Uses of Class
com.opengamma.strata.pricer.impl.volatility.smile.VolatilityFunctionProvider

Packages that use VolatilityFunctionProvider

Package	Description
com.opengamma.strata.pricer.impl.option	Internal implementations of option pricing.
com.opengamma.strata.pricer.impl.volatility.smile	Internal implementations of volatility smile.

Uses of VolatilityFunctionProvider in com.opengamma.strata.pricer.impl.option

Methods in com.opengamma.strata.pricer.impl.option with parameters of type VolatilityFunctionProvider

Modifier and Type	Method	Description
static SabrExtrapolationRightFunction	SabrExtrapolationRightFunction.of(double forward, SabrFormulaData sabrData, double cutOffStrike, double timeToExpiry, double mu, VolatilityFunctionProvider<SabrFormulaData> volatilityFunction)	Obtains an instance with volatility provider specified.

Uses of VolatilityFunctionProvider in com.opengamma.strata.pricer.impl.volatility.smile

Subclasses of VolatilityFunctionProvider in com.opengamma.strata.pricer.impl.volatility.smile

Modifier and Type	Class	Description
class	SabrHaganVolatilityFunctionProvider	The Hagan SABR volatility function provider.
class	SsviVolatilityFunction	Surface Stochastic Volatility Inspired (SSVI) formula.

Methods in com.opengamma.strata.pricer.impl.volatility.smile that return VolatilityFunctionProvider

Modifier and Type	Method	Description
VolatilityFunctionProvider<T>	SmileModelFitter.getModel()	Obtains the volatility function provider.

Constructors in com.opengamma.strata.pricer.impl.volatility.smile with parameters of type VolatilityFunctionProvider

Constructor	Description
SabrModelFitter(double forward, DoubleArray strikes, double timeToExpiry, DoubleArray impliedVols, DoubleArray error, VolatilityFunctionProvider<SabrFormulaData> model)	Constructs SABR model fitter from forward, strikes, time to expiry, implied volatilities and error values.
SmileModelFitter(double forward, DoubleArray strikes, double timeToExpiry, DoubleArray impliedVols, DoubleArray error, VolatilityFunctionProvider<T> model)	Constructs smile model fitter from forward, strikes, time to expiry, implied volatilities and error values.