quantlib.cashflows.conundrum_pricer.NumericHaganPricer

class NumericHaganPricer(swaption_vol, YieldCurveModel yieldcurve_model, Quote mean_reversion, Rate lower_limit=0., Rate upper_limit=1., Real precision=1e-6)

Bases: CmsCouponPricer

__init__(*args, **kwargs)

Methods

__init__(*args, **kwargs)
caplet_price(self, Rate effective_cap)
caplet_rate(self, Rate effective_cap)
floorlet_price(self, Rate effective_floor)
floorlet_rate(self, Rate effective_floor)
swaplet_price(self)
swaplet_rate(self)

Attributes

swaption_volatility