YoYInflationIndex Class Reference
#include <ql/indexes/inflationindex.hpp>
Inheritance diagram for YoYInflationIndex:

Detailed Description
Base class for year-on-year inflation indices.These may be genuine indices published on, say, Bloomberg, or "fake" indices that are defined as the ratio of an index at different time points.
Public Member Functions | |
YoYInflationIndex (const std::string &familyName, const Region ®ion, bool revised, bool interpolated, bool ratio, Frequency frequency, const Period &availabilityLag, const Currency ¤cy, const Handle< YoYInflationTermStructure > &ts=Handle< YoYInflationTermStructure >()) | |
Rate | fixing (const Date &fixingDate, bool forecastTodaysFixing=false) const |
bool | ratio () const |
Handle< YoYInflationTermStructure > | yoyInflationTermStructure () 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.