[Quantlib-dev] inflation modeling

[Chris K. <chr...@ya...>]

Dear All,

if you're interested in this take a look at this paper (draft on SSRN):
http://www.risk.net/public/showPage.html?validate=0&page=risknet_login2_tech&url=%2Fpublic%2FshowPage.html%3Fpage%3D802943
QuantLib has received a contribution for inflation volatility modeling along these lines (not for 0.95 tho').  All comments welcome.

Best regards,
Chris Kenyon