Class VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer


  • public class VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer
    extends Object
    Pricer for binary caplet/floorlet based on volatilities.

    The pricing methodologies is based on 'call spread' approach.

    The value of the caplet/floorlet after expiry is a fixed payoff amount. The value is zero if valuation date is after payment date of the caplet/floorlet.