Class CmsSabrExtrapolationParams

    • Method Detail

      • of

        public static CmsSabrExtrapolationParams of​(double cutOffStrike,
                                                    double mu)
        Obtains an instance based on a lookup and market data.

        The lookup knows how to obtain the volatilities from the market data. This might involve accessing a surface or a cube.

        cutOffStrike - the cut-off strike
        mu - the tail thickness parameter
        the SABR extrapolation parameters
      • filter

        public Optional<CalculationParameter> filter​(CalculationTarget target,
                                                     Measure measure)
        Description copied from interface: CalculationParameter
        Filters this parameter to the specified target and measure.

        Parameters may apply to all targets and measures or just a subset. The CalculationParameters.filter(CalculationTarget, Measure) method uses this method to filter a complete set of parameters.

        By default, this returns Optional.of(this). If the parameter does not apply to either the target or measure, then optional empty must be returned. If desired, the result can be a different parameter, allowing one parameter to delegate to another when filtered.

        Specified by:
        filter in interface CalculationParameter
        target - the calculation target, such as a trade
        measure - the measure to be calculated
        the parameter appropriate to the target and measure, empty if this parameter does not apply
      • meta

        public static org.joda.beans.TypedMetaBean<CmsSabrExtrapolationParams> meta()
        The meta-bean for CmsSabrExtrapolationParams.
        the meta-bean, not null
      • metaBean

        public org.joda.beans.TypedMetaBean<CmsSabrExtrapolationParams> metaBean()
        Specified by:
        metaBean in interface org.joda.beans.Bean
      • getCutOffStrike

        public double getCutOffStrike()
        Gets the cut-off strike.

        The smile is extrapolated above that level.

        the value of the property
      • getMu

        public double getMu()
        Gets the tail thickness parameter.

        This must be greater than 0 in order to ensure that the call price converges to 0 for infinite strike.

        the value of the property
      • hashCode

        public int hashCode()
        hashCode in class Object