Re: [Quantlib-users] modelling YOYIIS cap with Quantlib

[Ashish B. <ash...@gm...>]

Hi Diego,

I don't think YoY helper is part of Quantlib. Could not find in the C++
documentation.

I can however see it in Open Source Risk guide:
https://www.opensourcerisk.org/docs/qle/class_quant_ext_1_1_yo_y_cap_floor_helper.html

It is dependant on QL but is a different library. It has its own SWIG so
YoY helper should be available in ORE python. Although I have not used it
myself.

Regards
Ashish

On Wed, Jun 29, 2022, 9:13 PM Diego D'Alessandro <
die...@gm...> wrote:

> 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
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