Caps & Floors

Cap

ql.Cap(floatingLeg, exerciseRates)

schedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(16,6,2022), ql.Period('6M'))
ibor_leg = ql.IborLeg([100], schedule, ql.Euribor6M())
strike = 0.01
cap = ql.Cap(ibor_leg, [strike])

Floor

ql.Floor(floatingLeg, exerciseRates)

schedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(16,6,2022), ql.Period('6M'))
ibor_leg = ql.IborLeg([100], schedule, ql.Euribor6M())
strike = 0.00
floor = ql.Floor(ibor_leg, [strike])

Collar

ql.Collar(floatingLeg, capRates, floorRates)

schedule = ql.MakeSchedule(ql.Date(15,6,2020), ql.Date(16,6,2022), ql.Period('6M'))
ibor_leg = ql.IborLeg([100], schedule, ql.Euribor6M())
capStrike = 0.02
floorStrike = 0.00
collar = ql.Collar(ibor_leg, [capStrike], [floorStrike])