Package | Description |
---|---|
com.opengamma.strata.pricer.capfloor |
Calculators for Ibor cap-floor.
|
Modifier and Type | Method and Description |
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DirectIborCapletFloorletFlatVolatilityDefinition |
DirectIborCapletFloorletFlatVolatilityDefinition.Builder.build() |
static DirectIborCapletFloorletFlatVolatilityDefinition |
DirectIborCapletFloorletFlatVolatilityDefinition.of(IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
double lambda,
CurveInterpolator interpolator)
Obtains an instance with flat extrapolators.
|
static DirectIborCapletFloorletFlatVolatilityDefinition |
DirectIborCapletFloorletFlatVolatilityDefinition.of(IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
double lambda,
CurveInterpolator interpolator,
CurveExtrapolator extrapolatorLeft,
CurveExtrapolator extrapolatorRight)
Obtains an instance.
|
Modifier and Type | Method and Description |
---|---|
Class<? extends DirectIborCapletFloorletFlatVolatilityDefinition> |
DirectIborCapletFloorletFlatVolatilityDefinition.Meta.beanType() |
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.