Uses of Interface
com.opengamma.strata.pricer.swaption.SabrSwaptionVolatilities

Packages that use SabrSwaptionVolatilities

Package	Description
com.opengamma.strata.pricer.cms	Calculators for CMS.
com.opengamma.strata.pricer.swaption	Calculators for swaptions.

Uses of SabrSwaptionVolatilities in com.opengamma.strata.pricer.cms

Methods in com.opengamma.strata.pricer.cms with parameters of type SabrSwaptionVolatilities

Modifier and Type	Method and Description
double	SabrExtrapolationReplicationCmsPeriodPricer.adjustedForwardRate(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities) Computes the adjusted forward rate for a CMS coupon.
double	SabrExtrapolationReplicationCmsPeriodPricer.adjustmentToForwardRate(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities) Computes the adjustment to the forward rate for a CMS coupon.
MultiCurrencyAmount	SabrExtrapolationReplicationCmsProductPricer.currencyExposure(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the currency exposure of the product.
MultiCurrencyAmount	SabrExtrapolationReplicationCmsTradePricer.currencyExposure(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the currency exposure of the trade.
CurrencyAmount	SabrExtrapolationReplicationCmsLegPricer.currentCash(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the current cash of the leg.
MultiCurrencyAmount	SabrExtrapolationReplicationCmsProductPricer.currentCash(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the current cash of the product.
MultiCurrencyAmount	SabrExtrapolationReplicationCmsTradePricer.currentCash(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the current cash of the trade.
void	SabrExtrapolationReplicationCmsPeriodPricer.explainPresentValue(CmsPeriod period, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities, ExplainMapBuilder builder) Explains the present value of the CMS period.
ExplainMap	SabrExtrapolationReplicationCmsLegPricer.explainPresentValue(ResolvedCmsLeg cmsLeg, RatesProvider provider, SabrSwaptionVolatilities volatilities) Explains the present value of a CMS leg.
ExplainMap	SabrExtrapolationReplicationCmsTradePricer.explainPresentValue(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Explains the present value of the CMS trade.
ExplainMap	SabrExtrapolationReplicationCmsProductPricer.explainPresentValue(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Explains the present value of the CMS product.
CurrencyAmount	SabrExtrapolationReplicationCmsPeriodPricer.presentValue(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities) Computes the present value by replication in SABR framework with extrapolation on the right.
CurrencyAmount	SabrExtrapolationReplicationCmsLegPricer.presentValue(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value of the CMS leg.
MultiCurrencyAmount	SabrExtrapolationReplicationCmsProductPricer.presentValue(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value of the CMS product.
MultiCurrencyAmount	SabrExtrapolationReplicationCmsTradePricer.presentValue(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value of the CMS trade.
PointSensitivityBuilder	SabrExtrapolationReplicationCmsPeriodPricer.presentValueSensitivityModelParamsSabr(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities) Computes the present value sensitivity to SABR parameters by replication in SABR framework with extrapolation on the right.
PointSensitivityBuilder	SabrExtrapolationReplicationCmsLegPricer.presentValueSensitivityModelParamsSabr(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity to the SABR model parameters.
PointSensitivityBuilder	SabrExtrapolationReplicationCmsProductPricer.presentValueSensitivityModelParamsSabr(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity to the SABR model parameters.
PointSensitivities	SabrExtrapolationReplicationCmsTradePricer.presentValueSensitivityModelParamsSabr(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity to the SABR model parameters.
PointSensitivityBuilder	SabrExtrapolationReplicationCmsPeriodPricer.presentValueSensitivityRates(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities) Computes the present value curve sensitivity by replication in SABR framework with extrapolation on the right.
PointSensitivityBuilder	SabrExtrapolationReplicationCmsLegPricer.presentValueSensitivityRates(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value curve sensitivity of the CMS leg.
PointSensitivityBuilder	SabrExtrapolationReplicationCmsProductPricer.presentValueSensitivityRates(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value curve sensitivity of the CMS product.
PointSensitivities	SabrExtrapolationReplicationCmsTradePricer.presentValueSensitivityRates(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value curve sensitivity of the CMS trade.
double	SabrExtrapolationReplicationCmsPeriodPricer.presentValueSensitivityStrike(CmsPeriod cmsPeriod, RatesProvider provider, SabrSwaptionVolatilities swaptionVolatilities) Computes the present value sensitivity to strike by replication in SABR framework with extrapolation on the right.
double	SabrExtrapolationReplicationCmsLegPricer.presentValueSensitivityStrike(ResolvedCmsLeg cmsLeg, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity to the strike value.
double	SabrExtrapolationReplicationCmsProductPricer.presentValueSensitivityStrike(ResolvedCms cms, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity to the strike value.
double	SabrExtrapolationReplicationCmsTradePricer.presentValueSensitivityStrike(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity to the strike value.

Uses of SabrSwaptionVolatilities in com.opengamma.strata.pricer.swaption

Subinterfaces of SabrSwaptionVolatilities in com.opengamma.strata.pricer.swaption

Modifier and Type	Interface and Description
interface	BlackSabrSwaptionVolatilities Volatility for swaptions in SABR model.
interface	NormalSabrSwaptionVolatilities Volatility for swaptions in SABR model.

Classes in com.opengamma.strata.pricer.swaption that implement SabrSwaptionVolatilities

Modifier and Type	Class and Description
class	NormalSabrParametersSwaptionVolatilities Volatility environment for swaptions in the SABR model.
class	SabrParametersSwaptionVolatilities Volatility environment for swaptions in the SABR model.

Methods in com.opengamma.strata.pricer.swaption that return SabrSwaptionVolatilities

Modifier and Type	Method and Description
SabrSwaptionVolatilities	SabrSwaptionVolatilities.withParameter(int parameterIndex, double newValue)
SabrSwaptionVolatilities	SabrSwaptionVolatilities.withPerturbation(ParameterPerturbation perturbation)

Methods in com.opengamma.strata.pricer.swaption with parameters of type SabrSwaptionVolatilities

Modifier and Type	Method and Description
MultiCurrencyAmount	SabrSwaptionTradePricer.currencyExposure(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Computes the currency exposure of the swaption trade.
CurrencyAmount	SabrSwaptionTradePricer.presentValue(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value of the swaption trade.
PointSensitivityBuilder	SabrSwaptionPhysicalProductPricer.presentValueSensitivityModelParamsSabr(ResolvedSwaption swaption, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity to the SABR model parameters of the swaption product.
PointSensitivityBuilder	SabrSwaptionCashParYieldProductPricer.presentValueSensitivityModelParamsSabr(ResolvedSwaption swaption, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity to the SABR model parameters of the swaption product.
PointSensitivities	SabrSwaptionTradePricer.presentValueSensitivityModelParamsSabr(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity to the SABR model parameters of the swaption trade.
PointSensitivities	SabrSwaptionTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity to the implied volatility of the swaption trade.
PointSensitivityBuilder	SabrSwaptionPhysicalProductPricer.presentValueSensitivityRatesStickyModel(ResolvedSwaption swaption, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity of the swaption product to the rate curves.
PointSensitivityBuilder	SabrSwaptionCashParYieldProductPricer.presentValueSensitivityRatesStickyModel(ResolvedSwaption swaption, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity of the swaption product to the rate curves.
PointSensitivities	SabrSwaptionTradePricer.presentValueSensitivityRatesStickyModel(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity of the swaption trade to the rate curves.
PointSensitivities	SabrSwaptionTradePricer.presentValueSensitivityRatesStickyStrike(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity of the swaption trade to the rate curves.