Module cap_floor 

An interest-rate cap or floor: a strip of options on a term index’s coupons.

Each floating coupon of the strip is an option on its own forward — a caplet is a call on the rate, a floorlet a put — and the strip is worth their sum. The coupon may reset on a term index, fixing at its start, or compound an overnight index’s daily prints, in which case its rate is not known until the period ends and the option is priced accordingly. The coupons are the index’s own, generated by the index’s tenor, calendar and day count exactly as a floating-rate note’s are, so a cap and a note on one index see one schedule. What the strip pays is not its coupons, so it hands out no leg.

Structs

InterestRateCapFloor

A strip of caplets or floorlets on a registered term index.

Enums

CapFloorError

A cap or floor that cannot be built.

CapFloorKind

Whether the strip is a cap or a floor.

Functions

tenor_in_years 🔒

An index tenor as the year fraction the vol surface’s tenor axis is measured in: months over twelve, days over 365.