quantlib.experimental.coupons.lognormal_cmsspread_pricer.LognormalCmsSpreadPricer

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

Bases: CmsSpreadCouponPricer

__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)