quantlib.experimental.coupons.cms_spread_coupon.CmsSpreadCouponPricer

class CmsSpreadCouponPricer

Bases: FloatingRateCouponPricer

__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)