Package com.opengamma.strata.pricer.impl.volatility.smile

Internal implementations of volatility smile.

See: Description

Interface Summary

Interface	Description
SmileModelData	A data bundle of a volatility model.

Class Summary

Class	Description
SabrFormulaData	The data bundle for SABR formula.
SabrHaganNormalVolatilityFormula	Formulas related to the SABR implied normal volatility function.
SabrHaganVolatilityFunctionProvider	The Hagan SABR volatility function provider.
SabrInArrearsVolatilityFunction	Adjustments to the SABR parameters to accommodate the pricing of in-arrears caplets.
SabrInArrearsVolatilityFunction.Builder	The bean-builder for SabrInArrearsVolatilityFunction.
SabrInArrearsVolatilityFunction.Meta	The meta-bean for SabrInArrearsVolatilityFunction.
SabrModelFitter	SABR model fitter.
SmileModelFitter<T extends SmileModelData>	Smile model fitter.
SsviFormulaData	The data bundle for SSVI smile formula.
SsviVolatilityFunction	Surface Stochastic Volatility Inspired (SSVI) formula.
VolatilityFunctionProvider<T extends SmileModelData>	Provides functions that return volatility and its sensitivity to volatility model parameters.

Package com.opengamma.strata.pricer.impl.volatility.smile Description

Internal implementations of volatility smile.

Code in this package and subpackages may change in a non-backwards compatible way.