YoYSwapHelper Class Reference

#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 QuantLib::ext::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
QuantLib::ext::shared_ptr< QuantLib::YearOnYearInflationSwap >	yoySwap () const
void	setPricingEngine (const QuantLib::ext::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.

Detailed Description

Year on year (YoY) inflation swap calibration helper.