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QuantLib_ZeroInflationTermStructure
Langue: en
Version: 153327 (fedora - 05/07/09)
Section: 3 (Bibliothèques de fonctions)
Sommaire
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
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