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feat(volatility): add year-on-year inflation optionlet volatility - #853

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feat(volatility): add year-on-year inflation optionlet volatility#853
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@benbenbang benbenbang commented Aug 11, 2026

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  • feat(volatility): add year-on-year inflation optionlet volatility
  • test(crates): add tests for constant YoY optionlet volatility
  • feat(cashflows): add caplet and floorlet rates to YoY pricer trait
  • feat(cashflows): add capped floored YoY inflation coupon
  • feat(cashflows): add caps and floors to YoY inflation leg
  • test(cashflows): add oracle tests for capfloored yoy inflation coupon
  • test(crates): cover capfloored yoy inflation coupon oracle pricing
  • docs(crates): document omitted VolatilityType and displacement params
  • test(cashflows): assert wrapper delegates face to underlying coupon

close #838

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benbenbang enabled auto-merge (rebase) August 11, 2026 08:42
@github-actions github-actions Bot added the enhancement New feature or request label Aug 11, 2026
auto-merge was automatically disabled August 11, 2026 08:44

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@benbenbang benbenbang closed this Aug 11, 2026
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benbenbang deleted the fable/838 branch August 11, 2026 08:44
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benbenbang restored the fable/838 branch August 11, 2026 08:44
@benbenbang benbenbang reopened this Aug 11, 2026
@benbenbang benbenbang closed this Aug 11, 2026
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benbenbang deleted the fable/838 branch August 11, 2026 08:49
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[Inflation][YoY] Cap/floor YoY coupon: CappedFlooredYoYInflationCoupon + Black/Bachelier optionlet pricers

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