Uses of Interface
com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilities

Packages that use SabrIborCapletFloorletVolatilities

Package	Description
com.opengamma.strata.pricer.capfloor	Calculators for Ibor cap-floor.

Uses of SabrIborCapletFloorletVolatilities in com.opengamma.strata.pricer.capfloor

Subinterfaces of SabrIborCapletFloorletVolatilities in com.opengamma.strata.pricer.capfloor

Modifier and Type	Interface	Description
interface	BlackSabrIborCapletFloorletVolatilities	Volatility for Ibor caplet/floorlet in SABR model.
interface	NormalSabrIborCapletFloorletVolatilities	Volatility for Ibor/Overnight caplet/floorlet in SABR model.

Classes in com.opengamma.strata.pricer.capfloor that implement SabrIborCapletFloorletVolatilities

Modifier and Type	Class	Description
class	NormalSabrParametersIborCapletFloorletVolatilities	Volatility environment for caplet/floorlet in the SABR model.
class	SabrParametersIborCapletFloorletVolatilities	Volatility environment for Ibor caplet/floorlet in the SABR model.

Methods in com.opengamma.strata.pricer.capfloor that return SabrIborCapletFloorletVolatilities

Modifier and Type	Method	Description
SabrIborCapletFloorletVolatilities	SabrIborCapletFloorletVolatilities.withParameter(int parameterIndex, double newValue)
SabrIborCapletFloorletVolatilities	SabrIborCapletFloorletVolatilities.withPerturbation(ParameterPerturbation perturbation)

Methods in com.opengamma.strata.pricer.capfloor with parameters of type SabrIborCapletFloorletVolatilities

Modifier and Type	Method	Description
PointSensitivityBuilder	SabrIborCapFloorLegPricer.presentValueSensitivityModelParamsSabr(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)	Calculates the present value sensitivity to the SABR model parameters of the Ibor cap/floor.
PointSensitivityBuilder	SabrIborCapFloorProductPricer.presentValueSensitivityModelParamsSabr(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)	Calculates the present value volatility sensitivity of the Ibor cap/floor product.
PointSensitivityBuilder	SabrIborCapFloorTradePricer.presentValueSensitivityModelParamsSabr(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)	Calculates the present value volatility sensitivity of the Ibor cap/floor trade.
PointSensitivityBuilder	SabrIborCapletFloorletPeriodPricer.presentValueSensitivityModelParamsSabr(IborCapletFloorletPeriod period, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)	Calculates the present value sensitivity to the SABR model parameters of the Ibor caplet/floorlet.
PointSensitivityBuilder	SabrIborCapFloorLegPricer.presentValueSensitivityRatesStickyModel(ResolvedIborCapFloorLeg capFloorLeg, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)	Calculates the present value sensitivity of the Ibor cap/floor leg to the rate curves.
PointSensitivityBuilder	SabrIborCapFloorProductPricer.presentValueSensitivityRatesStickyModel(ResolvedIborCapFloor capFloor, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)	Calculates the present value rates sensitivity of the Ibor cap/floor product.
PointSensitivities	SabrIborCapFloorTradePricer.presentValueSensitivityRatesStickyModel(ResolvedIborCapFloorTrade trade, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)	Calculates the present value rates sensitivity of the Ibor cap/floor trade.
PointSensitivityBuilder	SabrIborCapletFloorletPeriodPricer.presentValueSensitivityRatesStickyModel(IborCapletFloorletPeriod period, RatesProvider ratesProvider, SabrIborCapletFloorletVolatilities volatilities)	Calculates the present value sensitivity of the Ibor caplet/floorlet to the rate curves.