cpiblackcapfloorengine.hpp File Reference

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

#include <ql/instruments/cpicapfloor.hpp>
#include <ql/termstructures/volatility/inflation/cpivolatilitystructure.hpp>
#include <ql/termstructures/yieldtermstructure.hpp>

Go to the source code of this file.

Classes
class	CPICapFloorEngine
	Basse Class for Black / Bachelier CPI cap floor pricing engines. More...
class	CPIBlackCapFloorEngine

Namespaces
namespace	QuantExt

Detailed Description

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

Definition in file cpiblackcapfloorengine.hpp.