inflationcouponpricer.hpp

Langue: en

Version: 375031 (fedora - 01/12/10)

Section: 3 (Bibliothèques de fonctions)

Sommaire

NAME

ql/cashflows/inflationcouponpricer.hpp -

inflation-coupon pricers

SYNOPSIS


#include <ql/cashflow.hpp>
#include <ql/option.hpp>
#include <ql/cashflows/yoyinflationcoupon.hpp>
#include <ql/termstructures/volatility/inflation/yoyinflationoptionletvolatilitystructure.hpp>

Classes


class InflationCouponPricer
Base inflation-coupon pricer.
class YoYInflationCouponPricer
base pricer for capped/floored YoY inflation coupons
class BlackYoYInflationCouponPricer
Black-formula pricer for capped/floored yoy inflation coupons.
class UnitDisplacedBlackYoYInflationCouponPricer
Unit-Displaced-Black-formula pricer for capped/floored yoy inflation coupons.
class BachelierYoYInflationCouponPricer
Bachelier-formula pricer for capped/floored yoy inflation coupons.

Detailed Description

inflation-coupon pricers

Author

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