Package com.opengamma.strata.pricer.capfloor

Class BlackIborCapFloorTradePricer

java.lang.Object

com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorTradePricer

com.opengamma.strata.pricer.capfloor.BlackIborCapFloorTradePricer

public class BlackIborCapFloorTradePricer
extends VolatilityIborCapFloorTradePricer

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

Field Summary

Fields

Modifier and Type	Field	Description
static BlackIborCapFloorTradePricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
BlackIborCapFloorTradePricer(BlackIborCapFloorProductPricer productPricer, DiscountingPaymentPricer paymentPricer)	Creates an instance.

Method Summary

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

currencyExposure, currentCash, forwardRates, getPaymentPricer, impliedVolatilities, presentValue, presentValueCapletFloorletPeriods, presentValueSensitivityModelParamsVolatility, presentValueSensitivityRates

Methods inherited from class java.lang.Object

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

Field Detail

DEFAULT

public static final BlackIborCapFloorTradePricer DEFAULT

Default implementation.

Constructor Detail

BlackIborCapFloorTradePricer

public BlackIborCapFloorTradePricer(BlackIborCapFloorProductPricer productPricer,
                                    DiscountingPaymentPricer paymentPricer)

Creates an instance.

Parameters:

productPricer - the pricer for ResolvedIborCapFloor

paymentPricer - the pricer for Payment