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

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

Hi Ashish,

Thanks for your reply.

I am still interested in using QuantLib to price YoYIIS cap and floors tho.
The solution that I have adopted is to create a ql.IborIndex() with the
zero rates extrapolated from the ZCIIS quotes.

Following the example on the QuantLib cookbook for interest rate caps and
floors, I am replicating the following term structure:

term_structure = ql.ZeroCurve(dates, yields, day_count, calendar,
interpolation, compounding, compounding_frequency)

where 'yields' is a list of the zero rates extrapolated from the
'ql.PiecewiseZeroInflation()' curve, bootstrapped from the ZCIIS rates,
with the method '.zeroRate()'; àdatesà is simply a list with the curve
nodes.

The rest of my script follows the example and I will validate the implied
vol that I get from my model.

I would appreciate your thoughts on the above solution.

Best regards,
Diego
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On Wed, Jun 29, 2022 at 6:20 PM Ashish Bansal <ash...@gm...>
wrote:

> 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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>> https://lists.sourceforge.net/lists/listinfo/quantlib-users
>>
>
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