|
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 | 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
|
|