Ibor Cap Vol Curve Fn
financepy.market.volatility.ibor_cap_vol_curve_fn
Classes
IborCapVolCurveFn
IborCapVolCurveFn(curve_dt: financepy.utils.date.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).
Methods
cap_floorlet_vol
cap_floorlet_vol(self, dt: financepy.utils.date.Date | float) -> float
Return the caplet volatility.
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