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ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp

NAME

ql/experimental/inflation/piecewiseyoyoptionletvolatility.hpp −

piecewise yoy inflation volatility term structure

SYNOPSIS

#include <ql/experimental/inflation/yoyinflationoptionletvolatilitystructure2.hpp>
#include <ql/termstructures/iterativebootstrap.hpp>
#include <ql/patterns/lazyobject.hpp>

Classes

class YoYInflationVolatilityTraits
traits for inflation-volatility bootstrap

class PiecewiseYoYOptionletVolatilityCurve< Interpolator, Bootstrap, Traits >
Piecewise year-on-year inflation volatility term structure.

Detailed Description

piecewise yoy inflation volatility term structure

Author

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