Model[CapFloor]__Pricing_Method

Available

<wb>Bachelier</wb>

Minimum required license:

Assumes that the underlying forward rate

Concretely

The QuantLib engine used is the BachelierCapFloor in the interest rate case and the YoYInflationBachelierCapFloor in the inflation case.

<wb>Black</wb>

Assumes that the underlying forward rate

Concretely

The QuantLib engine used is the BlackCapFloor in the interest rate case and the YoYInflationBlackCapFloor in the inflation case.

<wb>Black Displaced</wb>

Minimum required license:

Assumes that the underlying forward rate

Concretely

It follows that a positive

Note this model reduses to the

The QuantLib engine used is the BlackCapFloor with a non-trivial displacement amount in the interest rate case and the YoYInflationUnitDisplacedBlackCapFloor in the inflation case.