Package com.opengamma.strata.pricer.capfloor

Calculators for Ibor cap-floor.

See: Description

Interface Summary

Interface	Description
BlackIborCapletFloorletVolatilities	Volatility for Ibor caplet/floorlet in the log-normal or Black model.
BlackSabrIborCapletFloorletVolatilities	Volatility for Ibor caplet/floorlet in SABR model.
IborCapletFloorletVolatilities	Volatilities for pricing Ibor caplet/floorlet.
IborCapletFloorletVolatilityDefinition	Definition of caplet volatilities calibration.
NormalIborCapletFloorletVolatilities	Volatility for Ibor caplet/floorlet in the normal or Bachelier model.
NormalSabrIborCapletFloorletVolatilities	Volatility for Ibor/Overnight caplet/floorlet in SABR model.
SabrIborCapletFloorletVolatilities	Volatility for Ibor caplet/floorlet in SABR model.

Class Summary

Class	Description
BlackIborCapFloorLegPricer	Pricer for cap/floor legs in log-normal or Black model.
BlackIborCapFloorProductPricer	Pricer for cap/floor products in log-normal or Black model.
BlackIborCapFloorTradePricer	Pricer for cap/floor trades in log-normal or Black model.
BlackIborCapletFloorletExpiryFlatVolatilities	Volatility for Ibor caplet/floorlet in the log-normal or Black model based on a curve.
BlackIborCapletFloorletExpiryFlatVolatilities.Meta	The meta-bean for BlackIborCapletFloorletExpiryFlatVolatilities.
BlackIborCapletFloorletExpiryStrikeVolatilities	Volatility for Ibor caplet/floorlet in the log-normal or Black model based on a surface.
BlackIborCapletFloorletExpiryStrikeVolatilities.Meta	The meta-bean for BlackIborCapletFloorletExpiryStrikeVolatilities.
BlackIborCapletFloorletPeriodPricer	Pricer for caplet/floorlet in a log-normal or Black model.
DirectIborCapletFloorletFlatVolatilityCalibrator	Caplet volatilities calibration to cap volatilities.
DirectIborCapletFloorletFlatVolatilityDefinition	Definition of caplet volatilities calibration.
DirectIborCapletFloorletFlatVolatilityDefinition.Builder	The bean-builder for DirectIborCapletFloorletFlatVolatilityDefinition.
DirectIborCapletFloorletFlatVolatilityDefinition.Meta	The meta-bean for DirectIborCapletFloorletFlatVolatilityDefinition.
DirectIborCapletFloorletVolatilityCalibrator	Caplet volatilities calibration to cap volatilities.
DirectIborCapletFloorletVolatilityDefinition	Definition of caplet volatilities calibration.
DirectIborCapletFloorletVolatilityDefinition.Builder	The bean-builder for DirectIborCapletFloorletVolatilityDefinition.
DirectIborCapletFloorletVolatilityDefinition.Meta	The meta-bean for DirectIborCapletFloorletVolatilityDefinition.
IborCapletFloorletPeriodAmounts	A map of double values keyed by Ibor caplet/floorlet periods.
IborCapletFloorletPeriodAmounts.Builder	The bean-builder for IborCapletFloorletPeriodAmounts.
IborCapletFloorletPeriodAmounts.Meta	The meta-bean for IborCapletFloorletPeriodAmounts.
IborCapletFloorletPeriodCurrencyAmounts	A map of currency amounts keyed by Ibor caplet/floorlet periods.
IborCapletFloorletPeriodCurrencyAmounts.Builder	The bean-builder for IborCapletFloorletPeriodCurrencyAmounts.
IborCapletFloorletPeriodCurrencyAmounts.Meta	The meta-bean for IborCapletFloorletPeriodCurrencyAmounts.
IborCapletFloorletSabrSensitivity	Sensitivity of a caplet/floorlet to SABR model parameters.
IborCapletFloorletSabrSensitivity.Meta	The meta-bean for IborCapletFloorletSabrSensitivity.
IborCapletFloorletSensitivity	Point sensitivity to Ibor caplet/floorlet implied parameter point.
IborCapletFloorletSensitivity.Meta	The meta-bean for IborCapletFloorletSensitivity.
IborCapletFloorletVolatilitiesId	An identifier used to access Ibor cap/floor volatilities by name.
IborCapletFloorletVolatilitiesName	The name of a set of Ibor cap/floor volatilities.
IborCapletFloorletVolatilityCalibrationResult	Calibration result for Ibor caplet/floorlet volatilities.
IborCapletFloorletVolatilityCalibrationResult.Meta	The meta-bean for IborCapletFloorletVolatilityCalibrationResult.
NormalIborCapFloorLegPricer	Pricer for cap/floor legs in normal or Bachelier model.
NormalIborCapFloorProductPricer	Pricer for cap/floor products in normal or Bachelier model.
NormalIborCapFloorTradePricer	Pricer for cap/floor trades in normal or Bachelier model.
NormalIborCapletFloorletExpiryFlatVolatilities	Volatility for Ibor caplet/floorlet in the normal or Bachelier model based on a curve.
NormalIborCapletFloorletExpiryFlatVolatilities.Meta	The meta-bean for NormalIborCapletFloorletExpiryFlatVolatilities.
NormalIborCapletFloorletExpiryStrikeVolatilities	Volatility for Ibor caplet/floorlet in the normal or Bachelier model based on a surface.
NormalIborCapletFloorletExpiryStrikeVolatilities.Meta	The meta-bean for NormalIborCapletFloorletExpiryStrikeVolatilities.
NormalIborCapletFloorletPeriodPricer	Pricer for caplet/floorlet in a normal or Bachelier model.
NormalSabrParametersIborCapletFloorletVolatilities	Volatility environment for caplet/floorlet in the SABR model.
NormalSabrParametersIborCapletFloorletVolatilities.Meta	The meta-bean for NormalSabrParametersIborCapletFloorletVolatilities.
SabrIborCapFloorLegPricer	Pricer for cap/floor legs in SABR model.
SabrIborCapFloorProductPricer	Pricer for cap/floor products in SABR model.
SabrIborCapFloorTradePricer	Pricer for cap/floor trades in SABR model.
SabrIborCapletFloorletPeriodPricer	Pricer for caplet/floorlet in SABR model.
SabrIborCapletFloorletVolatilityBootstrapDefinition	Definition of caplet volatilities calibration.
SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder	The bean-builder for SabrIborCapletFloorletVolatilityBootstrapDefinition.
SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta	The meta-bean for SabrIborCapletFloorletVolatilityBootstrapDefinition.
SabrIborCapletFloorletVolatilityBootstrapper	Caplet volatilities calibration to cap volatilities based on SABR model.
SabrIborCapletFloorletVolatilityCalibrationDefinition	Definition of caplet volatilities calibration.
SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder	The bean-builder for SabrIborCapletFloorletVolatilityCalibrationDefinition.
SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta	The meta-bean for SabrIborCapletFloorletVolatilityCalibrationDefinition.
SabrIborCapletFloorletVolatilityCalibrator	Caplet volatilities calibration to cap volatilities based on SABR model.
SabrOvernightInArrearsCapletFloorletPeriodPricer	Pricer for in-arrears caplets and floorlets (Asian style options) in the SABR with effective parameters approach.
SabrParametersIborCapletFloorletVolatilities	Volatility environment for Ibor caplet/floorlet in the SABR model.
SabrParametersIborCapletFloorletVolatilities.Builder	The bean-builder for SabrParametersIborCapletFloorletVolatilities.
SabrParametersIborCapletFloorletVolatilities.Meta	The meta-bean for SabrParametersIborCapletFloorletVolatilities.
ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities	Volatility for Ibor caplet/floorlet in the shifted log-normal or shifted Black model based on a surface.
ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta	The meta-bean for ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.
SurfaceIborCapletFloorletVolatilityBootstrapDefinition	Definition of caplet volatilities calibration.
SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta	The meta-bean for SurfaceIborCapletFloorletVolatilityBootstrapDefinition.
SurfaceIborCapletFloorletVolatilityBootstrapper	Caplet volatilities calibration to cap volatilities based on interpolated surface.
VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer	Pricer for binary caplet/floorlet based on volatilities.
VerticalSpreadVolatilityIborCapletFloorletBinaryPeriodPricer	Pricer for binary caplet/floorlet based on volatilities.
VolatilityIborCapFloorLegPricer	Pricer for cap/floor legs based on volatilities.
VolatilityIborCapFloorProductPricer	Pricer for cap/floor products based on volatilities.
VolatilityIborCapFloorTradePricer	Pricer for cap/floor trades based on volatilities.
VolatilityIborCapletFloorletPeriodPricer	Pricer for caplet/floorlet based on volatilities.
VolatilityOvernightInArrearsCapletFloorletPeriodPricer	Pricer for overnight in-arrears caplet/floorlet based on volatilities.

Package com.opengamma.strata.pricer.capfloor Description

Calculators for Ibor cap-floor.