cpicapfloortermpricesurface.hpp File Reference

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. More...

Include dependency graph for cpicapfloortermpricesurface.hpp:

Classes

class  CPICapFloorTermPriceSurface
 Provides cpi cap/floor prices by interpolation and put/call parity (not cap/floor/swap* parity). More...
 

Namespaces

 QuantLib
 

Detailed Description

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.

The single-flow property of CPI cap/floors means that no stripping is required. Additionally CPI swaps, i.e. ZCIIS zero coupon inflation indexed swaps are usually the most liquid of all the inflation products. These two facts mean that we can use a Zero Inflation term structure to give ATM.