pricing_capfloor | Prices an interest-rate cap, floor or collar on a term index with Black (flat lognormal or shifted vol), Bachelier (normal vol), Hull-White closed form, a short-rate tree or a Gaussian1d (GSR) model. | |
pricing_swaption | Prices a European or Bermudan swaption on a fixed-float swap, bullet or amortizing (physical or cash settled) with Black, Bachelier, Jamshidian on an affine one-factor model, trees on any short-rate model, analytic G2, finite differences (Hull-White, G2), Gaussian1d with a GSR model, or a Markov-functional model. | |
pricing_coupon_leg | Prices a leg of coupons that need an option model: CMS coupons with Hagan or linear-TSR convexity adjustments (also zero-coupon CMS and CMS spreads), overnight coupons compounded or averaged with caps and floors (Black on the overnight optionlet), and multiple-reset coupons. | |
pricing_optionlet_strip | Strips caplet (optionlet) volatilities from flat cap volatilities quoted by tenor and strike (lognormal, shifted or normal): each caplet’s volatility such that every cap reprices. | |
pricing_swaption_vol | Builds a swaption volatility structure from an ATM matrix (option tenor x swap tenor), optionally with smile quotes as a cube (interpolated, SABR-fitted or ZABR-fitted) or shifted by a spread, and reads volatilities at any option tenor, swap tenor and strike. | |
