QuantLib_ZeroInflationTermStructure (3) Linux Manual Page

QuantLib::ZeroInflationTermStructure – Interface for zero inflation term structures.

Synopsis

#include <ql/termstructures/inflationtermstructure.hpp>

Inherits QuantLib::InflationTermStructure.

Inherited by InterpolatedZeroInflationCurve< Interpolator >, and InterpolatedZeroInflationCurve< Interpolator >.

Public Member Functions

Constructors

ZeroInflationTermStructure (const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseZeroRate, const Handle< YieldTermStructure > &yTS)

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

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

Inspectors

Rate zeroRate (const Date &d, bool extrapolate=false) const
zero-coupon inflation rate
Rate zeroRate (Time t, bool extrapolate=false) const

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, bool extrapolate = false) 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.

Author

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