Package com.opengamma.strata.pricer.swaption

Calculators for swaptions.

See: Description

Interface Summary

Interface	Description
BlackSabrSwaptionVolatilities	Volatility for swaptions in SABR model.
BlackSwaptionVolatilities	Volatility for swaptions in the log-normal or Black model.
NormalSabrSwaptionVolatilities	Volatility for swaptions in SABR model.
NormalSwaptionVolatilities	Volatility for swaptions in the normal or Bachelier model.
SabrSwaptionVolatilities	Volatility for swaptions in SABR model.
SwaptionVolatilities	Volatilities for pricing swaptions.

Class Summary

Class	Description
BlackSwaptionCashParYieldProductPricer	Pricer for swaption with par yield curve method of cash settlement in a log-normal or Black model on the swap rate.
BlackSwaptionExpiryTenorVolatilities	Volatility for swaptions in the log-normal or Black model.
BlackSwaptionExpiryTenorVolatilities.Meta	The meta-bean for BlackSwaptionExpiryTenorVolatilities.
BlackSwaptionPhysicalProductPricer	Pricer for swaption with physical settlement in a log-normal or Black model on the swap rate.
BlackSwaptionTradePricer	Pricer for swaption trade in the log-normal or Black model on the swap rate.
HullWhiteSwaptionPhysicalProductPricer	Pricer for swaption with physical settlement in Hull-White one factor model with piecewise constant volatility.
HullWhiteSwaptionPhysicalTradePricer	Pricer for swaption with physical settlement in Hull-White one factor model with piecewise constant volatility.
NormalSabrParametersSwaptionVolatilities	Volatility environment for swaptions in the SABR model.
NormalSabrParametersSwaptionVolatilities.Builder	The bean-builder for NormalSabrParametersSwaptionVolatilities.
NormalSabrParametersSwaptionVolatilities.Meta	The meta-bean for NormalSabrParametersSwaptionVolatilities.
NormalSwaptionCashParYieldProductPricer	Pricer for swaption with par yield curve method of cash settlement in a normal model on the swap rate.
NormalSwaptionExpirySimpleMoneynessVolatilities	Volatility for swaptions in the normal or Bachelier model based on a surface.
NormalSwaptionExpirySimpleMoneynessVolatilities.Meta	The meta-bean for NormalSwaptionExpirySimpleMoneynessVolatilities.
NormalSwaptionExpiryStrikeVolatilities	Volatility for swaptions in the normal or Bachelier model based on a surface.
NormalSwaptionExpiryStrikeVolatilities.Meta	The meta-bean for NormalSwaptionExpiryStrikeVolatilities.
NormalSwaptionExpiryTenorVolatilities	Volatility for swaptions in the normal or Bachelier model based on a surface.
NormalSwaptionExpiryTenorVolatilities.Meta	The meta-bean for NormalSwaptionExpiryTenorVolatilities.
NormalSwaptionPhysicalProductPricer	Pricer for swaption with physical settlement in a normal model on the swap rate.
NormalSwaptionTradePricer	Pricer for swaption trade in the normal model on the swap rate.
SabrParametersSwaptionVolatilities	Volatility environment for swaptions in the SABR model.
SabrParametersSwaptionVolatilities.Builder	The bean-builder for SabrParametersSwaptionVolatilities.
SabrParametersSwaptionVolatilities.Meta	The meta-bean for SabrParametersSwaptionVolatilities.
SabrSwaptionCalibrator	Swaption SABR calibrator.
SabrSwaptionCashParYieldProductPricer	Pricer for swaption with par yield curve method of cash settlement in SABR model.
SabrSwaptionDefinition	Definition of standard inputs to SABR swaption calibration.
SabrSwaptionDefinition.Meta	The meta-bean for SabrSwaptionDefinition.
SabrSwaptionPhysicalProductPricer	Pricer for swaption with physical settlement in SABR model on the swap rate.
SabrSwaptionRawDataSensitivityCalculator	Calculator to obtain the raw data sensitivities for swaption related products using calibrated SABR data.
SabrSwaptionTradePricer	Pricer for swaption trade in the SABR model on the swap rate.
SwaptionSabrSensitivity	Sensitivity of a swaption to SABR model parameters.
SwaptionSabrSensitivity.Meta	The meta-bean for SwaptionSabrSensitivity.
SwaptionSensitivity	Point sensitivity to a swaption implied parameter point.
SwaptionSensitivity.Meta	The meta-bean for SwaptionSensitivity.
SwaptionSurfaceExpirySimpleMoneynessParameterMetadata	Surface node metadata for a surface node for swaptions with a specific time to expiry and simple moneyness.
SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.Meta	The meta-bean for SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.
SwaptionSurfaceExpiryStrikeParameterMetadata	Surface node metadata for a surface node for swaptions with a specific time to expiry and strike.
SwaptionSurfaceExpiryStrikeParameterMetadata.Meta	The meta-bean for SwaptionSurfaceExpiryStrikeParameterMetadata.
SwaptionSurfaceExpiryTenorParameterMetadata	Surface node metadata for a surface node for swaptions with a specific time to expiry and underlying swap tenor.
SwaptionSurfaceExpiryTenorParameterMetadata.Meta	The meta-bean for SwaptionSurfaceExpiryTenorParameterMetadata.
SwaptionVolatilitiesId	An identifier used to access swaption volatilities by name.
SwaptionVolatilitiesName	The name of a set of swaption volatilities.
VolatilitySwaptionCashParYieldProductPricer	Pricer for swaption with par yield curve method of cash settlement based on volatilities.
VolatilitySwaptionPhysicalProductPricer	Pricer for swaption with physical settlement based on volatilities.
VolatilitySwaptionProductPricer	Pricer for swaptions handling physical and cash par yield settlement based on volatilities.
VolatilitySwaptionTradePricer	Pricer for swaptions handling physical and cash par yield settlement based on volatilities.

Package com.opengamma.strata.pricer.swaption Description

Calculators for swaptions.