Uses of Class
com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure

Packages that use InterpolatedStrikeSmileDeltaTermStructure

Package	Description
com.opengamma.strata.pricer.fxopt	Calculators for FX options.

Uses of InterpolatedStrikeSmileDeltaTermStructure in com.opengamma.strata.pricer.fxopt

Methods in com.opengamma.strata.pricer.fxopt that return InterpolatedStrikeSmileDeltaTermStructure

Modifier and Type	Method	Description
static InterpolatedStrikeSmileDeltaTermStructure	InterpolatedStrikeSmileDeltaTermStructure.of(DoubleArray expiries, DoubleArray delta, DoubleArray atm, DoubleMatrix riskReversal, DoubleMatrix strangle, DayCount dayCount)	Obtains volatility term structure from expiry times, delta values, ATM volatilities, risk reversal figures and strangle figures.
static InterpolatedStrikeSmileDeltaTermStructure	InterpolatedStrikeSmileDeltaTermStructure.of(DoubleArray expiries, DoubleArray delta, DoubleArray atm, DoubleMatrix riskReversal, DoubleMatrix strangle, DayCount dayCount, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorLeft, CurveExtrapolator strikeExtrapolatorRight)	Obtains volatility term structure from expiry times, delta values, ATM volatilities, risk reversal figures and strangle figures with strike interpolator and extrapolators specified.
static InterpolatedStrikeSmileDeltaTermStructure	InterpolatedStrikeSmileDeltaTermStructure.of(DoubleArray expiries, DoubleArray delta, DoubleArray atm, DoubleMatrix riskReversal, DoubleMatrix strangle, DayCount dayCount, CurveInterpolator timeInterpolator, CurveExtrapolator timeExtrapolatorLeft, CurveExtrapolator timeExtrapolatorRight, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorLeft, CurveExtrapolator strikeExtrapolatorRight)	Obtains volatility term structure from expiry times, delta values, ATM volatilities, risk reversal figures and strangle figures with interpolator and extrapolators fully specified.
static InterpolatedStrikeSmileDeltaTermStructure	InterpolatedStrikeSmileDeltaTermStructure.of(DoubleArray expiries, DoubleArray delta, DoubleMatrix volatility, DayCount dayCount)	Obtains volatility term structure from expiry times, delta values and volatilities.
static InterpolatedStrikeSmileDeltaTermStructure	InterpolatedStrikeSmileDeltaTermStructure.of(DoubleArray expiries, DoubleArray delta, DoubleMatrix volatility, DayCount dayCount, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorLeft, CurveExtrapolator strikeExtrapolatorRight)	Obtains volatility term structure from expiry times, delta values and volatilities with strike interpolator and extrapolators specified.
static InterpolatedStrikeSmileDeltaTermStructure	InterpolatedStrikeSmileDeltaTermStructure.of(DoubleArray expiries, DoubleArray delta, DoubleMatrix volatility, DayCount dayCount, CurveInterpolator timeInterpolator, CurveExtrapolator timeExtrapolatorLeft, CurveExtrapolator timeExtrapolatorRight, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorLeft, CurveExtrapolator strikeExtrapolatorRight)	Obtains volatility term structure from expiry times, delta values and volatilities with interpolator and extrapolators fully specified.
static InterpolatedStrikeSmileDeltaTermStructure	InterpolatedStrikeSmileDeltaTermStructure.of(List<SmileDeltaParameters> volatilityTerm, DayCount dayCount)	Obtains volatility term structure from a set of smile descriptions.
static InterpolatedStrikeSmileDeltaTermStructure	InterpolatedStrikeSmileDeltaTermStructure.of(List<SmileDeltaParameters> volatilityTerm, DayCount dayCount, CurveExtrapolator timeExtrapolatorLeft, CurveInterpolator timeInterpolator, CurveExtrapolator timeExtrapolatorRight, CurveExtrapolator strikeExtrapolatorLeft, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorRight)	Deprecated. Use variant with correct interpolator/extrapolator order
static InterpolatedStrikeSmileDeltaTermStructure	InterpolatedStrikeSmileDeltaTermStructure.of(List<SmileDeltaParameters> volatilityTerm, DayCount dayCount, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorLeft, CurveExtrapolator strikeExtrapolatorRight)	Obtains volatility term structure from a set of smile descriptions with strike interpolator and extrapolators specified.
static InterpolatedStrikeSmileDeltaTermStructure	InterpolatedStrikeSmileDeltaTermStructure.of(List<SmileDeltaParameters> volatilityTerm, DayCount dayCount, CurveInterpolator timeInterpolator, CurveExtrapolator timeExtrapolatorLeft, CurveExtrapolator timeExtrapolatorRight, CurveInterpolator strikeInterpolator, CurveExtrapolator strikeExtrapolatorLeft, CurveExtrapolator strikeExtrapolatorRight)	Obtains volatility term structure from a set of smile descriptions with interpolator and extrapolators fully specified.
InterpolatedStrikeSmileDeltaTermStructure	InterpolatedStrikeSmileDeltaTermStructure.withParameter(int parameterIndex, double newValue)
InterpolatedStrikeSmileDeltaTermStructure	InterpolatedStrikeSmileDeltaTermStructure.withPerturbation(ParameterPerturbation perturbation)

Methods in com.opengamma.strata.pricer.fxopt that return types with arguments of type InterpolatedStrikeSmileDeltaTermStructure

Modifier and Type	Method	Description
Class<? extends InterpolatedStrikeSmileDeltaTermStructure>	InterpolatedStrikeSmileDeltaTermStructure.Meta.beanType()
org.joda.beans.BeanBuilder<? extends InterpolatedStrikeSmileDeltaTermStructure>	InterpolatedStrikeSmileDeltaTermStructure.Meta.builder()