zeroRate (3) - Linux Manuals

zeroRate: Interface for zero inflation term structures.

NAME

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

Generated automatically by Doxygen for QuantLib from the source code.