QuantLib_YoYInflationIndex (3) - Linux Man Pages

QuantLib_YoYInflationIndex: Base class for year-on-year inflation indices.

NAME

QuantLib::YoYInflationIndex - Base class for year-on-year inflation indices.

SYNOPSIS


#include <ql/indexes/inflationindex.hpp>

Inherits QuantLib::InflationIndex.

Inherited by YYEUHICP, YYEUHICPr, YYUKRPI, and YYUKRPIr.

Public Member Functions


YoYInflationIndex (const std::string &familyName, const Region &region, bool revised, bool interpolated, bool ratio, Frequency frequency, const Period &availabilityLag, const Currency &currency, const Handle< YoYInflationTermStructure > &ts=Handle< YoYInflationTermStructure >())

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

bool ratio () const

Handle< YoYInflationTermStructure > yoyInflationTermStructure () const

Detailed Description

Base class for year-on-year inflation indices.

These may be genuine indices published on, say, Bloomberg, or 'fake' indices that are defined as the ratio of an index at different time points.

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

Generated automatically by Doxygen for QuantLib from the source code.