Class BlackSwaptionCashParYieldProductPricer

  • public class BlackSwaptionCashParYieldProductPricer
    extends VolatilitySwaptionCashParYieldProductPricer
    Pricer for swaption with par yield curve method of cash settlement in a log-normal or Black model on the swap rate.

    The swap underlying the swaption must have a fixed leg on which the forward rate is computed. The underlying swap must be single currency.

    The volatility parameters are not adjusted for the underlying swap convention.

    The value of the swaption after expiry is 0. For a swaption which already expired, negative number is returned by SwaptionVolatilities.relativeTime(ZonedDateTime).