quantlib.experimental.coupons.lognormal_cmsspread_pricer.

LognormalCmsSpreadPricer

class LognormalCmsSpreadPricer(CmsCouponPricer cms_pricer, Quote correlation, HandleYieldTermStructure coupon_discount_curve=HandleYieldTermStructure(), Size integration_points=16, vol_type=None, Real shift1=Null[Real](), Real shift2=Null[Real]())

Bases: CmsSpreadCouponPricer

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)