ZeroInflationTermStructure Class Reference
Interface for zero inflation term structures. More...
#include <ql/termstructures/inflationtermstructure.hpp>
Inheritance diagram for ZeroInflationTermStructure:

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. | |
Rate | zeroRate (Time t, bool extrapolate=false) const |
zero-coupon inflation rate. | |
Protected Member Functions | |
virtual Rate | zeroRateImpl (Time t) const =0 |
to be defined in derived classes |
Detailed Description
Interface for zero inflation term structures.
Member Function Documentation
Rate zeroRate | ( | const Date & | d, |
const Period & | instObsLag = Period(-1, Days) , |
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bool | forceLinearInterpolation = false , |
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bool | extrapolate = false |
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) | 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.