Package com.opengamma.strata.pricer.capfloor

Class NormalIborCapFloorProductPricer

java.lang.Object

com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorProductPricer

com.opengamma.strata.pricer.capfloor.NormalIborCapFloorProductPricer

public class NormalIborCapFloorProductPricer
extends VolatilityIborCapFloorProductPricer

Pricer for cap/floor products in normal or Bachelier model.

Field Summary

Fields

Modifier and Type	Field	Description
static NormalIborCapFloorProductPricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
NormalIborCapFloorProductPricer(NormalIborCapFloorLegPricer 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 NormalIborCapFloorProductPricer DEFAULT

Default implementation.

Constructor Detail

NormalIborCapFloorProductPricer

public NormalIborCapFloorProductPricer(NormalIborCapFloorLegPricer capFloorLegPricer,
                                       DiscountingSwapLegPricer payLegPricer)

Creates an instance.

Parameters:

capFloorLegPricer - the pricer for IborCapFloorLeg

payLegPricer - the pricer for SwapLeg