zero inflation term structure implied by a Jarrow Yildrim (JY) model More...
Classes | |
class | JyImpliedZeroInflationTermStructure |
Functions | |
QuantLib::Real | inflationGrowth (const boost::shared_ptr< CrossAssetModel > &model, QuantLib::Size index, QuantLib::Time S, QuantLib::Time T, QuantLib::Real irState, QuantLib::Real rrState, bool indexIsInterpolated) |
zero inflation term structure implied by a Jarrow Yildrim (JY) model
QuantLib::Real QuantExt::inflationGrowth | ( | const boost::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
.