Inflation

ZeroCouponInflationSwapHelper

ql.ZeroCouponInflationSwapHelper(quote, period, date, calendar, convention, daycounter, index, observationInterpolation, yieldTermStructure)

import QuantLib as ql

quote = ql.QuoteHandle(ql.SimpleQuote(0.02))
period = ql.Period('6M')
date = ql.Date(15,6,2020)
calendar = ql.TARGET()
convention = ql.ModifiedFollowing
daycounter = ql.Actual360()
index = ql.EUHICPXT(True)

flatForward = ql.FlatForward(ql.Date(15,6,2020), ql.QuoteHandle(ql.SimpleQuote(0.05)), ql.Actual360())
yieldTermStructure = ql.YieldTermStructureHandle(flatForward)

helper = ql.ZeroCouponInflationSwapHelper(quote, period, date, calendar, convention, daycounter, index, ql.CPI.Linear, yieldTermStructure)