Uses of Package
com.opengamma.strata.pricer.impl.volatility.smile
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Packages that use com.opengamma.strata.pricer.impl.volatility.smile Package Description com.opengamma.strata.pricer.capfloor Calculators for Ibor cap-floor.com.opengamma.strata.pricer.impl.option Internal implementations of option pricing.com.opengamma.strata.pricer.impl.volatility.smile Internal implementations of volatility smile. -
Classes in com.opengamma.strata.pricer.impl.volatility.smile used by com.opengamma.strata.pricer.capfloor Class Description SabrInArrearsVolatilityFunction Adjustments to the SABR parameters to accommodate the pricing of in-arrears caplets. -
Classes in com.opengamma.strata.pricer.impl.volatility.smile used by com.opengamma.strata.pricer.impl.option Class Description SabrFormulaData The data bundle for SABR formula.VolatilityFunctionProvider Provides functions that return volatility and its sensitivity to volatility model parameters. -
Classes in com.opengamma.strata.pricer.impl.volatility.smile used by com.opengamma.strata.pricer.impl.volatility.smile Class Description SabrFormulaData The data bundle for SABR formula.SabrHaganNormalVolatilityFormula Formulas related to the SABR implied normal volatility function.SabrHaganVolatilityFunctionProvider The Hagan SABR volatility function provider.SabrInArrearsVolatilityFunction Adjustments to the SABR parameters to accommodate the pricing of in-arrears caplets.SabrInArrearsVolatilityFunction.Builder The bean-builder forSabrInArrearsVolatilityFunction
.SabrInArrearsVolatilityFunction.Meta The meta-bean forSabrInArrearsVolatilityFunction
.SmileModelData A data bundle of a volatility model.SmileModelFitter Smile model fitter.SsviFormulaData The data bundle for SSVI smile formula.SsviVolatilityFunction Surface Stochastic Volatility Inspired (SSVI) formula.VolatilityFunctionProvider Provides functions that return volatility and its sensitivity to volatility model parameters.