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Implement cap/floor pricers. #21

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avhz opened this issue May 21, 2023 · 0 comments

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avhz commented May 21, 2023

Caps/floors are a series of caplets/floorlets (basically call/put options) on something like an interest rate or inflation rate.

Pricing is discussed in detail in Interest Rate Models by Brigo and Mercurio.

avhz added the enhancement label

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