ZeroInflationModelTermStructure Class Reference

#include <qle/models/zeroinflationmodeltermstructure.hpp>

Inheritance diagram for ZeroInflationModelTermStructure:

Public Member Functions
	ZeroInflationModelTermStructure (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, QuantLib::Size index)
QL_DEPRECATED	ZeroInflationModelTermStructure (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, QuantLib::Size index, bool indexIsInterpolated)
Observer interface
void	update () override
TermStructure interface
QuantLib::Date	maxDate () const override
QuantLib::Time	maxTime () const override
const QuantLib::Date &	referenceDate () const override

InflationTermStructure interface
QuantLib::ext::shared_ptr< CrossAssetModel >	model_
QuantLib::Size	index_
QL_DEPRECATED bool	indexIsInterpolated_
QuantLib::Date	referenceDate_
QuantLib::Time	relativeTime_
QuantLib::Array	state_
QuantLib::Date	baseDate () const override
virtual void	referenceDate (const QuantLib::Date &d)
	Set the reference date.
void	state (const QuantLib::Array &s)
	Set the current state variables.
void	move (const QuantLib::Date &d, const QuantLib::Array &s)
	Set the current state and move the reference date to date d.
virtual void	checkState () const

Detailed Description

Base class for cross asset model implied zero inflation term structures.

The termstructure has the reference date of the model's term structure at construction, but you can vary this as well as the state. This purely time based variant is mainly here for performance reasons. Note that it does not provide the full term structure interface and does not send notifications on reference time updates.

Constructor & Destructor Documentation

ZeroInflationModelTermStructure()

ZeroInflationModelTermStructure	(	const QuantLib::ext::shared_ptr< CrossAssetModel > &	model,
		QuantLib::Size	index
	)

Constructor taking the cross asset model, model, and the index of the relevant inflation component within the model, index.

Member Function Documentation

checkState()

virtual void checkState ( ) const

protectedvirtual

Override this method to perform checks on the state variable array when the state and move methods are called.

Reimplemented in JyImpliedZeroInflationTermStructure, and DkImpliedZeroInflationTermStructure.