Package com.opengamma.strata.pricer.impl.cms

Class BlackFlatCmsPeriodPricer

java.lang.Object

com.opengamma.strata.pricer.impl.cms.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 Summary

Modifier and Type	Method	Description
static BlackFlatCmsPeriodPricer	of(DiscountingSwapProductPricer swapPricer)	Obtains the pricer.
CurrencyAmount	presentValue(CmsPeriod cmsPeriod, RatesProvider provider, SwaptionVolatilities swaptionVolatilities)	Computes the present value by replication in SABR framework with extrapolation on the right.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Method Detail

of

public static BlackFlatCmsPeriodPricer of(DiscountingSwapProductPricer swapPricer)

Obtains the pricer.

Parameters:

swapPricer - the pricer for underlying swap

Returns:

the pricer

presentValue

public CurrencyAmount presentValue(CmsPeriod cmsPeriod,
                                   RatesProvider provider,
                                   SwaptionVolatilities swaptionVolatilities)

Computes the present value by replication in SABR framework with extrapolation on the right.

Parameters:

cmsPeriod - the CMS

provider - the rates provider

swaptionVolatilities - the swaption volatilities

Returns:

the present value