Class BlackFlatCmsPeriodPricer

  • public final class BlackFlatCmsPeriodPricer
    extends Object
    Computes the price of a CMS coupon in a constant log-normal volatility set-up.

    Reference: Brotherton-Ratcliffe, R. and Iben, B. (1997). Advanced Strategies in financial Risk Management, Chapter Yield Curve Application of Swap Products. New York Institute of Finance. OpenGamma implementation note: Pricing of CMS by replication and other approaches, Version 2.1, May 2016.

    • Method Detail

      • presentValue

        public CurrencyAmount presentValue​(CmsPeriod cmsPeriod,
                                           RatesProvider provider,
                                           SwaptionVolatilities swaptionVolatilities)
        Computes the present value by replication in SABR framework with extrapolation on the right.
        cmsPeriod - the CMS
        provider - the rates provider
        swaptionVolatilities - the swaption volatilities
        the present value