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From: Diego D'A. <die...@gm...> - 2022-06-29 15:41:51
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Hi, Is there any example on how to model a YOYIIS cap with Quantlib? I am trying to use the example on the QuantLib Cookbook related to interest rate cap (chapter 20. Caps and floors) but I am having issues with parsing the CPI index in the Ibor leg. Related to this, does the YoYCapFloorHelper work on python? I am getting the error message "AttributeError: module 'QuantLib' has no attribute 'YoYCapFloorHelper'". The ZeroCouponInflationSwapHelperworks tho. Many thanks, Diego |