- QuantLib
- ZeroInflationTermStructure
Interface for zero inflation term structures. More...
#include <ql/termstructures/inflationtermstructure.hpp>

Public Member Functions | |
Constructors | |
| ZeroInflationTermStructure (const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
| ZeroInflationTermStructure (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, const bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
| ZeroInflationTermStructure (Natural settlementDays, const Calendar &calendar, const DayCounter &dayCounter, Rate baseZeroRate, const Period &lag, Frequency frequency, bool indexIsInterpolated, const Handle< YieldTermStructure > &yTS, const boost::shared_ptr< Seasonality > &seasonality=boost::shared_ptr< Seasonality >()) | |
Inspectors | |
| Rate | zeroRate (const Date &d, const Period &instObsLag=Period(-1, Days), bool forceLinearInterpolation=false, bool extrapolate=false) const |
| zero-coupon inflation rate. | |
| Rate | zeroRate (Time t, bool extrapolate=false) const |
| zero-coupon inflation rate. | |
Protected Member Functions | |
| virtual Rate | zeroRateImpl (Time t) const =0 |
| to be defined in derived classes | |
Interface for zero inflation term structures.
| Rate zeroRate | ( | const Date & | d, |
| const Period & | instObsLag = Period(-1, Days), |
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| bool | forceLinearInterpolation = false, |
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| bool | extrapolate = false |
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| ) | 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.