QuantLib: ql/experimental/inflation Directory Reference

A free/open-source library for quantitative finance Reference manual - version 1.6

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inflation Directory Reference

## 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