quantlib.cashflows.coupon_pricer.

BlackIborCouponPricer

class BlackIborCouponPricer(OptionletVolatilityStructure ovs=OptionletVolatilityStructure(), TimingAdjustment timing_adjustment=Black76, Quote correlation=SimpleQuote(1.))

Bases: IborCouponPricer

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)