NormalSwaptionCashParYieldProductPricer (OpenGamma Strata)

java.lang.Object
- com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer
- - com.opengamma.strata.pricer.swaption.NormalSwaptionCashParYieldProductPricer

```
public class NormalSwaptionCashParYieldProductPricer
extends VolatilitySwaptionCashParYieldProductPricer
```
Pricer for swaption with par yield curve method of cash settlement in a normal 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).

Field Summary

Fields
Modifier and Type Field Description

static NormalSwaptionCashParYieldProductPricer DEFAULT
Default implementation.

Constructor Summary

Constructors
Constructor Description

NormalSwaptionCashParYieldProductPricer(DiscountingSwapProductPricer swapPricer)
Creates an instance.

Method Summary

All Methods Instance Methods Concrete Methods
Modifier and Type	Method	Description
`double`	`impliedVolatilityFromPresentValue(ResolvedSwaption swaption, RatesProvider ratesProvider, DayCount dayCount, double presentValue)`	Computes the implied normal volatility from the present value of a swaption.

Methods inherited from class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer
calculateNumeraire, calculateStrike, currencyExposure, fixedLeg, forwardRate, getSwapPricer, impliedVolatility, presentValue, presentValueDelta, presentValueGamma, presentValueSensitivityModelParamsVolatility, presentValueSensitivityRatesStickyStrike, presentValueTheta, validate, validateSwaption

Methods inherited from class java.lang.Object
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

- Field Detail
  - DEFAULT
```
public static final NormalSwaptionCashParYieldProductPricer DEFAULT
```
    Default implementation.
- Constructor Detail
  - NormalSwaptionCashParYieldProductPricer
```
public NormalSwaptionCashParYieldProductPricer(DiscountingSwapProductPricer swapPricer)
```
    Creates an instance.
    
    Parameters:
    
    swapPricer - the pricer for Swap
- Method Detail
  - impliedVolatilityFromPresentValue
```
public double impliedVolatilityFromPresentValue(ResolvedSwaption swaption,
                                                RatesProvider ratesProvider,
                                                DayCount dayCount,
                                                double presentValue)
```
    Computes the implied normal volatility from the present value of a swaption.
    The guess volatility for the start of the root-finding process is 1%.
    
    Parameters:
    
    swaption - the product
    
    ratesProvider - the rates provider
    
    dayCount - the day-count used to estimate the time between valuation date and swaption expiry
    
    presentValue - the present value of the swaption product
    
    Returns:
    
    the implied volatility associated with the present value