Extended version of the QuantLib engine, strike adjustment for seasoned CPI Cap/Floor pricing. More...
#include <ql/experimental/inflation/cpicapfloortermpricesurface.hpp>
#include <ql/instruments/cpicapfloor.hpp>
#include <ql/pricingengines/genericmodelengine.hpp>
Classes | |
class | InterpolatingCPICapFloorEngine |
Extended version of the QuantLib engine, strike adjustment for seasoned CPI Cap/Floor pricing.