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)