jyyoyinflationcouponpricer.hpp File Reference

Jarrow Yildrim (JY) pricer for capped or floored year on year (YoY) inflation coupons. More...

#include <qle/models/crossassetmodel.hpp>
#include <ql/cashflows/inflationcouponpricer.hpp>
#include <ql/cashflows/yoyinflationcoupon.hpp>

Classes
class	JyYoYInflationCouponPricer
	JY pricer for YoY inflation coupons. More...

Functions
QuantLib::Real	jyExpectedIndexRatio (const boost::shared_ptr< CrossAssetModel > &model, QuantLib::Size index, QuantLib::Time S, QuantLib::Time T, bool indexIsInterpolated)

Detailed Description

Jarrow Yildrim (JY) pricer for capped or floored year on year (YoY) inflation coupons.

Function Documentation

jyExpectedIndexRatio()

QuantLib::Real QuantExt::jyExpectedIndexRatio	(	const boost::shared_ptr< CrossAssetModel > &	model,
		QuantLib::Size	index,
		QuantLib::Time	S,
		QuantLib::Time	T,
		bool	indexIsInterpolated
	)

Return the expected value of the inflation index ratio \(I(T)/I(S)\) under Jarrow Yildrim where \( 0 < S < T \). The value is given in Section 13 of Modern Derivatives Pricing and Credit Exposure Analysis, 2015 by the following:

\[ \frac{P_r(0,T)}{P_n(0,T)} \frac{P_n(0,S)}{P_r(0,S)} e^{C(S,T)} \]