zeroInflationTermStructure (3) - Linux Manuals

zeroInflationTermStructure: Base class for zero inflation indices.

NAME

QuantLib::ZeroInflationIndex - Base class for zero inflation indices.

SYNOPSIS

#include <ql/indexes/inflationindex.hpp>

Inherits QuantLib::InflationIndex.

Inherited by EUHICP, and UKRPI.

Public Member Functions

ZeroInflationIndex (const std::string &familyName, const Region &region, bool revised, bool interpolated, Frequency frequency, const Period &availabilityLag, const Currency &currency, const Handle< ZeroInflationTermStructure > &ts=Handle< ZeroInflationTermStructure >())
Always use the evaluation date as the reference date.
Rate fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const

Handle< ZeroInflationTermStructure > zeroInflationTermStructure () const

Detailed Description

Base class for zero inflation indices.

Member Function Documentation

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

Forecasting index values requires an inflation term structure. The inflation term structure (ITS) defines the usual lag (not the index). I.e. an ITS is always relatve to a base date that is earlier than its asof date. This must be so because indices are available only with a lag. However, the index availability lag only sets a minimum lag for the ITS. An ITS may be relative to an earlier date, e.g. an index may have a 2-month delay in publication but the inflation swaps may take as their base the index 3 months before.

Implements InflationIndex.

Author

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