zeroInflationTermStructure (3) - Linux Man Pages
zeroInflationTermStructure: Base class for zero inflation indices.
QuantLib::ZeroInflationIndex - Base class for zero inflation indices.
Inherited by EUHICP, and UKRPI.
Public Member Functions
ZeroInflationIndex (const std::string &familyName, const Region ®ion, bool revised, bool interpolated, Frequency frequency, const Period &availabilityLag, const Currency ¤cy, 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
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.
Generated automatically by Doxygen for QuantLib from the source code.