::Date &referenceDate, std::vector< QuantLib::Date > dates, const std::vector< QuantLib::Rate > &cpis, const QuantLib::Period &lag, QuantLib::Frequency frequency, const QuantLib::DayCounter &dayCounter, const QuantLib::ext::shared_ptr< QuantLib::Seasonality > &seasonality={}, const Interpolator &interpolator=Interpolator())
InflationTermStructure interface
QuantLib::Date	baseDate () const override
QuantLib::Date	maxDate () const override
Inspectors
virtual const std::vector< QuantLib::Date > &	dates () const
virtual const std::vector< QuantLib::Time > &	times () const
virtual const std::vector< QuantLib::Real > &	data () const
virtual const std::vector< QuantLib::Rate > &	rates () const
virtual std::vector< std::pair< QuantLib::Date, QuantLib::Rate > >	nodes () const
Public Member Functions inherited from CPICurve
	CPICurve (QuantLib::Date baseDate, QuantLib::Real baseCPI, const QuantLib::Period &observationLag, QuantLib::Frequency frequency, const QuantLib::DayCounter &dayCounter, const QuantLib::ext::shared_ptr< QuantLib::Seasonality > &seasonality={})
	CPICurve (const QuantLib::Date &referenceDate, QuantLib::Date baseDate, QuantLib::Real baseCPI, const QuantLib::Period &observationLag, QuantLib::Frequency frequency, const QuantLib::DayCounter &dayCounter, const QuantLib::ext::shared_ptr< QuantLib::Seasonality > &seasonality={})
	CPICurve (QuantLib::Natural settlementDays, const QuantLib::Calendar &calendar, QuantLib::Date baseDate, QuantLib::Real baseCPI, const QuantLib::Period &observationLag, QuantLib::Frequency frequency, const QuantLib::DayCounter &dayCounter, const QuantLib::ext::shared_ptr< QuantLib::Seasonality > &seasonality={})
QuantLib::Real	baseCPI () const
QuantLib::Real	CPI (const QuantLib::Date &d, bool extrapolate=false) const

ZeroInflationTermStructure Interface
std::vector< QuantLib::Date >	dates_
QuantLib::Rate	forwardCPIImpl (QuantLib::Time t) const override
	InterpolatedCPIInflationCurve (const QuantLib::Date &referenceDate, const QuantLib::Date &baseDate, QuantLib::Rate baseCPI, const QuantLib::Period &lag, QuantLib::Frequency frequency, const QuantLib::DayCounter &dayCounter, const QuantLib::ext::shared_ptr< QuantLib::Seasonality > &seasonality={}, const Interpolator &interpolator=Interpolator())

Additional Inherited Members
Protected Member Functions inherited from CPICurve
QuantLib::Rate	zeroRateImpl (QuantLib::Time t) const override
Protected Attributes inherited from CPICurve
QuantLib::Rate	baseCPI_

Detailed Description

template<class Interpolator>
class QuantExt::InterpolatedCPIInflationCurve< Interpolator >

Inflation term structure based on the interpolation of zero rates.

Constructor & Destructor Documentation

InterpolatedCPIInflationCurve()

template<class Interpolator>

InterpolatedCPIInflationCurve ( const QuantLib::Date & referenceDate, const QuantLib::Date & baseDate, QuantLib::Rate baseCPI, const QuantLib::Period & lag, QuantLib::Frequency frequency, const QuantLib::DayCounter & dayCounter, const QuantLib::ext::shared_ptr< QuantLib::Seasonality > & seasonality = {}, const Interpolator & interpolator = Interpolator() )

protected

Protected version for use when descendents don't want to (or can't) provide the points for interpolation on construction.

Member Function Documentation

forwardCPIImpl()

template<class T>

QuantLib::Rate forwardCPIImpl ( QuantLib::Time t ) const

overrideprotectedvirtual

Implements CPICurve.