quantlib.cashflows.coupon_pricer.BlackIborCouponPricer

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

Bases: IborCouponPricer

__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)