Package com.opengamma.strata.pricer.cms

Calculators for CMS.

Class Summary

Class	Description
DiscountingCmsLegPricer	Pricer for CMS legs by simple forward estimation.
DiscountingCmsProductPricer	Computes the price of a CMS product by simple forward estimation.
DiscountingCmsTradePricer	Pricer for CMS trade by simple forward estimation.
SabrExtrapolationReplicationCmsLegPricer	Pricer for CMS legs by swaption replication on a SABR formula with extrapolation.
SabrExtrapolationReplicationCmsPeriodPricer	Computes the price of a CMS coupon/caplet/floorlet by swaption replication on a shifted SABR formula with extrapolation.
SabrExtrapolationReplicationCmsProductPricer	Pricer for CMS products by swaption replication on a SABR formula with extrapolation.
SabrExtrapolationReplicationCmsTradePricer	Pricer for CMS trade by swaption replication on a SABR formula with extrapolation.