Class NormalIborCapletFloorletPeriodPricer


  • public class NormalIborCapletFloorletPeriodPricer
    extends VolatilityIborCapletFloorletPeriodPricer
    Pricer for caplet/floorlet in a normal or Bachelier model.

    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.