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§
- YoyInflation
CapFloor - A strip of year-on-year inflation caplets or floorlets on a price index.