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ukrpi.hpp

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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */

/*
 Copyright (C) 2007 Chris Kenyon

 This file is part of QuantLib, a free-software/open-source library
 for financial quantitative analysts and developers - http://quantlib.org/

 QuantLib is free software: you can redistribute it and/or modify it
 under the terms of the QuantLib license.  You should have received a
 copy of the license along with this program; if not, please email
 <quantlib-dev@lists.sf.net>. The license is also available online at
 <http://quantlib.org/license.shtml>.

 This program is distributed in the hope that it will be useful, but WITHOUT
 ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
 FOR A PARTICULAR PURPOSE.  See the license for more details.
*/

/*! \file ukrpi.hpp
    \brief %UKRPI index
*/

#ifndef quantlib_ukrpi_hpp
#define quantlib_ukrpi_hpp

#include <ql/indexes/inflationindex.hpp>
#include <ql/currencies/europe.hpp>

namespace QuantLib {

    //! UK Retail Price Inflation Index
00033     class UKRPI : public ZeroInflationIndex {
      public:
        UKRPI(Frequency frequency,
              bool revised,
              bool interpolated,
              const Handle<ZeroInflationTermStructure>& ts =
                                        Handle<ZeroInflationTermStructure>())
        : ZeroInflationIndex("RPI",
                             UKRegion(),
                             revised,
                             interpolated,
                             frequency,
                             Period(2, Months),
                             GBPCurrency(),
                             ts) {}
    };


    //! Genuine year-on-year UK RPI (i.e. not a ratio of UK RPI)
00052     class YYUKRPI : public YoYInflationIndex {
      public:
        YYUKRPI(Frequency frequency,
                bool revised,
                bool interpolated,
                const Handle<YoYInflationTermStructure>& ts =
                                         Handle<YoYInflationTermStructure>())
        : YoYInflationIndex("YY_RPI",
                            UKRegion(),
                            revised,
                            interpolated,
                            false,
                            frequency,
                            Period(2, Months),
                            GBPCurrency(),
                            ts) {}
    };


    //! Fake year-on-year UK RPI (i.e. a ratio of UK RPI)
00072     class YYUKRPIr : public YoYInflationIndex {
      public:
        YYUKRPIr(Frequency frequency,
                 bool revised,
                 bool interpolated,
                 const Handle<YoYInflationTermStructure>& ts =
                                         Handle<YoYInflationTermStructure>())
        : YoYInflationIndex("YYR_RPI",
                            UKRegion(),
                            revised,
                            interpolated,
                            true,
                            frequency,
                            Period(2, Months),
                            GBPCurrency(),
                            ts) {}
    };

}


#endif

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