Add Caplet and Floorlet pricing #41
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- support forward-loking and backward-looking rates - add forward_rate_variance model and path methods - add Black and Bachelier option formulas - add OptionLet payoff - add OptionletCoupon coupon
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Codecov Report
@@ Coverage Diff @@
## main #41 +/- ##
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- Coverage 98.79% 98.78% -0.02%
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Files 51 55 +4
Lines 2412 2551 +139
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+ Hits 2383 2520 +137
- Misses 29 31 +2
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This PR adds methods for Caplet and Floorlet pricing