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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.
CashFlows
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 #Notional shows the notional that is relevant for determining the respective cash flow, which is the notional at the beginning of the accrual period.
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 #AdjIndex shows the adjusted index fixing, which equals the sum of the forecasted (forward) index plus a potential convexity adjustment that arises if the index is either non-ibor or sets in arrears.
The column titled #Leg contains the index of the leg that contains the respective cash flow, where 1 stands for the first leg.
The column titled #InLegCF contains the index of the respective cash flow within the containing leg, where 1 stands for the first cash flow in that leg.
Price
The output refers to the price of the referenced tradable contract.
optionletsAtmForward
Additional data returned by QuantLib.
optionletsPrice
Additional data returned by QuantLib.
optionletsStdDev
Additional data returned by QuantLib.
optionletsVega
Additional data returned by QuantLib.
vega
Additional data returned by QuantLib.