ibor cap vol curve fn

financepy.market.volatility.ibor_cap_vol_curve_fn

Class

IborCapVolCurveFn(
    curve_dt: Date,
    a: float,
    b: float,
    c: float,
    d: float,
) -> None

Class to manage a term structure of caplet volatilities using the parametric form suggested by Rebonato (1999).


cap_floorlet_vol(
    self,
    dt: Date | float,
) -> float

Return the caplet volatility.

Generated automatically from the FinancePy source code. Do not edit this file manually.