ZeroInflationIndex Class Reference
#include <ql/indexes/inflationindex.hpp>
Inheritance diagram for ZeroInflationIndex:
Detailed Description
Base class for zero inflation indices.Public Member Functions | |
ZeroInflationIndex (const std::string &familyName, const Region ®ion, bool revised, bool interpolated, Frequency frequency, const Period &availabilityLag, const Currency ¤cy, const Handle< ZeroInflationTermStructure > &ts=Handle< ZeroInflationTermStructure >()) | |
Always use the evaluation date as the reference date. | |
Rate | fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const |
Handle < ZeroInflationTermStructure > | zeroInflationTermStructure () const |
Member Function Documentation
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 InflationIndex.