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genericindexes.hpp

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

/*
 Copyright (C) 2009 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 genericindexes.hpp
    \brief Generic inflation indexes
*/

#ifndef quantlib_generic_inflation_indexes_hpp
#define quantlib_generic_inflation_indexes_hpp

#include <ql/indexes/inflationindex.hpp>

namespace QuantLib {

    //! Generic geographical/economic region
00032     class GenericRegion : public Region {
      public:
        GenericRegion() {
            static boost::shared_ptr<Data> GENERICdata(
                                               new Data("Generic","GENERIC"));
            data_ = GENERICdata;
        }
    };


    //! Generic CPI index
00043     class GenericCPI : public ZeroInflationIndex {
      public:
        GenericCPI(Frequency frequency,
                   bool revised,
                   bool interpolated,
                   const Period &lag,
                   const Currency &ccy,
                   const Handle<ZeroInflationTermStructure>& ts =
                                         Handle<ZeroInflationTermStructure>())
        : ZeroInflationIndex("CPI",
                             GenericRegion(),
                             revised,
                             interpolated,
                             frequency,
                             lag,
                             ccy,
                             ts) {}
    };


    //! Genuine year-on-year Generic CPI (i.e. not a ratio)
00064     class YYGenericCPI : public YoYInflationIndex {
      public:
        YYGenericCPI(Frequency frequency,
                     bool revised,
                     bool interpolated,
                     const Period &lag,
                     const Currency &ccy,
                     const Handle<YoYInflationTermStructure>& ts =
                                          Handle<YoYInflationTermStructure>())
        : YoYInflationIndex("YY_CPI",
                            GenericRegion(),
                            revised,
                            interpolated,
                            false,
                            frequency,
                            lag,
                            ccy,
                            ts) {}
    };

    //! Fake year-on-year GenericCPI (i.e. a ratio)
00085     class YYGenericCPIr : public YoYInflationIndex {
      public:
        YYGenericCPIr(Frequency frequency,
                      bool revised,
                      bool interpolated,
                      const Period &lag,
                      const Currency &ccy,
                      const Handle<YoYInflationTermStructure>& ts =
                                          Handle<YoYInflationTermStructure>())
        : YoYInflationIndex("YYR_CPI",
                            GenericRegion(),
                            revised,
                            interpolated,
                            true,
                            frequency,
                            lag,
                            ccy,
                            ts) {}
    };

}

#endif


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