AnalyticJyCpiCapFloorEngine Class Reference

#include <qle/pricingengines/analyticjycpicapfloorengine.hpp>

Inheritance diagram for AnalyticJyCpiCapFloorEngine:

Public Member Functions
	AnalyticJyCpiCapFloorEngine (const boost::shared_ptr< CrossAssetModel > &model, QuantLib::Size index)

PricingEngine interface
void	calculate () const override

Detailed Description

Analytic Jarrow Yildrim (JY) CPI cap floor engine

Constructor & Destructor Documentation

AnalyticJyCpiCapFloorEngine()

AnalyticJyCpiCapFloorEngine	(	const boost::shared_ptr< CrossAssetModel > &	model,
		QuantLib::Size	index
	)

Constructor

Parameters

model	the cross asset model to be used in the valuation.
index	the index of the inflation component to use within the cross asset model.