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Pricers for overnight in-arrears cap/floor. #2410

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marc-henrard merged 3 commits intomainfrom
topic/cap-oisia
Jan 17, 2022
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Pricers for overnight in-arrears cap/floor. #2410
marc-henrard merged 3 commits intomainfrom
topic/cap-oisia

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Pricers for caplet/floorlet period on in-arrears overnight rates (Asian type).
Pricer for SABR data and volatility based data.

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@ChristianOG ChristianOG left a comment

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Couldn't find anything serious issues. A few comments.

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@ChristianOG ChristianOG left a comment

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Couldn't find anything serious issues. A few comments.

@marc-henrard marc-henrard merged commit a7d9f20 into main Jan 17, 2022
@delete-merged-branch delete-merged-branch bot deleted the topic/cap-oisia branch January 17, 2022 15:52
@jodastephen jodastephen added this to the v2.12 milestone May 9, 2022
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4 participants