Module cpi_cap_floor 

A zero-coupon inflation cap or floor: one option on a price index’s growth over the trade’s life.

At maturity T it pays N·max(ω(I(T)/I(T0) − (1+k)^τ), 0) — ω one for a cap, minus one for a floor, k the annualised zero-coupon strike and τ the day count from the base date to maturity, the year fraction a ZeroCouponInflationSwap on the same dates compounds its fixed rate over. Both levels are observed as the swap observes them, so a cap less a floor at k is the swap paying k, by construction.

The option is Black-76 on the forward index ratio for a lognormal CpiVolSurface, Bachelier on it for a normal one (see crate::marketdata::inflation_vol).

Structs

ZeroCouponInflationCapFloor

A zero-coupon inflation cap or floor on a price index.