AnalyticJyYoYCapFloorEngine Class Reference

#include <qle/pricingengines/analyticjyyoycapfloorengine.hpp>

Inheritance diagram for AnalyticJyYoYCapFloorEngine:

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

PricingEngine interface
void	calculate () const override

Detailed Description

Analytic Jarrow Yildrim (JY) year on year inflation cap floor engine

Constructor & Destructor Documentation

AnalyticJyYoYCapFloorEngine()

AnalyticJyYoYCapFloorEngine	(	const boost::shared_ptr< CrossAssetModel > &	model,
		QuantLib::Size	index,
		bool	indexIsInterpolated
	)

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.
indexIsInterpolated	whether the underlying inflation index is interpolated or not