baseRate (3) - Linux Manuals

baseRate: Interface for inflation term structures.

NAME

QuantLib::InflationTermStructure - Interface for inflation term structures.

SYNOPSIS

#include <ql/termstructures/inflationtermstructure.hpp>

Inherits QuantLib::TermStructure.

Inherited by YoYInflationTermStructure, and ZeroInflationTermStructure.

Public Member Functions

Constructors

InflationTermStructure (const Period &lag, Frequency frequency, Rate baseRate, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter())

InflationTermStructure (const Date &referenceDate, const Period &lag, Frequency frequency, Rate baseRate, const Handle< YieldTermStructure > &yTS, const Calendar &calendar=Calendar(), const DayCounter &dayCounter=DayCounter())

InflationTermStructure (Natural settlementDays, const Calendar &calendar, const Period &lag, Frequency frequency, Rate baseRate, const Handle< YieldTermStructure > &yTS, const DayCounter &dayCounter=DayCounter())

Inflation interface

virtual Period lag () const

virtual Frequency frequency () const

virtual Rate baseRate () const

virtual Handle< YieldTermStructure > nominalTermStructure () const

virtual Date baseDate () const =0
minimum (base) date

Protected Member Functions

virtual void setBaseRate (const Rate &r)

void checkRange (const Date &, bool extrapolate) const
date-range check
void checkRange (Time t, bool extrapolate) const
time-range check

Protected Attributes

Handle< YieldTermStructure > nominalTermStructure_

Period lag_

Frequency frequency_

Rate baseRate_

Detailed Description

Interface for inflation term structures.

Member Function Documentation

virtual Date baseDate () const [pure virtual]

minimum (base) date

Important in inflation since it starts before nominal reference date.

Implemented in InterpolatedYoYInflationCurve< Interpolator >, InterpolatedZeroInflationCurve< Interpolator >, PiecewiseYoYInflationCurve< Interpolator, Bootstrap, Traits >, PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >, InterpolatedYoYInflationCurve< Interpolator >, and InterpolatedZeroInflationCurve< Interpolator >.

Author

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