| Package | Description |
|---|---|
| com.opengamma.strata.pricer.swaption |
Calculators for swaptions.
|
| Modifier and Type | Method and Description |
|---|---|
NormalSabrParametersSwaptionVolatilities |
NormalSabrParametersSwaptionVolatilities.Builder.build() |
static NormalSabrParametersSwaptionVolatilities |
NormalSabrParametersSwaptionVolatilities.of(SwaptionVolatilitiesName name,
FixedFloatSwapConvention convention,
ZonedDateTime valuationDateTime,
SabrInterestRateParameters parameters)
Obtains an instance from the SABR model parameters and the date-time for which it is valid.
|
NormalSabrParametersSwaptionVolatilities |
NormalSabrParametersSwaptionVolatilities.withParameter(int parameterIndex,
double newValue) |
NormalSabrParametersSwaptionVolatilities |
NormalSabrParametersSwaptionVolatilities.withPerturbation(ParameterPerturbation perturbation) |
| Modifier and Type | Method and Description |
|---|---|
Class<? extends NormalSabrParametersSwaptionVolatilities> |
NormalSabrParametersSwaptionVolatilities.Meta.beanType() |
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.