Wrapper that creates a yoy from a zc index. More...
#include <qle/indexes/inflationindexwrapper.hpp>
Public Member Functions | |
YoYInflationIndexWrapper (const boost::shared_ptr< ZeroInflationIndex > zeroIndex, const bool interpolated, const Handle< YoYInflationTermStructure > &ts=Handle< YoYInflationTermStructure >()) | |
Rate | fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const override |
const boost::shared_ptr< ZeroInflationIndex > | zeroIndex () const |
Wrapper that creates a yoy from a zc index.
This creates a "ratio" - type YoYInflationIndex with the same family name as the zero index so that historical fixings can be reused. If a yoy ts is given, this is used to forecast fixings. If the ts is not given, the forecast falls back on the zero index, i.e. if the zero index has a curve attached a plain yoy rate without convexity adjustment is estimated using this index. The interpolation follows