Inflation_Curve_Functions

Function *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.