org.jquantlib.termstructures

Class ZeroInflationTermStructure

java.lang.Object

org.jquantlib.termstructures.AbstractTermStructure

org.jquantlib.termstructures.InflationTermStructure

org.jquantlib.termstructures.ZeroInflationTermStructure

All Implemented Interfaces:

Extrapolator, TermStructure, Observable, Observer

public abstract class ZeroInflationTermStructure
extends InflationTermStructure

zero-coupon inflation rate Essentially the fair rate for a zero-coupon inflation swap (by definition), i.e. the zero term structure uses yearly compounding, which is assumed for ZCIIS instrument quotes.

Constructor Summary

Constructors

Constructor and Description
ZeroInflationTermStructure(Date referenceDate, Calendar calendar, DayCounter dayCounter, Period lag, Frequency frequency, double baseZeroRate, Handle<YieldTermStructure> yTS)
ZeroInflationTermStructure(DayCounter dayCounter, Period lag, Frequency frequency, double baseZeroRate, Handle<YieldTermStructure> yTS)
ZeroInflationTermStructure(int settlementDays, Calendar calendar, DayCounter dayCounter, Period lag, Frequency frequency, double baseZeroRate, Handle<YieldTermStructure> yTS)

Method Summary

Modifier and Type	Method and Description
double	zeroRate(Date date)
double	zeroRate(Date date, boolean extrapolate)
double	zeroRate(double time)
double	zeroRate(double time, boolean extrapolate)

Methods inherited from class org.jquantlib.termstructures.InflationTermStructure

baseDate, baseRate, frequency, inflationPeriod, lag, maxDate, nominalTermStructure

Methods inherited from class org.jquantlib.termstructures.AbstractTermStructure

addObserver, allowsExtrapolation, calendar, countObservers, dayCounter, deleteObserver, deleteObservers, disableExtrapolation, enableExtrapolation, getObservers, maxTime, notifyObservers, notifyObservers, referenceDate, settlementDays, timeFromReference, update

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

ZeroInflationTermStructure

public ZeroInflationTermStructure(DayCounter dayCounter,
                                  Period lag,
                                  Frequency frequency,
                                  double baseZeroRate,
                                  Handle<YieldTermStructure> yTS)

ZeroInflationTermStructure

public ZeroInflationTermStructure(Date referenceDate,
                                  Calendar calendar,
                                  DayCounter dayCounter,
                                  Period lag,
                                  Frequency frequency,
                                  double baseZeroRate,
                                  Handle<YieldTermStructure> yTS)

ZeroInflationTermStructure

public ZeroInflationTermStructure(int settlementDays,
                                  Calendar calendar,
                                  DayCounter dayCounter,
                                  Period lag,
                                  Frequency frequency,
                                  double baseZeroRate,
                                  Handle<YieldTermStructure> yTS)

Method Detail

zeroRate

public double zeroRate(Date date)

zeroRate

public double zeroRate(Date date,
                       boolean extrapolate)

zeroRate

public double zeroRate(double time)

zeroRate

public double zeroRate(double time,
                       boolean extrapolate)