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Interface for inflation term structures.

Hierarchy

Implements

Implemented by

Index

Properties

_baseRate

_baseRate: Rate

_calendar

_calendar: Calendar

_dayCounter

_dayCounter: DayCounter

_extrapolate

_extrapolate: boolean

_frequency

_frequency: Frequency

_indexIsInterpolated

_indexIsInterpolated: boolean

_isDisposed

_isDisposed: boolean = false

_moving

_moving: boolean

_nominalTermStructure

_nominalTermStructure: Handle<YieldTermStructure>

_observables

_observables: Set<Observable> = new Set()

_observationLag

_observationLag: Period

_observers

_observers: Set<Observer> = new Set()

_referenceDate

_referenceDate: Date

_seasonality

_seasonality: Seasonality

_settlementDays

_settlementDays: Natural

_updated

_updated: boolean

allowsExtrapolation

allowsExtrapolation: () => boolean

Type declaration

    • (): boolean
    • Returns boolean

deepUpdate

deepUpdate: () => void

Type declaration

    • (): void
    • Returns void

disableExtrapolation

disableExtrapolation: (b?: boolean) => void

Type declaration

    • (b?: boolean): void
    • Parameters

      • Optional b: boolean

      Returns void

dispose

dispose: () => void

Type declaration

    • (): void
    • Returns void

enableExtrapolation

enableExtrapolation: (b?: boolean) => void

Type declaration

    • (b?: boolean): void
    • Parameters

      • Optional b: boolean

      Returns void

isDisposed

isDisposed: boolean

notifyObservers

notifyObservers: () => void

Type declaration

    • (): void
    • Returns void

registerObserver

registerObserver: (o: Observer) => void

Type declaration

registerWith

registerWith: (h: Observable) => void

Type declaration

registerWithObservables

registerWithObservables: (o: Observer) => void

Type declaration

unregisterObserver

unregisterObserver: (o: Observer) => void

Type declaration

unregisterWith

unregisterWith: (h: Observable) => Size

Type declaration

unregisterWithAll

unregisterWithAll: () => void

Type declaration

    • (): void
    • Returns void

Methods

baseDate

  • baseDate(): Date
  • minimum (base) date

    Important in inflation since it starts before nominal reference date. Changes depending whether index is interpolated or not. When interpolated the base date is just observation lag before nominal. When not interpolated it is the beginning of the relevant period (hence it is easy to create interpolated fixings from a not-interpolated curve because interpolation, usually, of fixings is forward looking).

    Returns Date

baseRate

  • Returns Rate

calendar

  • the calendar used for reference and/or option date calculation

    Returns Calendar

checkRange1

  • checkRange1(d: Date, extrapolate: boolean): void
  • Parameters

    • d: Date
    • extrapolate: boolean

    Returns void

checkRange2

  • checkRange2(t: Time, extrapolate: boolean): void
  • Parameters

    • t: Time
    • extrapolate: boolean

    Returns void

dayCounter

frequency

  • Returns Frequency

hasSeasonality

  • hasSeasonality(): boolean
  • Returns boolean

indexIsInterpolated

  • indexIsInterpolated(): boolean
  • Returns boolean

itsInit1

itsInit2

itsInit3

maxDate

  • maxDate(): Date
  • the latest date for which the curve can return values

    Returns Date

maxTime

  • the latest time for which the curve can return values

    Returns Time

nominalTermStructure

observationLag

  • Inflation interface

    The TS observes with a lag that is usually different from the availability lag of the index. An inflation rate is given, by default, for the maturity requested assuming this lag.

    Returns Period

referenceDate

  • referenceDate(): Date
  • the date at which discount = 1.0 and/or variance = 0.0

    Returns Date

seasonality

  • Returns Seasonality

setBaseRate

  • setBaseRate(r: Rate): void
  • Parameters

    Returns void

setSeasonality

  • Functions to set and get seasonality.

    Calling setSeasonality with no arguments means unsetting as the default is used to choose unsetting.

    Parameters

    Returns void

settlementDays

timeFromReference

  • timeFromReference(d: Date): Time

tsInit1

tsInit2

tsInit3

update

  • update(): void