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
- Attributes:
- swaption_volatility
Methods
caplet_price
(self, Rate effective_cap)caplet_rate
(self, Rate effective_cap)floorlet_price
(self, Rate effective_floor)floorlet_rate
(self, Rate effective_floor)initialize
(self, FloatingRateCoupon coupon)swaplet_price
(self)swaplet_rate
(self)