quantlib.cashflows.linear_tsr_pricer.LinearTsrPricer

class LinearTsrPricer(swaption_vol, Quote mean_reversion, YieldTermStructure coupon_discount_curve=YieldTermStructure(), Settings settings=Settings())

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