Class Seasonality

Namespace

NanoQL.TermStructures

Assembly

NanoQL.dll

A seasonality: a correction of an inflation term structure's zero and year-on-year rates for seasonal effects in the price index.

public abstract class Seasonality

Inheritance

object

Seasonality

Derived

MultiplicativePriceSeasonality

Inherited Members

object.GetType()

object.MemberwiseClone()

object.ToString()

object.Equals(object)

object.Equals(object, object)

object.ReferenceEquals(object, object)

object.GetHashCode()

Remarks

Immutable, and an extension point. QuantLib implements only the multiplicative price seasonality (MultiplicativePriceSeasonality); an additive one isn't implemented.

Constructors

Seasonality()

protected Seasonality()

Methods

CorrectYoYRate(Date, double, InflationTermStructure)

A year-on-year inflation rate corrected for seasonality.

public abstract double CorrectYoYRate(Date d, double r, InflationTermStructure iTS)

Parameters

d Date

The date the rate is for.

r double

The uncorrected rate.

iTS InflationTermStructure

The term structure the rate is read from.

Returns

double

The corrected rate.

CorrectZeroRate(Date, double, InflationTermStructure)

A zero-coupon inflation rate corrected for seasonality.

public abstract double CorrectZeroRate(Date d, double r, InflationTermStructure iTS)

Parameters

d Date

The date the rate is for.

r double

The uncorrected rate.

iTS InflationTermStructure

The term structure the rate is read from.

Returns

double

The corrected rate.

IsConsistent(InflationTermStructure)

Whether the seasonality is consistent with a term structure: a multi-year seasonality may not be, and an implementation may refuse it.

public virtual bool IsConsistent(InflationTermStructure iTS)

Parameters

iTS InflationTermStructure

The term structure.

Returns

bool

true; a seasonality that can be inconsistent overrides it.