Uses of Interface
com.opengamma.strata.pricer.swaption.SwaptionVolatilities

Packages that use SwaptionVolatilities

Package	Description
com.opengamma.strata.measure.cms	Calculation functions for constant maturity swap (CMS) products.
com.opengamma.strata.measure.swaption	Calculation functions for swaption products.
com.opengamma.strata.pricer.impl.cms
com.opengamma.strata.pricer.swaption	Calculators for swaptions.

Uses of SwaptionVolatilities in com.opengamma.strata.measure.cms

Methods in com.opengamma.strata.measure.cms with parameters of type SwaptionVolatilities

Modifier and Type	Method	Description
MultiCurrencyAmount	CmsTradeCalculations.currencyExposure(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)	Calculates currency exposure for a single set of market data.
MultiCurrencyAmount	CmsTradeCalculations.currentCash(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)	Calculates current cash for a single set of market data.
MultiCurrencyAmount	CmsTradeCalculations.presentValue(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)	Calculates present value for a single set of market data.
CurrencyParameterSensitivities	CmsTradeCalculations.pv01RatesCalibratedBucketed(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)	Calculates present value sensitivity for a single set of market data.
MultiCurrencyAmount	CmsTradeCalculations.pv01RatesCalibratedSum(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)	Calculates present value sensitivity for a single set of market data.
CurrencyParameterSensitivities	CmsTradeCalculations.pv01RatesMarketQuoteBucketed(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)	Calculates present value sensitivity for a single set of market data.
MultiCurrencyAmount	CmsTradeCalculations.pv01RatesMarketQuoteSum(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)	Calculates present value sensitivity for a single set of market data.

Uses of SwaptionVolatilities in com.opengamma.strata.measure.swaption

Methods in com.opengamma.strata.measure.swaption that return SwaptionVolatilities

Modifier and Type	Method	Description
SwaptionVolatilities	SwaptionMarketData.volatilities(RateIndex index)	Gets the volatilities for the specified index.
SwaptionVolatilities	SwaptionMarketDataLookup.volatilities(RateIndex index, MarketData marketData)	Obtains swaption volatilities based on the specified market data.

Methods in com.opengamma.strata.measure.swaption with parameters of type SwaptionVolatilities

Modifier and Type	Method	Description
MultiCurrencyAmount	SwaptionTradeCalculations.currencyExposure(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)	Calculates currency exposure for a single set of market data.
CurrencyAmount	SwaptionTradeCalculations.currentCash(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)	Calculates current cash for a single set of market data.
CurrencyAmount	SwaptionTradeCalculations.presentValue(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)	Calculates present value for a single set of market data.
CurrencyParameterSensitivities	SwaptionTradeCalculations.pv01RatesCalibratedBucketed(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)	Calculates present value sensitivity for a single set of market data.
MultiCurrencyAmount	SwaptionTradeCalculations.pv01RatesCalibratedSum(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)	Calculates present value sensitivity for a single set of market data.
CurrencyParameterSensitivities	SwaptionTradeCalculations.pv01RatesMarketQuoteBucketed(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)	Calculates present value sensitivity for a single set of market data.
MultiCurrencyAmount	SwaptionTradeCalculations.pv01RatesMarketQuoteSum(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)	Calculates present value sensitivity for a single set of market data.
CurrencyParameterSensitivities	SwaptionTradeCalculations.vegaMarketQuoteBucketed(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)	Calculates present value vega sensitivity for a single set of market data.

Uses of SwaptionVolatilities in com.opengamma.strata.pricer.impl.cms

Methods in com.opengamma.strata.pricer.impl.cms with parameters of type SwaptionVolatilities

Modifier and Type	Method	Description
CurrencyAmount	BlackFlatCmsPeriodPricer.presentValue(CmsPeriod cmsPeriod, RatesProvider provider, SwaptionVolatilities swaptionVolatilities)	Computes the present value by replication in SABR framework with extrapolation on the right.

Uses of SwaptionVolatilities in com.opengamma.strata.pricer.swaption

Subinterfaces of SwaptionVolatilities in com.opengamma.strata.pricer.swaption

Modifier and Type	Interface	Description
interface	BlackSwaptionVolatilities	Volatility for swaptions in the log-normal or Black model.
interface	NormalSwaptionVolatilities	Volatility for swaptions in the normal or Bachelier model.
interface	SabrSwaptionVolatilities	Volatility for swaptions in SABR model.

Classes in com.opengamma.strata.pricer.swaption that implement SwaptionVolatilities

Modifier and Type	Class	Description
class	BlackSwaptionExpiryTenorVolatilities	Volatility for swaptions in the log-normal or Black model.
class	NormalSwaptionExpirySimpleMoneynessVolatilities	Volatility for swaptions in the normal or Bachelier model based on a surface.
class	NormalSwaptionExpiryStrikeVolatilities	Volatility for swaptions in the normal or Bachelier model based on a surface.
class	NormalSwaptionExpiryTenorVolatilities	Volatility for swaptions in the normal or Bachelier model based on a surface.
class	SabrParametersSwaptionVolatilities	Volatility environment for swaptions in the SABR model.

Methods in com.opengamma.strata.pricer.swaption that return SwaptionVolatilities

Modifier and Type	Method	Description
SwaptionVolatilities	SwaptionVolatilities.withParameter(int parameterIndex, double newValue)
SwaptionVolatilities	SwaptionVolatilities.withPerturbation(ParameterPerturbation perturbation)

Methods in com.opengamma.strata.pricer.swaption that return types with arguments of type SwaptionVolatilities

Modifier and Type	Method	Description
MarketDataName<SwaptionVolatilities>	SwaptionVolatilitiesId.getMarketDataName()
Class<SwaptionVolatilities>	SwaptionVolatilitiesId.getMarketDataType()
Class<SwaptionVolatilities>	SwaptionVolatilitiesName.getMarketDataType()

Methods in com.opengamma.strata.pricer.swaption with parameters of type SwaptionVolatilities

Modifier and Type	Method	Description
SabrParametersSwaptionVolatilities	SabrSwaptionCalibrator.calibrateAlphaWithAtm(SwaptionVolatilitiesName name, SabrParametersSwaptionVolatilities sabr, RatesProvider ratesProvider, SwaptionVolatilities atmVolatilities, List<Tenor> tenors, List<Period> expiries, SurfaceInterpolator interpolator)	Calibrate SABR alpha parameters to a set of ATM swaption volatilities.
MultiCurrencyAmount	VolatilitySwaptionCashParYieldProductPricer.currencyExposure(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Computes the currency exposure of the swaption.
MultiCurrencyAmount	VolatilitySwaptionPhysicalProductPricer.currencyExposure(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Computes the currency exposure of the swaption.
MultiCurrencyAmount	VolatilitySwaptionProductPricer.currencyExposure(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Computes the currency exposure of the swaption.
MultiCurrencyAmount	VolatilitySwaptionTradePricer.currencyExposure(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Computes the currency exposure of the swaption trade.
double	BlackSwaptionTradePricer.impliedVolatility(ResolvedSwaptionTrade swaptionTrade, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Computes the implied volatility of the swaption.
double	NormalSwaptionTradePricer.impliedVolatility(ResolvedSwaptionTrade swaptionTrade, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Computes the implied volatility of the swaption.
double	SabrSwaptionTradePricer.impliedVolatility(ResolvedSwaptionTrade swaptionTrade, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Computes the implied volatility of the swaption.
double	VolatilitySwaptionCashParYieldProductPricer.impliedVolatility(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Computes the implied volatility of the swaption.
double	VolatilitySwaptionPhysicalProductPricer.impliedVolatility(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Computes the implied volatility of the swaption.
double	VolatilitySwaptionProductPricer.impliedVolatility(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Computes the implied volatility of the swaption.
double	VolatilitySwaptionTradePricer.impliedVolatility(ResolvedSwaptionTrade swaptionTrade, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Computes the implied volatility of the swaption.
CurrencyAmount	VolatilitySwaptionCashParYieldProductPricer.presentValue(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value of the swaption.
CurrencyAmount	VolatilitySwaptionPhysicalProductPricer.presentValue(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value of the swaption.
CurrencyAmount	VolatilitySwaptionProductPricer.presentValue(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value of the swaption.
CurrencyAmount	VolatilitySwaptionTradePricer.presentValue(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value of the swaption trade.
CurrencyAmount	VolatilitySwaptionCashParYieldProductPricer.presentValueDelta(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value delta of the swaption.
CurrencyAmount	VolatilitySwaptionPhysicalProductPricer.presentValueDelta(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value delta of the swaption.
CurrencyAmount	VolatilitySwaptionProductPricer.presentValueDelta(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value delta of the swaption.
CurrencyAmount	VolatilitySwaptionCashParYieldProductPricer.presentValueGamma(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value gamma of the swaption.
CurrencyAmount	VolatilitySwaptionPhysicalProductPricer.presentValueGamma(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value gamma of the swaption.
CurrencyAmount	VolatilitySwaptionProductPricer.presentValueGamma(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value gamma of the swaption.
SwaptionSensitivity	VolatilitySwaptionCashParYieldProductPricer.presentValueSensitivityModelParamsVolatility(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value sensitivity to the implied volatility of the swaption.
SwaptionSensitivity	VolatilitySwaptionPhysicalProductPricer.presentValueSensitivityModelParamsVolatility(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value sensitivity to the implied volatility of the swaption.
SwaptionSensitivity	VolatilitySwaptionProductPricer.presentValueSensitivityModelParamsVolatility(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value sensitivity to the implied volatility of the swaption.
PointSensitivities	VolatilitySwaptionTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value sensitivity to the implied volatility of the swaption trade.
PointSensitivityBuilder	VolatilitySwaptionCashParYieldProductPricer.presentValueSensitivityRatesStickyStrike(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value sensitivity of the swaption to the rate curves.
PointSensitivityBuilder	VolatilitySwaptionPhysicalProductPricer.presentValueSensitivityRatesStickyStrike(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value sensitivity of the swaption to the rate curves.
PointSensitivityBuilder	VolatilitySwaptionProductPricer.presentValueSensitivityRatesStickyStrike(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value sensitivity of the swaption to the rate curves.
PointSensitivities	VolatilitySwaptionTradePricer.presentValueSensitivityRatesStickyStrike(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value sensitivity of the swaption to the rate curves.
CurrencyAmount	VolatilitySwaptionCashParYieldProductPricer.presentValueTheta(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value of the swaption.
CurrencyAmount	VolatilitySwaptionPhysicalProductPricer.presentValueTheta(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value of the swaption.
CurrencyAmount	VolatilitySwaptionProductPricer.presentValueTheta(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Calculates the present value of the swaption.
protected void	VolatilitySwaptionCashParYieldProductPricer.validate(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Validates that the rates and volatilities providers are coherent and that the swaption is single currency cash par-yield.
protected void	VolatilitySwaptionPhysicalProductPricer.validate(ResolvedSwaption swaption, RatesProvider ratesProvider, SwaptionVolatilities swaptionVolatilities)	Validates that the rates and volatilities providers are coherent and that the swaption is single currency physical.