TipsVal
Valuation library for inflation-indexed bonds
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AndrewKalotayAssociates::TipsVal::InflationModel Class Reference

Inflation rate curve. More...

#include "andrew_kalotay_associates/tipsval/inflation_model.h"

Public Member Functions

 InflationModel (const Common::Array< Input::InflationIndex > &inflation_history, const Input::ParYieldCurve &real_curve, const Input::ParYieldCurve &nominal_curve, double inflation_volatility, const Date &settlement_date)
 
 InflationModel (const Common::Array< Input::InflationIndex > &inflation_history, double inflation_rate, double index_volatility)
 
bool operator! () const
 
bool is_valid () const
 
const Output::Statusstatus () const
 
void print (std::ostream &output) const
 

Friends

class Bond
 
class InflationFloater
 

Detailed Description

Inflation rate curve.

Constructor & Destructor Documentation

◆ InflationModel() [1/2]

AndrewKalotayAssociates::TipsVal::InflationModel::InflationModel ( const Common::Array< Input::InflationIndex > &  inflation_history,
const Input::ParYieldCurve real_curve,
const Input::ParYieldCurve nominal_curve,
double  inflation_volatility,
const Date settlement_date 
)

Constructs inflation model implied by nominal and real yield curves

Parameters
inflation_historyHistorical inflation index values
real_curvePar yield curve for inflation-adjusted bonds
nominal_curvePar yield curve for unadjusted bonds
inflation_volatilityVolatility of inflation rates. Needed for valuation of deflation floor
settlement_dateDate on which the discount factor is 1

◆ InflationModel() [2/2]

AndrewKalotayAssociates::TipsVal::InflationModel::InflationModel ( const Common::Array< Input::InflationIndex > &  inflation_history,
double  inflation_rate,
double  index_volatility 
)

Constructs inflation model calibrated to a flat inflation rate

Parameters
inflation_historyHistorical inflation index values
inflation_rateConstant inflation rate
inflation_volatilityVolatility of inflation rates. Needed for valuation of deflation floor
settlement_dateDate on which the discount factor is 1

The documentation for this class was generated from the following file: