Module capfloor 

A capFloor, a fra and a bulletPayment.

A cap or floor is read on the coupons of its own capFloorStream, so the options share every fixing, accrual and payment date the stream states. A strike schedule that steps is one strip per run of equal strike, and a collar is its cap and its floor, bought and sold.

Functions

read_bullet 🔒

Reads a bulletPayment: its one payment as a dated amount on our side.

read_cap_floor 🔒

Reads a capFloor: one strip per run of equal strike for each of its cap and floor schedules, then its premiums and additional payments as fees.

read_fra 🔒

Reads a fra: an FRA on its index from its adjusted dates, fixing the stated offset before its effective date, on the buyer’s side.

unsupported 🔒