Interface IborCapletFloorletVolatilityDefinition

    • Method Detail

      • getIndex

        IborIndex getIndex()
        Gets the Ibor index for which the data is valid.
        Returns:
        the Ibor index
      • getDayCount

        DayCount getDayCount()
        Gets the day count to use.
        Returns:
        the day count
      • createMetadata

        SurfaceMetadata createMetadata​(RawOptionData capFloorData)
        Creates surface metadata.
        Parameters:
        capFloorData - the cap/floor data
        Returns:
        the surface metadata
      • createCap

        default IborCapFloorLeg createCap​(java.time.LocalDate startDate,
                                          java.time.LocalDate endDate,
                                          double strike)
        Creates a standard cap from start date, end date and strike.
        Parameters:
        startDate - the start date
        endDate - the end date
        strike - the strike
        Returns:
        the cap