Go to Deriscope's documentation start page

Model[CapFloor]

"Model[CapFloor]" is a special type of Model that represents all modelling assumptions needed in valuation algorithms concerning objects of type CapFloor.
In general, the riskless
Yield Curve found in the supplied market data is used for both calculating the required forward rates and discounting the resulting cash flow payments.
Nevertheless the user is able to specify here an optional
Issuer that identifies the yield curve to be used exclusively for calculating the forward rates associated with the floating leg.
The pricing succeeds by any of 4 different methods listed in
Model[CapFloor]::Pricing Method

The volatility input, apart from flat, may also be
Vol Curve::Vol Input::Maturity-Strike
If the "correct" volatility input is not known, the functions
Tradable::Implied Vol and Vol Curve::Create Implied Vol Table allows the calculation of the volatility implied by any given set of cap/floor prices.
The first function returns the flat vol implied by a single market swaption price.
The second function returns a volatility surface expressed as a 2-dimensional expiry/strike table implied by a set of arbitrary market cap/floor prices.
This may in turn be used as input to the pricing of any other cap/floor that lacks a market price.

The following quantities may be also calculated and reported along the price.
Cash Flows
Set containing detailed information about the cash flows as they conveyed directly from QuantLib.
It holds an object of type
Set where each row corresponds to a cash flow.
Price
The output refers to the price of the referenced tradable contract.
optionletsAtmForward
Additional data returned by QuantLib.
optionletsPrice
Additional data returned by QuantLib.
optionletsStdDev
Additional data returned by QuantLib.
optionletsVega
Additional data returned by QuantLib.
vega
Additional data returned by QuantLib.