Ibor Cap Floor
financepy.products.rates.ibor_cap_floor
Classes
IborCapFloor
IborCapFloor(start_dt: financepy.utils.date.Date, maturity_dt_or_tenor: financepy.utils.date.Date | str, opt_type: financepy.utils.global_types.CapFloorTypes, strike_rate: float, last_fixing: float | None = None, freq_type: financepy.utils.frequency.FrequencyTypes = <FrequencyTypes.QUARTERLY: 4>, accrual_dc_type: financepy.utils.day_count.DayCountTypes = <DayCountTypes.THIRTY_E_360_ISDA: 3>, notional: float = 1000000, cal_type: financepy.utils.calendar.CalendarTypes = <CalendarTypes.WEEKEND: 2>, bd_type: financepy.utils.calendar.BusDayAdjustTypes = <BusDayAdjustTypes.FOLLOWING: 2>, dg_type: financepy.utils.calendar.DateGenRuleTypes = <DateGenRuleTypes.BACKWARD: 2>)
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, libor_curve, 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, caplet_start_dt, caplet_end_dt, libor_curve, model)
Value the caplet or floorlet using a specific model.
print_leg
print_leg(self)
Prints the cap floor payment amounts.
IborCapFloorModelTypes
IborCapFloorModelTypes(*values)
Inherits from: Enum
Enum for the different models that can be used to value
cap and floor options.
Generated automatically from the FinancePy source code.
Do not edit this file manually.