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Inflation_Curve_FunctionsFunction Get Implied Rate within Inflation Curve returns the inflation rates implied by the inflation curve for the provided dates.
First, for a given input date d, the corresponding index observation date d1 is calculated as foillows:
If the inflation curve has Inflation Curve::Interpolated Index = true then d1 = d - Δt, where Δt is the supplied Observation Lag.
For example, if d = 20 July 2020 and Δt = 2 months, then d1 = 20 May 2020.
Otherwise d1 is moved even more backwards in time to equal the date when the related inflation index applies.
In the example above, d1 would be set to 1 July 2020, assuming the inflation index is set on the first day of each month.
Subsequently, the time t between the valuation date (typically today's date) and d1 is calculated as year fraction using the inflation curve's daycount convention.
Finally the rate implied by the curve for the time t is returned.
If the inflation curve has Inflation Index::Quote Type = Relative, each returned rate is produced by the QuantLib function "zeroRate" and is essentially the fair rate for the corresponding zero-coupon inflation swap.
If Inflation Index::Quote Type = YoY Rate, each returned rate is produced by the QuantLib function "yoyRate" and is the corresponding year-on-year inflation rate.
Function Get Implied Fixing within Inflation Curve returns the fixing implied by the inflation curve as of a given date.
It applies the QuantLib function "fixing" with the given date as input.