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Module yoy_cap_floor

Module yoy_cap_floor 

Expand description

A year-on-year inflation cap or floor: a strip of options on a price index’s annual growth.

Each period is a YoyInflationCoupon and each caplet (floorlet) is a call (put) on its year-on-year rate I(end)/I(start) − 1 — the same optionlet a capped or floored YoY coupon composes its payoff from, so a cap is the plain YoY leg less the leg capped at the strike, by construction.

Structs§

YoyInflationCapFloor
A strip of year-on-year inflation caplets or floorlets on a price index.