Package com.opengamma.strata.pricer.capfloor

Class BlackIborCapFloorProductPricer

java.lang.Object

com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorProductPricer

com.opengamma.strata.pricer.capfloor.BlackIborCapFloorProductPricer

public class BlackIborCapFloorProductPricer
extends VolatilityIborCapFloorProductPricer

Pricer for cap/floor products in log-normal or Black model.

Field Summary

Fields

Modifier and Type	Field	Description
static BlackIborCapFloorProductPricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
BlackIborCapFloorProductPricer(BlackIborCapFloorLegPricer capFloorLegPricer, DiscountingSwapLegPricer payLegPricer)	Creates an instance.

Method Summary

Methods inherited from class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorProductPricer

currencyExposure, currentCash, forwardRates, getPayLegPricer, impliedVolatilities, presentValue, presentValueCapletFloorletPeriods, presentValueDelta, presentValueGamma, presentValueSensitivityModelParamsVolatility, presentValueSensitivityRates, presentValueTheta

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final BlackIborCapFloorProductPricer DEFAULT

Default implementation.

Constructor Detail

BlackIborCapFloorProductPricer

public BlackIborCapFloorProductPricer(BlackIborCapFloorLegPricer capFloorLegPricer,
                                      DiscountingSwapLegPricer payLegPricer)

Creates an instance.

Parameters:

capFloorLegPricer - the pricer for IborCapFloorLeg

payLegPricer - the pricer for SwapLeg