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

Packages that use SwaptionVolatilities

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

Uses of SwaptionVolatilities in com.opengamma.strata.pricer.impl.cms

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

Modifier and Type	Method and Description
CurrencyAmount	BlackFlatCmsPeriodPricer.presentValue(CmsPeriod cmsPeriod, RatesProvider provider, SwaptionVolatilities swaptionVolatilities) Computes the present value by replication in SABR framework with extrapolation on the right.

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

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

Modifier and Type	Interface and Description
interface	BlackSabrSwaptionVolatilities Volatility for swaptions in SABR model.
interface	BlackSwaptionVolatilities Volatility for swaptions in the log-normal or Black model.
interface	NormalSabrSwaptionVolatilities Volatility for swaptions in SABR model.
interface	NormalSwaptionVolatilities Volatility for swaptions in the normal or Bachelier model.
interface	SabrSwaptionVolatilities Volatility for swaptions in SABR model.

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

Modifier and Type	Class and Description
class	BlackSwaptionExpiryTenorVolatilities Volatility for swaptions in the log-normal or Black model.
class	NormalSabrParametersSwaptionVolatilities Volatility environment for swaptions in the SABR model.
class	NormalSwaptionExpirySimpleMoneynessVolatilities Volatility for swaptions in the normal or Bachelier model based on a surface.
class	NormalSwaptionExpiryStrikeVolatilities Volatility for swaptions in the normal or Bachelier model based on a surface.
class	NormalSwaptionExpiryTenorVolatilities Volatility for swaptions in the normal or Bachelier model based on a surface.
class	SabrParametersSwaptionVolatilities Volatility environment for swaptions in the SABR model.

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

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

Methods in com.opengamma.strata.pricer.swaption that return types with arguments of type SwaptionVolatilities

Modifier and Type	Method and Description
MarketDataName<SwaptionVolatilities>	SwaptionVolatilitiesId.getMarketDataName()
Class<SwaptionVolatilities>	SwaptionVolatilitiesName.getMarketDataType()
Class<SwaptionVolatilities>	SwaptionVolatilitiesId.getMarketDataType()

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

Modifier and Type	Method and Description
SabrParametersSwaptionVolatilities	SabrSwaptionCalibrator.calibrateAlphaWithAtm(SwaptionVolatilitiesName name, SabrParametersSwaptionVolatilities sabr, RatesProvider ratesProvider, SwaptionVolatilities atmVolatilities, List<Tenor> tenors, List<Period> expiries, SurfaceInterpolator interpolator) Calibrate SABR alpha parameters to a set of ATM swaption volatilities.
MultiCurrencyAmount	VolatilitySwaptionProductPricer.currencyExposure(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Computes the currency exposure of the swaption.
MultiCurrencyAmount	VolatilitySwaptionPhysicalProductPricer.currencyExposure(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Computes the currency exposure of the swaption.
MultiCurrencyAmount	VolatilitySwaptionCashParYieldProductPricer.currencyExposure(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Computes the currency exposure of the swaption.
MultiCurrencyAmount	VolatilitySwaptionTradePricer.currencyExposure(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Computes the currency exposure of the swaption trade.
double	VolatilitySwaptionProductPricer.impliedVolatility(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Computes the implied volatility of the swaption.
double	VolatilitySwaptionPhysicalProductPricer.impliedVolatility(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Computes the implied volatility of the swaption.
double	VolatilitySwaptionCashParYieldProductPricer.impliedVolatility(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Computes the implied volatility of the swaption.
double	NormalSwaptionTradePricer.impliedVolatility(ResolvedSwaptionTrade swaptionTrade, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Computes the implied volatility of the swaption.
double	BlackSwaptionTradePricer.impliedVolatility(ResolvedSwaptionTrade swaptionTrade, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Computes the implied volatility of the swaption.
double	VolatilitySwaptionTradePricer.impliedVolatility(ResolvedSwaptionTrade swaptionTrade, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Computes the implied volatility of the swaption.
double	SabrSwaptionTradePricer.impliedVolatility(ResolvedSwaptionTrade swaptionTrade, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Computes the implied volatility of the swaption.
CurrencyAmount	VolatilitySwaptionProductPricer.presentValue(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value of the swaption.
CurrencyAmount	VolatilitySwaptionPhysicalProductPricer.presentValue(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value of the swaption.
CurrencyAmount	VolatilitySwaptionCashParYieldProductPricer.presentValue(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value of the swaption.
CurrencyAmount	VolatilitySwaptionTradePricer.presentValue(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value of the swaption trade.
CurrencyAmount	VolatilitySwaptionProductPricer.presentValueDelta(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value delta of the swaption.
CurrencyAmount	VolatilitySwaptionPhysicalProductPricer.presentValueDelta(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value delta of the swaption.
CurrencyAmount	VolatilitySwaptionCashParYieldProductPricer.presentValueDelta(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value delta of the swaption.
CurrencyAmount	VolatilitySwaptionProductPricer.presentValueGamma(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value gamma of the swaption.
CurrencyAmount	VolatilitySwaptionPhysicalProductPricer.presentValueGamma(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value gamma of the swaption.
CurrencyAmount	VolatilitySwaptionCashParYieldProductPricer.presentValueGamma(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value gamma of the swaption.
SwaptionSensitivity	VolatilitySwaptionProductPricer.presentValueSensitivityModelParamsVolatility(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity to the implied volatility of the swaption.
SwaptionSensitivity	VolatilitySwaptionPhysicalProductPricer.presentValueSensitivityModelParamsVolatility(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity to the implied volatility of the swaption.
SwaptionSensitivity	VolatilitySwaptionCashParYieldProductPricer.presentValueSensitivityModelParamsVolatility(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity to the implied volatility of the swaption.
PointSensitivities	VolatilitySwaptionTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity to the implied volatility of the swaption trade.
PointSensitivityBuilder	VolatilitySwaptionProductPricer.presentValueSensitivityRatesStickyStrike(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity of the swaption to the rate curves.
PointSensitivityBuilder	VolatilitySwaptionPhysicalProductPricer.presentValueSensitivityRatesStickyStrike(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity of the swaption to the rate curves.
PointSensitivityBuilder	VolatilitySwaptionCashParYieldProductPricer.presentValueSensitivityRatesStickyStrike(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity of the swaption to the rate curves.
PointSensitivities	VolatilitySwaptionTradePricer.presentValueSensitivityRatesStickyStrike(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value sensitivity of the swaption to the rate curves.
CurrencyAmount	VolatilitySwaptionProductPricer.presentValueTheta(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value of the swaption.
CurrencyAmount	VolatilitySwaptionPhysicalProductPricer.presentValueTheta(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value of the swaption.
CurrencyAmount	VolatilitySwaptionCashParYieldProductPricer.presentValueTheta(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Calculates the present value of the swaption.
protected void	VolatilitySwaptionPhysicalProductPricer.validate(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Validates that the rates and volatilities providers are coherent and that the swaption is single currency physical.
protected void	VolatilitySwaptionCashParYieldProductPricer.validate(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities) Validates that the rates and volatilities providers are coherent and that the swaption is single currency cash par-yield.