jyimpliedzeroinflationtermstructure.hpp File Reference

zero inflation term structure implied by a Jarrow Yildrim (JY) model More...

#include <qle/models/crossassetmodel.hpp>
#include <qle/models/zeroinflationmodeltermstructure.hpp>

Classes
class	JyImpliedZeroInflationTermStructure

Functions
QuantLib::Real	inflationGrowth (const QuantLib::ext::shared_ptr< CrossAssetModel > &model, QuantLib::Size index, QuantLib::Time S, QuantLib::Time T, QuantLib::Real irState, QuantLib::Real rrState, bool indexIsInterpolated)

Detailed Description

zero inflation term structure implied by a Jarrow Yildrim (JY) model

Function Documentation

inflationGrowth()

QuantLib::Real QuantExt::inflationGrowth	(	const QuantLib::ext::shared_ptr< CrossAssetModel > &	model,
		QuantLib::Size	index,
		QuantLib::Time	S,
		QuantLib::Time	T,
		QuantLib::Real	irState,
		QuantLib::Real	rrState,
		bool	indexIsInterpolated
	)

Calculation of inflation growth between two times given the Jarrow Yildrim (JY) real rate state, rrState, and the nominal interest rate state, irState.