com.opengamma.strata.pricer.capfloor

Interface IborCapletFloorletVolatilityDefinition

All Known Implementing Classes:

DirectIborCapletFloorletFlatVolatilityDefinition, DirectIborCapletFloorletVolatilityDefinition, SabrIborCapletFloorletVolatilityBootstrapDefinition, SabrIborCapletFloorletVolatilityCalibrationDefinition, SurfaceIborCapletFloorletVolatilityBootstrapDefinition

public interface IborCapletFloorletVolatilityDefinition

Definition of caplet volatilities calibration.

Method Summary

Modifier and Type	Method and Description
default IborCapFloorLeg	createCap(LocalDate startDate, LocalDate endDate, double strike) Creates a standard cap from start date, end date and strike.
SurfaceMetadata	createMetadata(RawOptionData capFloorData) Creates surface metadata.
DayCount	getDayCount() Gets the day count to use.
IborIndex	getIndex() Gets the Ibor index for which the data is valid.
IborCapletFloorletVolatilitiesName	getName() Gets the name of these volatilities.

Method Detail

getName

IborCapletFloorletVolatilitiesName getName()

Gets the name of these volatilities.

Returns:

the name

getIndex

IborIndex getIndex()

Gets the Ibor index for which the data is valid.

Returns:

the Ibor index

getDayCount

DayCount getDayCount()

Gets the day count to use.

Returns:

the day count

createMetadata

SurfaceMetadata createMetadata(RawOptionData capFloorData)

Creates surface metadata.

Parameters:

capFloorData - the cap/floor data

Returns:

the surface metadata

createCap

default IborCapFloorLeg createCap(LocalDate startDate,
                                  LocalDate endDate,
                                  double strike)

Creates a standard cap from start date, end date and strike.

Parameters:

startDate - the start date

endDate - the end date

strike - the strike

Returns:

the cap