Reference manual - version qle_version
#include <qle/models/yoyswaphelper.hpp>
Inheritance diagram for YoYSwapHelper:Public Member Functions | |
| YoYSwapHelper (const QuantLib::Handle< QuantLib::Quote > &rate, QuantLib::Natural settlementDays, const QuantLib::Period &tenor, const boost::shared_ptr< QuantLib::YoYInflationIndex > &yoyIndex, const QuantLib::Handle< QuantLib::YieldTermStructure > &rateCurve, const QuantLib::Period &observationLag, const QuantLib::Calendar &yoyCalendar, QuantLib::BusinessDayConvention yoyConvention, const QuantLib::DayCounter &yoyDayCount, const QuantLib::Calendar &fixedCalendar, QuantLib::BusinessDayConvention fixedConvention, const QuantLib::DayCounter &fixedDayCount, const QuantLib::Calendar &paymentCalendar, QuantLib::BusinessDayConvention paymentConvention, const QuantLib::Period &fixedTenor=1 *QuantLib::Years, const QuantLib::Period &yoyTenor=1 *QuantLib::Years) | |
| Year on year helper constructor. | |
CalibrationHelper interface | |
| QuantLib::Real | calibrationError () override |
Observer interface | |
| void | update () override |
YoYSwapHelper inspectors | |
| boost::shared_ptr< QuantLib::YearOnYearInflationSwap > | yoySwap () const |
| void | setPricingEngine (const boost::shared_ptr< QuantLib::PricingEngine > &engine) |
| Set the pricing engine to be used by the underlying YoY swap. | |
| QuantLib::Real | marketRate () const |
| Return the market fair year on year rate. | |
| QuantLib::Real | modelRate () const |
| Return the model implied fair year on year rate. | |
Year on year (YoY) inflation swap calibration helper.
