## DEPRECATED
from .product import Product
from ..flows.floatingcoupon import FloatingRateLeg
# from ..index.index import Index
# from ..timehandles.tqcalendar import Calendar
# from ..utilities.utils import DayCounterConvention, Position
[docs]
class IrOption(Product):
def __init__(self, leg: FloatingRateLeg, strike: float) -> None:
super().__init__()
self.leg = leg
self.strike = strike
@property
def start_date(self):
pass
@property
def maturity_date(self):
pass
@property
def implied_volatility(self):
"""Black implied vol"""
pass
@property
def atm_rate(self):
pass
@property
def is_expired(self):
pass
[docs]
class Cap(IrOption):
def __init__(self, leg: FloatingRateLeg, strike: float) -> None:
super().__init__(leg, strike)
[docs]
class Floor(IrOption):
def __init__(self, leg: FloatingRateLeg, strike: float) -> None:
super().__init__(leg, strike)
[docs]
class Collar(IrOption):
def __init__(self, leg: FloatingRateLeg, strike: float) -> None:
super().__init__(leg, strike)