com.opengamma.strata.pricer.capfloor

Interface BlackSabrIborCapletFloorletVolatilities

All Superinterfaces:

IborCapletFloorletVolatilities, MarketDataView, ParameterizedData, SabrIborCapletFloorletVolatilities

All Known Implementing Classes:

SabrParametersIborCapletFloorletVolatilities

public interface BlackSabrIborCapletFloorletVolatilities
extends SabrIborCapletFloorletVolatilities

Volatility for Ibor caplet/floorlet in SABR model.

The volatility is represented in terms of SABR model parameters.

The prices are calculated using the SABR implied volatility with respect to Black formula.

Method Summary

Modifier and Type	Method and Description
default ValueType	getVolatilityType() Gets the type of volatility returned by the IborCapletFloorletVolatilities.volatility(java.time.ZonedDateTime, double, double) method.

Methods inherited from interface com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilities

alpha, beta, nu, rho, shift, volatilityAdjoint, withParameter, withPerturbation

Methods inherited from interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities

getIndex, getName, getValuationDate, getValuationDateTime, parameterSensitivity, parameterSensitivity, price, priceDelta, priceGamma, priceTheta, priceVega, relativeTime, volatility, volatility

Methods inherited from interface com.opengamma.strata.market.MarketDataView

findData

Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData

findParameterIndex, getParameter, getParameterCount, getParameterMetadata

Method Detail

getVolatilityType

default ValueType getVolatilityType()

Description copied from interface: IborCapletFloorletVolatilities

Gets the type of volatility returned by the IborCapletFloorletVolatilities.volatility(java.time.ZonedDateTime, double, double) method.

Specified by:

getVolatilityType in interface IborCapletFloorletVolatilities

Returns:

the type