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‎Docs/UserGuide/parameterisation/pricingengines.tex‎

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@@ -916,6 +916,113 @@ \subsubsection{Product Type: CpiCapFloor}
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\label{lst:peconfig_CpiCapFloor_CpiCapModel_CpiCapEngine}
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\end{longlisting}
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%--------------------------------------------------------
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\subsubsection{Product Type: YYCapFloor}
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%--------------------------------------------------------
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Used by trade type: CapFloor with underlying leg of leg type YoY.
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Available Model/Engine pairs: YYCapModel/YYCapEngine
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Engine description:
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YYCapModel/YYCapEngine builds a YoYInflationBlackCapFloorEngine, YoYInflationUnitDisplacedBlackCapFloorEngine,
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YoYInflationBachelierCapFloorEngine depending on the volatility type of the market surface. A sample configuration is
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shown in listing \ref{lst:peconfig_YYCapFloor_YYCapModel_YYCapEngine}.
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The parameters have the following meaning:
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\begin{itemize}
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\item SensitivityTemplate [optional]: the sensitivity template to use
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\end{itemize}
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\begin{longlisting}
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\begin{minted}[fontsize=\footnotesize]{xml}
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<Product type="CpiCapFloor">
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<Model>YYCapModel</Model>
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<ModelParameters/>
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<Engine>YYCapEngine</Engine>
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<EngineParameters>
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<Parameter name="SensitivityTemplate">IR_Analytical</Parameter>
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</EngineParameters>
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</Product>
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\end{minted}
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\caption{Configuration for Product YYCapFloor, Model YYCapModel, Engine YYCapEngine}
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\label{lst:peconfig_YYCapFloor_YYCapModel_YYCapEngine}
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\end{longlisting}
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%--------------------------------------------------------
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\subsubsection{Product Type: CappedFlooredYYLeg}
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%--------------------------------------------------------
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Used by trade type: any trade with a cap / floored YY leg
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Available Model/Engine pairs: CapFlooredYYModel/CapFlooredYYCouponPricer
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Engine description:
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CapFlooredYYModel/CapFlooredYYCouponPricer builds a BlackYoYInflationCouponPricer,
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UnitDisplacedBlackYoYInflationCouponPricer, BachelierYoYInflationCouponPricer, depending on the volatility input. A
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sample configuration is shown in listing \ref{lst:peconfig_CapFlooredYYLeg_CapFlooredYYModel_CapFlooredYYCouponPricer}
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The parameters have the following meaning:
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\begin{itemize}
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\item SensitivityTemplate [optional]: the sensitivity template to use
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\end{itemize}
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\begin{longlisting}
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\begin{minted}[fontsize=\footnotesize]{xml}
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<Product type="CappedFlooredYYLeg">
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<Model>CapFlooredYYModel</Model>
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<ModelParameters/>
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<Engine>CapFlooredYYCouponPricer</Engine>
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<EngineParameters>
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<Parameter name="SensitivityTemplate">IR_Analytical</Parameter>
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</EngineParameters>
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</Product>
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\end{minted}
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\caption{Configuration for Product CapFlooredYYLeg, Model CapFlooredYYModel, Engine CapFlooredYYCouponPricer}
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\label{lst:peconfig_CapFlooredYYLeg_CapFlooredYYModel_CapFlooredYYCouponPricer}
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\end{longlisting}
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%--------------------------------------------------------
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\subsubsection{Product Type: CappedFlooredNonStdYYLeg}
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%--------------------------------------------------------
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Used by trade type: any trade with a cap / floored YY leg if IrregularYoY is true in YoY leg data
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Available Model/Engine pairs: CapFlooredYNonStdYYModel/CapFlooredNonStdYYCouponPricer
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Engine description:
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CapFlooredYNonStdYYModel/CapFlooredNonStdYYCouponPricer builds a NonStandardBlackYoYInflationCouponPricer,
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NonStandardUnitDisplacedBlackYoYInflationCouponPricer, NonStandardBachelierYoYInflationCouponPricer, depending on the
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volatility input. A sample configuration is shown in listing
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\ref{lst:peconfig_CapFlooredNonStdYYLeg_CapFlooredNonStdYYModel_CapFlooredNonStdYYCouponPricer}
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The parameters have the following meaning:
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\begin{itemize}
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\item SensitivityTemplate [optional]: the sensitivity template to use
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\end{itemize}
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\begin{longlisting}
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\begin{minted}[fontsize=\footnotesize]{xml}
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<Product type="CappedFlooredNonStdYYLeg">
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<Model>CapFlooredNonStdYYModel</Model>
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<ModelParameters/>
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<Engine>CapFlooredNonStdYYCouponPricer</Engine>
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<EngineParameters>
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<Parameter name="SensitivityTemplate">IR_Analytical</Parameter>
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</EngineParameters>
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</Product>
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\end{minted}
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\caption{Configuration for Product CapFlooredNonStdYYLeg, Model CapFlooredNonStdYYModel, Engine
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CapFlooredNonStdYYCouponPricer}
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\label{lst:peconfig_CapFlooredNonStdYYLeg_CapFlooredNonStdYYModel_CapFlooredNonStdYYCouponPricer}
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\end{longlisting}
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%--------------------------------------------------------
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\subsubsection{Product Type: CommodityAsianOptionArithmeticPrice}
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%--------------------------------------------------------

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