Reference manual - version qle_version
capped floored coupon which generalize the yoy inflation coupon it pays: N * (alpha * I_t/I_s + beta) N * (alpha * (I_t/I_s - 1) + beta) with an arbitrary time s<t, instead of a fixed 1y offset More...
#include <ql/cashflows/inflationcoupon.hpp>#include <ql/indexes/inflationindex.hpp>#include <ql/time/schedule.hpp>Classes | |
| class | NonStandardYoYInflationCoupon |
| Coupon paying a YoY-inflation type index More... | |
capped floored coupon which generalize the yoy inflation coupon it pays: N * (alpha * I_t/I_s + beta) N * (alpha * (I_t/I_s - 1) + beta) with an arbitrary time s<t, instead of a fixed 1y offset
coupon which generalize the yoy inflation coupon it pays: N * (alpha * I_t/I_s + beta) N * (alpha * (I_t/I_s - 1) + beta) with s<t, if s < today its a ZC Inflation Coupon.