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| file | cpicapfloorengines.hpp |
| | Engines for CPI options.
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| 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.
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| file | genericindexes.hpp |
| | Generic inflation indexes.
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| file | interpolatedyoyoptionletstripper.hpp |
| | interpolated yoy inflation-cap stripping
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| file | kinterpolatedyoyoptionletvolatilitysurface.hpp |
| | K-interpolated yoy optionlet volatility.
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| file | piecewiseyoyoptionletvolatility.hpp |
| | piecewise yoy inflation volatility term structure
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| file | polynomial2Dspline.hpp |
| | polynomial interpolation in the y-direction, spline interpolation x-direction
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| file | yoycapfloortermpricesurface.hpp |
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| file | yoyinflationoptionletvolatilitystructure2.hpp |
| | experimental yoy inflation volatility structures
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| file | yoyoptionlethelpers.hpp |
| | yoy inflation cap and floor term-price structure
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| file | yoyoptionletstripper.hpp |
| | yoy inflation-cap stripping
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