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>

Go to the source code of this file.

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

Namespaces
namespace	QuantExt

Functions
QuantLib::Real	jyExpectedIndexRatio (const QuantLib::ext::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.

Definition in file jyyoyinflationcouponpricer.hpp.