quantlib.cashflows.linear_tsr_pricer.

LinearTsrPricer

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

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)