yoyInflationTermStructure (3) - Linux Man Pages
yoyInflationTermStructure: Base class for year-on-year inflation indices.
QuantLib::YoYInflationIndex - Base class for year-on-year inflation indices.
Inherited by YYEUHICP, YYEUHICPr, YYUKRPI, and YYUKRPIr.
Public Member Functions
YoYInflationIndex (const std::string &familyName, const Region ®ion, bool revised, bool interpolated, bool ratio, Frequency frequency, const Period &availabilityLag, const Currency ¤cy, const Handle< YoYInflationTermStructure > &ts=Handle< YoYInflationTermStructure >())
Rate fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const
bool ratio () const
Handle< YoYInflationTermStructure > yoyInflationTermStructure () const
Base class for year-on-year inflation indices.
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.