YoYInflationIndexWrapper Class Reference

Wrapper that creates a yoy from a zc index. More...

#include <qle/indexes/inflationindexwrapper.hpp>

Inheritance diagram for YoYInflationIndexWrapper:

Public Member Functions
	YoYInflationIndexWrapper (const QuantLib::ext::shared_ptr< ZeroInflationIndex > zeroIndex, const Handle< YoYInflationTermStructure > &ts=Handle< YoYInflationTermStructure >())
	YoYInflationIndexWrapper (const QuantLib::ext::shared_ptr< ZeroInflationIndex > zeroIndex, const bool interpolated, const Handle< YoYInflationTermStructure > &ts=Handle< YoYInflationTermStructure >())
Rate	fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override
const QuantLib::ext::shared_ptr< ZeroInflationIndex >	zeroIndex () const

Detailed Description

Wrapper that creates a yoy from a zc index.

This creates a "ratio" - type YoYInflationIndex with the same family name as the zero index so that historical fixings can be reused. If a yoy ts is given, this is used to forecast fixings. If the ts is not given, the forecast falls back on the zero index, i.e. if the zero index has a curve attached a plain yoy rate without convexity adjustment is estimated using this index. The interpolation follows

• the interpolated flag for historical fixings
• the interpolated flag for forecasted fixings if a yoy ts is given
• the underlying zero index behaviour for forecasted fixings if no yoy ts is given

Member Function Documentation

fixing()

Rate fixing ( const Date & fixingDate, bool forecastTodaysFixing = false ) const

override

Warning

the forecastTodaysFixing parameter (required by the Index interface) is currently ignored.