InflationIndex

NAME

InflationIndex − Base class for inflation-rate indexes,.

SYNOPSIS

#include <ql/indexes/inflationindex.hpp>

Inherits Index, and Observer.

Inherited by YoYInflationIndex, and ZeroInflationIndex.

Public Member Functions

InflationIndex (const std::string &familyName, const Region &region, bool revised, bool interpolated, Frequency frequency, const Period &availabilitiyLag, const Currency &currency)

Index interface

std::string name () const
Returns the name of the index.
Calendar fixingCalendar () const
bool isValidFixingDate (const Date &) const
returns TRUE if the fixing date is a valid one
Rate fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const =0
void addFixing (const Date &fixingDate, Rate fixing, bool forceOverwrite=false)

Observer interface

void update ()

Inspectors

std::string familyName () const
Region region () const
bool revised () const
bool interpolated () const
Frequency frequency () const
Period availabilityLag () const
Currency currency () const

Protected Attributes

Date referenceDate_
std::string familyName_
Region region_
bool revised_
bool interpolated_
Frequency frequency_
Period availabilityLag_
Currency currency_

Additional Inherited Members

Detailed Description

Base class for inflation-rate indexes,.

Constructor & Destructor Documentation

InflationIndex (const std::string & familyName, const Region & region, bool revised, bool interpolated, Frequency frequency, const Period & availabilitiyLag, const Currency & currency)
An inflation index may return interpolated values. These are linearly interpolated values with act/act convention within a period. Note that stored ’fixings’ are always flat (constant) within a period and interpolated as needed. This is because interpolation adds an addional availability lag (because you always need the next period to give the previous period’s value) and enables storage of the most recent uninterpolated value.

Member Function Documentation

std::string name () const [virtual]
Returns the name of the index.

Warning

This method is used for output and comparison between indexes. It is not meant to be used for writing switch-on-type code.

Implements Index.

Calendar fixingCalendar () const [virtual]
Inflation indices do not have fixing calendars. An inflation index value is valid for every day (including weekends) of a calendar period. I.e. it uses the NullCalendar as its fixing calendar.

Implements Index.

Rate fixing (const Date & fixingDate, bool forecastTodaysFixing = false) const [pure 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.

Implements Index.

Implemented in YoYInflationIndex, and ZeroInflationIndex.

void addFixing (const Date & fixingDate, Rate fixing, bool forceOverwrite = false) [virtual]
this method creates all the ’fixings’ for the relevant period of the index. E.g. for monthly indices it will put the same value in every calendar day in the month.

Reimplemented from Index.

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.

Implements Observer.

bool interpolated () const
Forecasting index values using an inflation term structure uses the interpolation of the inflation term structure unless interpolation is set to false. In this case the extrapolated values are constant within each period taking the mid-period extrapolated value.

Period availabilityLag () const
The availability lag describes when the index is available, not how it is used. Specifically the fixing for, say, January, may only be available in April but the index will always return the index value applicable for January as its January fixing (independent of the lag in availability).

Author

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