com.opengamma.strata.pricer.swaption

Interface NormalSabrSwaptionVolatilities

All Superinterfaces:

MarketDataView, ParameterizedData, SabrSwaptionVolatilities, SwaptionVolatilities

All Known Implementing Classes:

NormalSabrParametersSwaptionVolatilities

public interface NormalSabrSwaptionVolatilities
extends SabrSwaptionVolatilities

Volatility for swaptions in SABR model.

The volatility is represented in terms of SABR model parameters.

The prices are calculated using the SABR implied volatility with respect to the normal formula.

Method Summary

Modifier and Type	Method and Description
default ValueType	getVolatilityType() Gets the type of volatility returned by the SwaptionVolatilities.volatility(java.time.ZonedDateTime, double, double, double) method.

Methods inherited from interface com.opengamma.strata.pricer.swaption.SabrSwaptionVolatilities

alpha, beta, convertSwaptionSensitivity, nu, rho, shift, volatilityAdjoint, withParameter, withPerturbation

Methods inherited from interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities

getConvention, getName, getValuationDate, getValuationDateTime, parameterSensitivity, parameterSensitivity, price, priceDelta, priceGamma, priceTheta, priceVega, relativeTime, tenor, volatility, volatility

Methods inherited from interface com.opengamma.strata.market.MarketDataView

findData

Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData

findParameterIndex, getParameter, getParameterCount, getParameterMetadata

Method Detail

getVolatilityType

default ValueType getVolatilityType()

Description copied from interface: SwaptionVolatilities

Gets the type of volatility returned by the SwaptionVolatilities.volatility(java.time.ZonedDateTime, double, double, double) method.

Specified by:

getVolatilityType in interface SwaptionVolatilities

Returns:

the type