com.opengamma.strata.pricer.swaption

Class BlackSwaptionPhysicalProductPricer

java.lang.Object

com.opengamma.strata.pricer.swaption.VolatilitySwaptionPhysicalProductPricer

com.opengamma.strata.pricer.swaption.BlackSwaptionPhysicalProductPricer

public class BlackSwaptionPhysicalProductPricer
extends VolatilitySwaptionPhysicalProductPricer

Pricer for swaption with physical settlement in a log-normal or Black model on the swap rate.

The swap underlying the swaption must have a fixed leg on which the forward rate is computed. The underlying swap must be single currency.

The volatility parameters are not adjusted for the underlying swap convention.

The value of the swaption after expiry is 0. For a swaption which has already expired, a negative number is returned by SwaptionVolatilities.relativeTime(ZonedDateTime).

Field Summary

Fields

Modifier and Type	Field and Description
static BlackSwaptionPhysicalProductPricer	DEFAULT Default implementation.

Constructor Summary

Constructors

Constructor and Description
BlackSwaptionPhysicalProductPricer(DiscountingSwapProductPricer swapPricer) Creates an instance.

Method Summary

Methods inherited from class com.opengamma.strata.pricer.swaption.VolatilitySwaptionPhysicalProductPricer

currencyExposure, fixedLeg, forwardRate, getSwapPricer, impliedVolatility, presentValue, presentValueDelta, presentValueGamma, presentValueSensitivityModelParamsVolatility, presentValueSensitivityRatesStickyStrike, presentValueTheta, validate, validateSwaption

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final BlackSwaptionPhysicalProductPricer DEFAULT

Default implementation.

Constructor Detail

BlackSwaptionPhysicalProductPricer

public BlackSwaptionPhysicalProductPricer(DiscountingSwapProductPricer swapPricer)

Creates an instance.

Parameters:

swapPricer - the pricer for Swap