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I am trying to value a 4Y Cap with the following characteristics:

  • Index: EURIBOR 6M
  • Payment Frequency: Semi-Annually
  • Fixings Adjustment: Annually

The problem I am facing when using the QuantLib library to value this particular Cap in Python is that the payment frequency and the fixings adjustment are different. I wonder if there is a way to indicate it to the ql.Cap() object.

GooDeeJAY
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Angel Alcaide Rico
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1 Answers1

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I don't think you can indicate that directly into the ql.Cap because the Cap contructor basically just expects an iborLeg and a strike.

You could however build that particular iborleg, ie, half yearly periods but every two periods would have the same fixing date, and then feed that into the cap constructor.

Maybe build the coupons manually with ql.IborCoupon, then feed a list of the coupons into ql.Leg and use that in the ql.Cap constructor.

David Duarte
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