#include <qle/models/yoyinflationmodeltermstructure.hpp>

Inheritance diagram for YoYInflationModelTermStructure:

Public Member Functions
	YoYInflationModelTermStructure (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, QuantLib::Size index, bool indexIsInterpolated)
Observer interface
void	update () override
TermStructure interface
QuantLib::Date	maxDate () const override
QuantLib::Time	maxTime () const override
const QuantLib::Date &	referenceDate () const override

InflationTermStructure interface
QuantLib::ext::shared_ptr< CrossAssetModel >	model_
QuantLib::Size	index_
bool	indexIsInterpolated_
QuantLib::Date	referenceDate_
QuantLib::Time	relativeTime_
QuantLib::Array	state_
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
virtual std::map< QuantLib::Date, QuantLib::Real >	yoyRates (const std::vector< QuantLib::Date > &dates, const QuantLib::Period &obsLag=-1 *QuantLib::Days) const =0
void	enableCache (const bool b=true) const
virtual void	clearCache () const

YoYInflationTermStructure interface
bool	enableCache_ = false
QuantLib::Real	yoyRateImpl (QuantLib::Time t) const override
	This cannot be called. The implementation is set to throw an exception.
virtual void	checkState () const

Detailed Description

Base class for cross asset model implied year on year inflation term structures.

The termstructure has the reference date of the model's term structure at construction, but you can vary this as well as the state. Note that this term structure does not implement the full YoYInflationTermStructure interface. It is questionable whether it should derive from YoYInflationTermStructure at all.

Constructor & Destructor Documentation

◆ YoYInflationModelTermStructure()

YoYInflationModelTermStructure	(	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

◆ yoyRate()

QuantLib::Real yoyRate	(	const QuantLib::Date &	d,
		const QuantLib::Period &	obsLag = -1 *QuantLib::Days,
		bool	forceLinearInterpolation = false,
		bool	extrapolate = false ) const

Hides the YoYInflationTermStructure::yoyRate method. The parameters forceLinearInterpolation and extrapolate are ignored.

◆ yoyRates()

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

pure virtual

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.

Implemented in DkImpliedYoYInflationTermStructure, and JyImpliedYoYInflationTermStructure.

◆ checkState()

virtual void checkState ( ) const

protectedvirtual

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

Reimplemented in DkImpliedYoYInflationTermStructure, and JyImpliedYoYInflationTermStructure.

Public Member Functions

InflationTermStructure interface