Uses of Class
com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities

Packages that use SabrParametersIborCapletFloorletVolatilities

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

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

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

Modifier and Type	Method and Description
SabrParametersIborCapletFloorletVolatilities	SabrParametersIborCapletFloorletVolatilities.Builder.build()
static SabrParametersIborCapletFloorletVolatilities	SabrParametersIborCapletFloorletVolatilities.of(IborCapletFloorletVolatilitiesName name, IborIndex index, ZonedDateTime valuationDateTime, SabrParameters parameters) Obtains an instance from the SABR model parameters and the date-time for which it is valid.
SabrParametersIborCapletFloorletVolatilities	SabrParametersIborCapletFloorletVolatilities.withParameter(int parameterIndex, double newValue)
SabrParametersIborCapletFloorletVolatilities	SabrParametersIborCapletFloorletVolatilities.withPerturbation(ParameterPerturbation perturbation)

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

Modifier and Type	Method and Description
Class<? extends SabrParametersIborCapletFloorletVolatilities>	SabrParametersIborCapletFloorletVolatilities.Meta.beanType()

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

Modifier and Type	Method and Description
CurrencyAmount	VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer.presentValue(OvernightInArrearsCapletFloorletBinaryPeriod period, RatesProvider ratesProvider, SabrParametersIborCapletFloorletVolatilities sabrVolatilities) Calculates the present value of the binary caplet/floorlet period.
CurrencyAmount	SabrOvernightInArrearsCapletFloorletPeriodPricer.presentValue(OvernightInArrearsCapletFloorletPeriod period, RatesProvider ratesProvider, SabrParametersIborCapletFloorletVolatilities sabrVolatilities) Computes the present value in the SABR model with effective parameters.
PointSensitivityBuilder	VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer.presentValueSensitivityModelParamsSabr(OvernightInArrearsCapletFloorletBinaryPeriod period, RatesProvider ratesProvider, SabrParametersIborCapletFloorletVolatilities sabrVolatilities) Calculates the present value sensitivity to model parameters of the binary caplet/floorlet period.
PointSensitivityBuilder	SabrOvernightInArrearsCapletFloorletPeriodPricer.presentValueSensitivityModelParamsSabr(OvernightInArrearsCapletFloorletPeriod period, RatesProvider ratesProvider, SabrParametersIborCapletFloorletVolatilities sabrVolatilities) Computes the present value sensitivity to the SABR model parameters.
PointSensitivityBuilder	VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer.presentValueSensitivityRatesStickyModel(OvernightInArrearsCapletFloorletBinaryPeriod period, RatesProvider ratesProvider, SabrParametersIborCapletFloorletVolatilities sabrVolatilities) Calculates the present value rates sensitivity of the binary caplet/floorlet period.
PointSensitivityBuilder	SabrOvernightInArrearsCapletFloorletPeriodPricer.presentValueSensitivityRatesStickyModel(OvernightInArrearsCapletFloorletPeriod period, RatesProvider ratesProvider, SabrParametersIborCapletFloorletVolatilities sabrVolatilities) Computes the present value sensitivity to the rate with "sticky SABR model parameters".