zero inflation volatility structure implied from a cpi cap/floor price surface More...
#include <iostream>
#include <ql/experimental/inflation/cpicapfloortermpricesurface.hpp>
#include <ql/math/solvers1d/brent.hpp>
#include <qle/pricingengines/cpiblackcapfloorengine.hpp>
#include <qle/termstructures/inflation/constantcpivolatility.hpp>
#include <qle/termstructures/inflation/cpivolatilitystructure.hpp>
#include <qle/utilities/inflation.hpp>
Classes | |
struct | StrippedCPIVolSurfaceDefaultValues |
class | StrippedCPIVolatilitySurface< Interpolator2D > |
Stripped zero inflation volatility structure. More... | |
Enumerations | |
enum | PriceQuotePreference { Cap , Floor , CapFloor } |
zero inflation volatility structure implied from a cpi cap/floor price surface