Package com.opengamma.strata.pricer.model
Common code for model pricing.
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Interface Summary Interface Description SabrVolatilityFormula Provides volatility and sensitivity in the SABR model. -
Class Summary Class Description HullWhiteOneFactorPiecewiseConstantParameters Data bundle related to the Hull-White one factor (extended Vasicek) model with piecewise constant volatility.HullWhiteOneFactorPiecewiseConstantParametersProvider Hull-White one factor model with piecewise constant volatility.HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta The meta-bean forHullWhiteOneFactorPiecewiseConstantParametersProvider.SabrInterestRateParameters The volatility surface description under SABR model.SabrParameters The volatility surface description under SABR model.