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>

Go to the source code of this file.

Classes
class	CPIBachelierCapFloorEngine

Namespaces
namespace	QuantExt

Detailed Description

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

Definition in file cpibacheliercapfloorengine.hpp.