nonstandardyoyinflationcoupon.hpp File Reference

capped floored coupon which generalize the yoy inflation coupon it pays: N * (alpha * I_t/I_s + beta) N * (alpha * (I_t/I_s - 1) + beta) with an arbitrary time s<t, instead of a fixed 1y offset More...

#include <ql/cashflows/inflationcoupon.hpp>
#include <ql/indexes/inflationindex.hpp>
#include <ql/time/schedule.hpp>

Go to the source code of this file.

Classes
class	NonStandardYoYInflationCoupon
	Coupon paying a YoY-inflation type index More...

Namespaces
namespace	QuantExt

Detailed Description

capped floored coupon which generalize the yoy inflation coupon it pays: N * (alpha * I_t/I_s + beta) N * (alpha * (I_t/I_s - 1) + beta) with an arbitrary time s<t, instead of a fixed 1y offset

coupon which generalize the yoy inflation coupon it pays: N * (alpha * I_t/I_s + beta) N * (alpha * (I_t/I_s - 1) + beta) with s<t, if s < today its a ZC Inflation Coupon.

Definition in file nonstandardyoyinflationcoupon.hpp.