Uses of Interface
com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities

Packages that use IborCapletFloorletVolatilities

Package	Description
com.opengamma.strata.pricer.capfloor	Calculators for Ibor cap-floor.

Uses of IborCapletFloorletVolatilities in com.opengamma.strata.pricer.capfloor

Subinterfaces of IborCapletFloorletVolatilities in com.opengamma.strata.pricer.capfloor

Modifier and Type	Interface and Description
interface	BlackIborCapletFloorletVolatilities Volatility for Ibor caplet/floorlet in the log-normal or Black model.
interface	BlackSabrIborCapletFloorletVolatilities Volatility for Ibor caplet/floorlet in SABR model.
interface	NormalIborCapletFloorletVolatilities Volatility for Ibor caplet/floorlet in the normal or Bachelier model.
interface	NormalSabrIborCapletFloorletVolatilities Volatility for Ibor/Overnight caplet/floorlet in SABR model.
interface	SabrIborCapletFloorletVolatilities Volatility for Ibor caplet/floorlet in SABR model.

Classes in com.opengamma.strata.pricer.capfloor that implement IborCapletFloorletVolatilities

Modifier and Type	Class and Description
class	BlackIborCapletFloorletExpiryFlatVolatilities Volatility for Ibor caplet/floorlet in the log-normal or Black model based on a curve.
class	BlackIborCapletFloorletExpiryStrikeVolatilities Volatility for Ibor caplet/floorlet in the log-normal or Black model based on a surface.
class	NormalIborCapletFloorletExpiryFlatVolatilities Volatility for Ibor caplet/floorlet in the normal or Bachelier model based on a curve.
class	NormalIborCapletFloorletExpiryStrikeVolatilities Volatility for Ibor caplet/floorlet in the normal or Bachelier model based on a surface.
class	NormalSabrParametersIborCapletFloorletVolatilities Volatility environment for caplet/floorlet in the SABR model.
class	SabrParametersIborCapletFloorletVolatilities Volatility environment for Ibor caplet/floorlet in the SABR model.
class	ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities Volatility for Ibor caplet/floorlet in the shifted log-normal or shifted Black model based on a surface.

Methods in com.opengamma.strata.pricer.capfloor that return IborCapletFloorletVolatilities

Modifier and Type	Method and Description
IborCapletFloorletVolatilities	IborCapletFloorletVolatilityCalibrationResult.getVolatilities() Gets the caplet volatilities.
IborCapletFloorletVolatilities	IborCapletFloorletVolatilities.withParameter(int parameterIndex, double newValue)
IborCapletFloorletVolatilities	IborCapletFloorletVolatilities.withPerturbation(ParameterPerturbation perturbation)

Methods in com.opengamma.strata.pricer.capfloor that return types with arguments of type IborCapletFloorletVolatilities

Modifier and Type	Method and Description
MarketDataName<IborCapletFloorletVolatilities>	IborCapletFloorletVolatilitiesId.getMarketDataName()
Class<IborCapletFloorletVolatilities>	IborCapletFloorletVolatilitiesName.getMarketDataType()
Class<IborCapletFloorletVolatilities>	IborCapletFloorletVolatilitiesId.getMarketDataType()
org.joda.beans.MetaProperty<IborCapletFloorletVolatilities>	IborCapletFloorletVolatilityCalibrationResult.Meta.volatilities() The meta-property for the volatilities property.

Methods in com.opengamma.strata.pricer.capfloor with parameters of type IborCapletFloorletVolatilities

Modifier and Type	Method and Description
MultiCurrencyAmount	VolatilityIborCapFloorProductPricer.currencyExposure(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the currency exposure of the Ibor cap/floor product.
MultiCurrencyAmount	VolatilityIborCapFloorTradePricer.currencyExposure(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the currency exposure of the Ibor cap/floor trade.
CurrencyAmount	VolatilityIborCapFloorLegPricer.currentCash(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the current cash of the Ibor cap/floor leg.
MultiCurrencyAmount	VolatilityIborCapFloorProductPricer.currentCash(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the current cash of the Ibor cap/floor product.
MultiCurrencyAmount	VolatilityIborCapFloorTradePricer.currentCash(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the current cash of the Ibor cap/floor trade.
IborCapletFloorletPeriodAmounts	VolatilityIborCapFloorLegPricer.impliedVolatilities(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the implied volatilities for each caplet/floorlet of the Ibor cap/floor leg.
IborCapletFloorletPeriodAmounts	VolatilityIborCapFloorProductPricer.impliedVolatilities(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the implied volatilities for each caplet/floorlet of the Ibor cap/floor.
IborCapletFloorletPeriodAmounts	VolatilityIborCapFloorTradePricer.impliedVolatilities(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the implied volatilities for each caplet/floorlet of the Ibor cap/floor trade.
double	VolatilityIborCapletFloorletPeriodPricer.impliedVolatility(IborCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Computes the implied volatility of the Ibor caplet/floorlet.
static IborCapletFloorletVolatilityCalibrationResult	IborCapletFloorletVolatilityCalibrationResult.ofLeastSquare(IborCapletFloorletVolatilities volatilities, double chiSquare) Obtains an instance of least square result.
static IborCapletFloorletVolatilityCalibrationResult	IborCapletFloorletVolatilityCalibrationResult.ofRootFind(IborCapletFloorletVolatilities volatilities) Obtains an instance of root-finding result.
CurrencyAmount	VerticalSpreadVolatilityIborCapletFloorletBinaryPeriodPricer.presentValue(IborCapletFloorletBinaryPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value of the binary caplet/floorlet period.
CurrencyAmount	VolatilityIborCapletFloorletPeriodPricer.presentValue(IborCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value of the Ibor caplet/floorlet period.
CurrencyAmount	VolatilityOvernightInArrearsCapletFloorletPeriodPricer.presentValue(OvernightInArrearsCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value of the overnight in-arrears caplet/floorlet period.
CurrencyAmount	VolatilityIborCapFloorLegPricer.presentValue(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value of the Ibor cap/floor leg.
MultiCurrencyAmount	VolatilityIborCapFloorProductPricer.presentValue(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value of the Ibor cap/floor product.
MultiCurrencyAmount	VolatilityIborCapFloorTradePricer.presentValue(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value of the Ibor cap/floor trade.
IborCapletFloorletPeriodCurrencyAmounts	VolatilityIborCapFloorLegPricer.presentValueCapletFloorletPeriods(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value for each caplet/floorlet of the Ibor cap/floor leg.
IborCapletFloorletPeriodCurrencyAmounts	VolatilityIborCapFloorProductPricer.presentValueCapletFloorletPeriods(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value for each caplet/floorlet of the Ibor cap/floor product.
IborCapletFloorletPeriodCurrencyAmounts	VolatilityIborCapFloorTradePricer.presentValueCapletFloorletPeriods(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value for each caplet/floorlet of the Ibor cap/floor trade.
CurrencyAmount	VolatilityIborCapletFloorletPeriodPricer.presentValueDelta(IborCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value delta of the Ibor caplet/floorlet period.
CurrencyAmount	VolatilityIborCapFloorLegPricer.presentValueDelta(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value delta of the Ibor cap/floor leg.
MultiCurrencyAmount	VolatilityIborCapFloorProductPricer.presentValueDelta(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value delta of the Ibor cap/floor product.
CurrencyAmount	VolatilityIborCapletFloorletPeriodPricer.presentValueGamma(IborCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value gamma of the Ibor caplet/floorlet period.
CurrencyAmount	VolatilityIborCapFloorLegPricer.presentValueGamma(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value gamma of the Ibor cap/floor leg.
MultiCurrencyAmount	VolatilityIborCapFloorProductPricer.presentValueGamma(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value gamma of the Ibor cap/floor product.
PointSensitivityBuilder	VerticalSpreadVolatilityIborCapletFloorletBinaryPeriodPricer.presentValueSensitivityModelParamsVolatility(IborCapletFloorletBinaryPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value sensitivity to model parameters of the binary caplet/floorlet period.
PointSensitivityBuilder	VolatilityIborCapletFloorletPeriodPricer.presentValueSensitivityModelParamsVolatility(IborCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value volatility sensitivity of the Ibor caplet/floorlet.
PointSensitivityBuilder	VolatilityOvernightInArrearsCapletFloorletPeriodPricer.presentValueSensitivityModelParamsVolatility(OvernightInArrearsCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Computes the present value sensitivity to the volatilities.
PointSensitivityBuilder	VolatilityIborCapFloorLegPricer.presentValueSensitivityModelParamsVolatility(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value volatility sensitivity of the Ibor cap/floor leg.
PointSensitivityBuilder	VolatilityIborCapFloorProductPricer.presentValueSensitivityModelParamsVolatility(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value volatility sensitivity of the Ibor cap/floor product.
PointSensitivityBuilder	VolatilityIborCapFloorTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value volatility sensitivity of the Ibor cap/floor product.
PointSensitivityBuilder	VolatilityIborCapletFloorletPeriodPricer.presentValueSensitivityRates(IborCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value rates sensitivity of the Ibor caplet/floorlet.
PointSensitivityBuilder	VolatilityIborCapFloorLegPricer.presentValueSensitivityRates(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value rates sensitivity of the Ibor cap/floor leg.
PointSensitivityBuilder	VolatilityIborCapFloorProductPricer.presentValueSensitivityRates(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value rates sensitivity of the Ibor cap/floor product.
PointSensitivities	VolatilityIborCapFloorTradePricer.presentValueSensitivityRates(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value rates sensitivity of the Ibor cap/floor trade.
PointSensitivityBuilder	VerticalSpreadVolatilityIborCapletFloorletBinaryPeriodPricer.presentValueSensitivityRatesStickyStrike(IborCapletFloorletBinaryPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value rates sensitivity of the binary caplet/floorlet period.
PointSensitivityBuilder	VolatilityOvernightInArrearsCapletFloorletPeriodPricer.presentValueSensitivityRatesStickyStrike(OvernightInArrearsCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Computes the present value sensitivity to the rate with a volatility "sticky strike".
CurrencyAmount	VolatilityIborCapletFloorletPeriodPricer.presentValueTheta(IborCapletFloorletPeriod period, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value theta of the Ibor caplet/floorlet period.
CurrencyAmount	VolatilityIborCapFloorLegPricer.presentValueTheta(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value theta of the Ibor cap/floor leg.
MultiCurrencyAmount	VolatilityIborCapFloorProductPricer.presentValueTheta(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities) Calculates the present value theta of the Ibor cap/floor product.
protected void	VolatilityIborCapletFloorletPeriodPricer.validate(IborCapletFloorletVolatilities volatilities) Validate the volatilities provider.
protected void	SabrIborCapletFloorletPeriodPricer.validate(IborCapletFloorletVolatilities volatilities)
protected void	NormalIborCapletFloorletPeriodPricer.validate(IborCapletFloorletVolatilities volatilities)
protected void	BlackIborCapletFloorletPeriodPricer.validate(IborCapletFloorletVolatilities volatilities)
protected void	VolatilityIborCapFloorLegPricer.validate(RatesProvider ratesProvider, IborCapletFloorletVolatilities volatilities)