cmq_rate_option.py 文件源码

 复制代码def __init__(self, today, proj, disc, factory, vols, mode):
        self.proj = proj
        self.disc = disc
        self.factory = factory
        self.today = today
        self.spotdate = factory.roll_date(today, 'spot') # also for marking startdate of hw vol term structure         
        self.surface = interp2d(vols.columns, vols.index, vols.values, kind='linear')
        self.mode = 'capfloor'    

        class Caplet(BlackLognormalModel if mode == 'lognormal' else BlackNormalModel):
            def __init__(self, libor, forward, blackvol, opt_term, annuity):
                self.underlier = libor 
                super(Caplet, self).__init__(forward, blackvol, opt_term, annuity)
        self.Caplet = Caplet