inflationcapfloorengines.hpp

Langue: en

Version: 380249 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/pricingengines/inflation/inflationcapfloorengines.hpp -

Inflation cap/floor engines.

SYNOPSIS


#include <ql/instruments/inflationcapfloor.hpp>
#include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>
#include <ql/option.hpp>

Classes


class YoYInflationCapFloorEngine
Base YoY inflation cap/floor engine.
class YoYInflationBlackCapFloorEngine
Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer).
class YoYInflationUnitDisplacedBlackCapFloorEngine
Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer).
class YoYInflationBachelierCapFloorEngine
Unit Displaced Black-formula inflation cap/floor engine (standalone, i.e. no coupon pricer).

Detailed Description

Inflation cap/floor engines.

Author

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