| Package | Description |
|---|---|
| com.opengamma.strata.pricer.cms |
Calculators for CMS.
|
| Class and Description |
|---|
| DiscountingCmsProductPricer
Computes the price of a CMS product by simple forward estimation.
|
| DiscountingCmsTradePricer
Pricer for CMS trade by simple forward estimation.
|
| SabrExtrapolationReplicationCmsLegPricer
Pricer for CMS legs by swaption replication on a SABR formula with extrapolation.
|
| SabrExtrapolationReplicationCmsPeriodPricer
Computes the price of a CMS coupon/caplet/floorlet by swaption replication on a shifted SABR formula with extrapolation.
|
| SabrExtrapolationReplicationCmsProductPricer
Pricer for CMS products by swaption replication on a SABR formula with extrapolation.
|
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.