Ibor Cap Vol Curve
financepy.market.volatility.ibor_cap_vol_curve
Classes
IborCapVolCurve
IborCapVolCurve(curve_dt: financepy.utils.date.Date, cap_maturity_dts: List[financepy.utils.date.Date], accrual_dc_type: financepy.utils.day_count.DayCountTypes, cap_sigmas: numpy.ndarray) -> None
Class to manage a term structure of cap (flat) volatilities and to
do the conversion to caplet (spot) volatilities. This does not manage a
strike dependency, only a term structure. The cap and caplet volatilies
are keyed off the cap and caplet maturity dates. However this volatility
only applies to the evolution of the Ibor rate out to the caplet start
dates. Note also that this class also handles floor vols.
Methods
generate_caplet_vols
generate_caplet_vols(self) -> None
Bootstrap caplet volatilities from cap volatilities using similar
notation to Hull's book (page 32.11). The first volatility in the
vector of caplet vols is zero.
caplet_vol
caplet_vol(self, dt: Any | float) -> float
Return the forward rate caplet/floorlet volatility for a specific
forward caplet expiry date. The period of the volatility is the
the intercaplet spacing period used when creating the class object.
The volatility interpolation is piecewise flat.
cap_vol
cap_vol(self, dt: Any | float) -> float
Return the cap flat volatility for a specific cap maturity date for
the last caplet/floorlet in the cap/floor. The volatility interpolation
is piecewise flat.
Generated automatically from the FinancePy source code.
Do not edit this file manually.