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Answering my own question: use qlFloatingRateBond and pass it a range of strikes (one for each coupon) for both Caps and Floors arguments use BondEngine as pricing engine use IborCouponPricer with Type argument equal to "IborByBlack" as coupon pricer - This pricer also takes an OptionletVolatilitySurface as input the OptionletVolatilitySurface can be ...

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