cpibacheliercapfloorengine.hpp File Reference

CPI cap/floor engine using the Bachelier pricing formula and interpreting the volatility data as normal vols. More...

#include <qle/pricingengines/cpiblackcapfloorengine.hpp>

Classes
class	CPIBachelierCapFloorEngine

Detailed Description

CPI cap/floor engine using the Bachelier pricing formula and interpreting the volatility data as normal vols.