com.opengamma.strata.pricer.capfloor

Class BlackIborCapletFloorletPeriodPricer

java.lang.Object

com.opengamma.strata.pricer.capfloor.VolatilityIborCapletFloorletPeriodPricer

com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletPeriodPricer

public class BlackIborCapletFloorletPeriodPricer
extends VolatilityIborCapletFloorletPeriodPricer

Pricer for caplet/floorlet in a log-normal or Black model.

The value of the caplet/floorlet after expiry is a fixed payoff amount. The value is zero if valuation date is after payment date of the caplet/floorlet.

Field Summary

Fields

Modifier and Type	Field and Description
static BlackIborCapletFloorletPeriodPricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
BlackIborCapletFloorletPeriodPricer()

Method Summary

Modifier and Type	Method and Description
protected void	validate(IborCapletFloorletVolatilities volatilities) Validate the volatilities provider.

Methods inherited from class com.opengamma.strata.pricer.capfloor.VolatilityIborCapletFloorletPeriodPricer

forwardRate, impliedVolatility, presentValue, presentValueDelta, presentValueGamma, presentValueSensitivityModelParamsVolatility, presentValueSensitivityRates, presentValueTheta

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final BlackIborCapletFloorletPeriodPricer DEFAULT

Default implementation.

Constructor Detail

BlackIborCapletFloorletPeriodPricer

public BlackIborCapletFloorletPeriodPricer()

Method Detail

validate

protected void validate(IborCapletFloorletVolatilities volatilities)

Description copied from class: VolatilityIborCapletFloorletPeriodPricer

Validate the volatilities provider.

This validate method should be overridden such that a correct implementation of IborCapletFloorletVolatilities is used for pricing.

Overrides:

validate in class VolatilityIborCapletFloorletPeriodPricer

Parameters:

volatilities - the volatilities