zeroRateImpl (3) - Linux Manuals

zeroRateImpl: Inflation term structure based on the interpolation of zero rates.

NAME

QuantLib::InterpolatedZeroInflationCurve - Inflation term structure based on the interpolation of zero rates.

SYNOPSIS

#include <ql/termstructures/inflation/interpolatedzeroinflationcurve.hpp>

Inherits QuantLib::ZeroInflationTermStructure, and boost::noncopyable.

Public Member Functions

InterpolatedZeroInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, const Handle< YieldTermStructure > &yTS, const std::vector< Date > &dates, const std::vector< Rate > &rates, const Interpolator &interpolator=Interpolator())

InflationTermStructure interface

Date baseDate () const
minimum (base) date
Date maxDate () const
the latest date for which the curve can return values

Inspectors

const std::vector< Date > & dates () const

const std::vector< Time > & times () const

const std::vector< Rate > & rates () const

std::vector< std::pair< Date, Rate > > nodes () const

Protected Member Functions

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

ZeroInflationTermStructure Interface

Rate zeroRateImpl (Time t) const
to be defined in derived classes

Protected Attributes

std::vector< Date > dates_

std::vector< Time > times_

std::vector< Rate > data_

Interpolation interpolation_

Interpolator interpolator_

Detailed Description

template<class Interpolator> class QuantLib::InterpolatedZeroInflationCurve< Interpolator >

Inflation term structure based on the interpolation of zero rates.

Constructor & Destructor Documentation

InterpolatedZeroInflationCurve (const Date & referenceDate, const Calendar & calendar, const DayCounter & dayCounter, const Period & lag, Frequency frequency, Rate baseZeroRate, const Handle< YieldTermStructure > & yTS, const Interpolator & interpolator = Interpolator()) [protected]

Protected version for use when descendents don't want to (or can't) provide the points for interpolation on construction.

Member Function Documentation

Date baseDate () const [virtual]

minimum (base) date

Important in inflation since it starts before nominal reference date.

Implements InflationTermStructure.

Reimplemented in PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >.

Author

Generated automatically by Doxygen for QuantLib from the source code.