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piecewiseyoyoptionletvolatility.hpp
Langue: en
Version: 376829 (fedora - 01/12/10)
Section: 3 (Bibliothèques de fonctions)
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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