strippedcpivolatilitystructure.hpp File Reference

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 }

Detailed Description

zero inflation volatility structure implied from a cpi cap/floor price surface