Class BlackSwaptionPhysicalProductPricer

  • public class BlackSwaptionPhysicalProductPricer
    extends VolatilitySwaptionPhysicalProductPricer
    Pricer for swaption with physical 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 has already expired, a negative number is returned by SwaptionVolatilities.relativeTime(ZonedDateTime).