Package com.opengamma.strata.pricer.capfloor

Class NormalIborCapFloorTradePricer

java.lang.Object

com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorTradePricer

com.opengamma.strata.pricer.capfloor.NormalIborCapFloorTradePricer

public class NormalIborCapFloorTradePricer
extends VolatilityIborCapFloorTradePricer

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

Field Summary

Fields

Modifier and Type	Field	Description
static NormalIborCapFloorTradePricer	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
NormalIborCapFloorTradePricer(NormalIborCapFloorProductPricer 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 NormalIborCapFloorTradePricer DEFAULT

Default implementation.

Constructor Detail

NormalIborCapFloorTradePricer

public NormalIborCapFloorTradePricer(NormalIborCapFloorProductPricer productPricer,
                                     DiscountingPaymentPricer paymentPricer)

Creates an instance.

Parameters:

productPricer - the pricer for ResolvedIborCapFloor

paymentPricer - the pricer for Payment