ibor cap floor

financepy.products.rates.ibor_cap_floor

Types

IborCapFloorModelTypes

Enum for the different models that can be used to value cap and floor options.

Members

BLACK = 1

SHIFTED_BLACK = 2

SABR = 3

Class

IborCapFloor

IborCapFloor(
    start_dt: Date,
    maturity_dt_or_tenor: Date | str,
    opt_type: CapFloorTypes,
    strike_rate: float,
    last_fixing: float | None = None,
    freq_type: FrequencyTypes = <FrequencyTypes.QUARTERLY: 4>,
    accrual_dc_type: DayCountTypes = <DayCountTypes.THIRTY_E_360_ISDA: 3>,
    notional: float = 1000000,
    cal_type: CalendarTypes = <CalendarTypes.WEEKEND: 2>,
    bd_type: BusDayAdjustTypes = <BusDayAdjustTypes.FOLLOWING: 2>,
    dg_type: DateGenRuleTypes = <DateGenRuleTypes.BACKWARD: 2>,
) -> None

Class for Caps and Floors. These are contracts which observe a Ibor reset L on a future start date and then make a payoff at the end of the Ibor period which is Max[L-K,0] for a cap and Max[K-L,0] for a floor. This is then day count adjusted for the Ibor period and then scaled by the contract notional to produce a valuation. A number of models can be selected from.

Methods

value


value(
    self,
    value_dt: Date,
    libor_curve: DiscountCurve,
    model: Model,
)

Value the cap or floor using the chosen model which specifies the volatility of the Ibor rate to the cap start date.

value_caplet_floor_let


value_caplet_floor_let(
    self,
    value_dt: Date,
    caplet_start_dt: Date,
    caplet_end_dt: Date,
    libor_curve: DiscountCurve,
    model: Model,
)

Value the caplet or floorlet using a specific model.

print_leg


print_leg(
    self,
)

Prints the cap floor payment amounts.

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