Package com.opengamma.strata.measure.cms

Class CmsSabrExtrapolationParams

java.lang.Object

com.opengamma.strata.measure.cms.CmsSabrExtrapolationParams

All Implemented Interfaces:

CalculationParameter, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class CmsSabrExtrapolationParams
extends Object
implements CalculationParameter, org.joda.beans.ImmutableBean, Serializable

The additional parameters necessary for pricing CMS using SABR extrapolation replication.

The volatilities used in pricing are provided using SwaptionMarketDataLookup.

See Also:

Serialized Form

Method Summary

Modifier and Type	Method	Description
boolean	equals(Object obj)
double	getCutOffStrike()	Gets the cut-off strike.
double	getMu()	Gets the tail thickness parameter.
int	hashCode()
static org.joda.beans.TypedMetaBean<CmsSabrExtrapolationParams>	meta()	The meta-bean for CmsSabrExtrapolationParams.
org.joda.beans.TypedMetaBean<CmsSabrExtrapolationParams>	metaBean()
static CmsSabrExtrapolationParams	of(double cutOffStrike, double mu)	Obtains an instance based on a lookup and market data.
String	toString()

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Methods inherited from interface com.opengamma.strata.calc.runner.CalculationParameter

filter, queryType

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.

Parameters:

cutOffStrike - the cut-off strike

mu - the tail thickness parameter

Returns:

the SABR extrapolation parameters

meta

public static org.joda.beans.TypedMetaBean<CmsSabrExtrapolationParams> meta()

The meta-bean for CmsSabrExtrapolationParams.

Returns:

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.

Returns:

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.

Returns:

the value of the property

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object