Files | |
file | cpicapfloorengines.hpp |
Engines for CPI options. | |
file | cpicapfloortermpricesurface.hpp |
cpi inflation cap and floor term price structure. N.B. cpi cap/floors have a single (one) flow (unlike nominal caps) because they observe cumulative inflation up to their maturity. Options are on CPI(T)/CPI(0) but strikes are quoted for yearly average inflation, so require transformation via (1+quote)^T to obtain actual strikes. These are consistent with ZCIIS quoting conventions. | |
file | genericindexes.hpp |
Generic inflation indexes. | |
file | interpolatedyoyoptionletstripper.hpp |
interpolated yoy inflation-cap stripping | |
file | kinterpolatedyoyoptionletvolatilitysurface.hpp |
K-interpolated yoy optionlet volatility. | |
file | piecewiseyoyoptionletvolatility.hpp |
piecewise yoy inflation volatility term structure | |
file | polynomial2Dspline.hpp |
polynomial interpolation in the y-direction, spline interpolation x-direction | |
file | yoycapfloortermpricesurface.hpp |
file | yoyinflationoptionletvolatilitystructure2.hpp |
experimental yoy inflation volatility structures | |
file | yoyoptionlethelpers.hpp |
yoy inflation cap and floor term-price structure | |
file | yoyoptionletstripper.hpp |
yoy inflation-cap stripping | |