Reference manual - version qle_version
Interpolated YoY Inflation Cap floor term price surface - extends QuantLib InterpolatedYoYCapFloorTermPriceSurface to allow choice of termstructure directly from YoY swap quotes or from atm swap quotes stripped from cap/floor price surface. More...
#include <ql/experimental/inflation/yoycapfloortermpricesurface.hpp>#include <qle/indexes/inflationindexwrapper.hpp>#include <qle/utilities/inflation.hpp>Classes | |
| class | InterpolatedYoYCapFloorTermPriceSurface< Interpolator2D, Interpolator1D > |
| Interpolated YoY Inflation Cap floor term price surface. More... | |
| struct | CloseEnoughComparator |
Interpolated YoY Inflation Cap floor term price surface - extends QuantLib InterpolatedYoYCapFloorTermPriceSurface to allow choice of termstructure directly from YoY swap quotes or from atm swap quotes stripped from cap/floor price surface.