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PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >


PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits > −

Piecewise zero-inflation term structure.


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

Inherits InterpolatedZeroInflationCurve< Interpolator >, and LazyObject.

Public Types

typedef Traits traits_type
typedef Interpolator interpolator_type

Public Member Functions

PiecewiseZeroInflationCurve (const Date &referenceDate, const Calendar &calendar, const DayCounter &dayCounter, const Period &lag, Frequency frequency, bool indexIsInterpolated, Rate baseZeroRate, const Handle< YieldTermStructure > &nominalTS, const std::vector< boost::shared_ptr< typename Traits::helper > > &instruments, Real accuracy=1.0e-12, const Interpolator &i=Interpolator())

Inflation interface

Date baseDate () const
minimum (base) date

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


const std::vector< Time > & times () const
const std::vector< Date > & dates () const
const std::vector< Real > & data () const
std::vector< std::pair< Date,
> > nodes () const "

Observer interface

void update ()


class Bootstrap< this_curve >
class BootstrapError< this_curve >

Detailed Description

template<class Interpolator, template< class > class Bootstrap = IterativeBootstrap, class Traits = ZeroInflationTraits>class QuantLib::PiecewiseZeroInflationCurve< Interpolator, Bootstrap, Traits >
Piecewise zero-inflation term structure.

Member Function Documentation

Date baseDate () const [virtual]
minimum (base) date Important in inflation since it starts before nominal reference date. Changes depending whether index is interpolated or not. When interpolated the base date is just observation lag before nominal. When not interpolated it is the beginning of the relevant period (hence it is easy to create interpolated fixings from a not-interpolated curve because interpolation, usually, of fixings is forward looking).

Reimplemented from InterpolatedZeroInflationCurve< Interpolator >.

void update () [virtual]
This method must be implemented in derived classes. An instance of Observer does not call this method directly: instead, it will be called by the observables the instance registered with when they need to notify any changes.

Reimplemented from LazyObject.


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