CapFloor

class quantsupport.instruments.CapFloor(identifier: str, start_date: Date | str | datetime.date, maturity_date: Date | str | datetime.date, strike: float | Mapping[str, Any] | str, notional: float, currency: Currency | str, market_index: MarketIndex | str | Mapping[str, Any], cap_floor_type: CapFloorType | str, frequency: Frequency | str | None = ...)

Bases: Instrument An interest-rate cap or floor.

Parameters:

  • identifier (str) – Product identifier for the strip of interest-rate optionlets.

  • start_date (Date or datetime.date or str) – Start of the first covered accrual period; ISO strings are accepted.

  • maturity_date (Date or datetime.date or str) – End of the last covered accrual period.

  • strike (float) – Numeric annual decimal cap/floor rate, for example 0.04 for 4%. This wrapper does not accept ATM strings or tagged Strike dictionaries.

  • notional (float) – Covered principal in currency; Trade may override the amount.

  • currency (Currency or str) – Optionlet payment currency enum or alphabetic code.

  • market_index (MarketIndex or str) – Floating reference index for the covered periods, or native index representation.

  • cap_floor_type (CapFloorType or str) – Cap for upside rate protection or Floor for downside protection, supplied as an enum or case-insensitive name.

  • frequency (Frequency or str, optional) – Optionlet/accrual interval; default None resolves to Quarterly.

Source declaration

Methods

__getitem__(key: str, /) → Any
classmethod from_dict(obj: Mapping[str, Any]) → Self

Builds a product using the same fields and defaults as its constructor.

Parameters:

obj (Mapping[str, Any]) – CapFloor constructor keywords: identifier, start_date, maturity_date, numeric annual decimal strike, notional, currency, market_index, cap_floor_type, and optional frequency. Direction is Cap or Floor; omitted frequency follows the constructor default.

Returns:

Cap/floor strip constructed through cls, preserving subclasses.

Return type:

Self

keys() → list[str]
Return serialized field names; supports dict(obj).
to_dict() → dict[str, Any]
Return JSON-compatible fields as a dictionary.

Properties

property cap_floor_type: CapFloorType

Read-only contractual cap_floor_type. Collections are returned as copies.

property currency: quantsupport.market.Currency

Read-only contractual currency. Collections are returned as copies.

property frequency: quantsupport.time.Frequency

Read-only contractual frequency. Collections are returned as copies.

property identifier: str

Read-only identifier assigned to this instrument.

property market_index: quantsupport.market.MarketIndex

Read-only contractual market_index. Collections are returned as copies.

property maturity_date: quantsupport.time.Date

Read-only contractual maturity_date. Collections are returned as copies.

property notional: float

Read-only contractual notional. Collections are returned as copies.

property start_date: quantsupport.time.Date

Read-only contractual start_date. Collections are returned as copies.

property strike: float

Read-only contractual strike. Collections are returned as copies.