[Quantlib-users] modelling YOYIIS cap with Quantlib

[Diego D'A. <die...@gm...>]

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