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
      • 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