QuantLib_YoYInflationTermStructure (3) Linux Manual Page

QuantLib::YoYInflationTermStructure – Base class for year-on-year inflation term structures.

Synopsis

#include <ql/termstructures/inflationtermstructure.hpp>

Inherits QuantLib::InflationTermStructure.

Inherited by InterpolatedYoYInflationCurve< Interpolator >, and InterpolatedYoYInflationCurve< Interpolator >.

Public Member Functions

Constructors

YoYInflationTermStructure (const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseYoYRate, const Handle< YieldTermStructure > &yieldTS)

YoYInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseYoYRate, const Handle< YieldTermStructure > &yieldTS)

YoYInflationTermStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, Rate baseYoYRate, const Handle< YieldTermStructure > &yieldTS)

Inspectors

Rate yoyRate (const Date &d, bool extrapolate=false) const
year-on-year inflation rate
Rate yoyRate (Time time, bool extrapolate=false) const

Protected Member Functions

virtual Rate yoyRateImpl (Time time) const =0
to be defined in derived classes

Detailed Description

Base class for year-on-year inflation term structures.

Member Function Documentation

Rate yoyRate (const Date & d, bool extrapolate = false) const

year-on-year inflation rate

Note:

this is not the year-on-year swap (YYIIS) rate.

Author

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