Model[CapFloor]

"Model[CapFloor]" is a special type of Model that represents all modelling assumptions needed in valuation algorithms concerning objects of type CapFloor.In general, the riskless Yield Curve found in the supplied market data is used for both calculating the required forward rates and discounting the resulting cash flow payments.

Nevertheless the user is able to specify here an optional Issuer that identifies the yield curve to be used exclusively for calculating the forward rates associated with the floating leg.

The pricing succeeds by any of 3 different methods listed in Model[CapFloor]::Pricing Method

The volatility input, apart from flat, may also be Vol Curve::Vol Input::Maturity-Strike

If the "correct" volatility input is not known, the functions Tradable::Implied Vol and Vol Curve::Create Implied Vol Table allows the calculation of the volatility implied by any given set of cap/floor prices.

The first function returns the flat vol implied by a single market swaption price.

The second function returns a volatility surface expressed as a 2-dimensional expiry/strike table implied by a set of arbitrary market cap/floor prices.

This may in turn be used as input to the pricing of any other cap/floor that lacks a market price.

The following quantities may be also calculated and reported along the price.

All cash flows displayed in chronological order as a table with a maximum of 18 columns.

The column titles indicate the meaning of the respective data.

In particular:

The column titled

In the special case of fx reset, this will be the converted domestic notional that arises after the fixed foreign notional is multiplied with the spot fx rate observed at the beginning of the accrual period.

The column titled

The column titled

The column titled

The output refers to the price of the referenced tradable contract.

Additional data returned by QuantLib.

Additional data returned by QuantLib.

Additional data returned by QuantLib.

Additional data returned by QuantLib.

Additional data returned by QuantLib.