QuantLib
A free/open-source library for quantitative finance
Reference manual - version 1.12
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  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