com.opengamma.strata.pricer.capfloor

Class NormalIborCapFloorLegPricer

java.lang.Object

com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorLegPricer

com.opengamma.strata.pricer.capfloor.NormalIborCapFloorLegPricer

public class NormalIborCapFloorLegPricer
extends VolatilityIborCapFloorLegPricer

Pricer for cap/floor legs in normal or Bachelier model.

Field Summary

Fields

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

Constructor Summary

Constructors

Constructor and Description
NormalIborCapFloorLegPricer(NormalIborCapletFloorletPeriodPricer periodPricer) Creates an instance.

Method Summary

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

currentCash, forwardRates, getPeriodPricer, impliedVolatilities, presentValue, presentValueCapletFloorletPeriods, presentValueDelta, presentValueGamma, presentValueSensitivityModelParamsVolatility, presentValueSensitivityRates, presentValueTheta, validate

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final NormalIborCapFloorLegPricer DEFAULT

Default implementation.

Constructor Detail

NormalIborCapFloorLegPricer

public NormalIborCapFloorLegPricer(NormalIborCapletFloorletPeriodPricer periodPricer)

Creates an instance.

Parameters:

periodPricer - the pricer for IborCapletFloorletPeriod.