Package | Description |
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com.opengamma.strata.pricer.capfloor |
Calculators for Ibor cap-floor.
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Modifier and Type | Method and Description |
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static SurfaceIborCapletFloorletVolatilityBootstrapDefinition |
SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
CurveInterpolator timeInterpolator,
CurveInterpolator strikeInterpolator)
Obtains an instance with time interpolator and strike interpolator.
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static SurfaceIborCapletFloorletVolatilityBootstrapDefinition |
SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
CurveInterpolator timeInterpolator,
CurveInterpolator strikeInterpolator,
Curve shiftCurve)
Obtains an instance with time interpolator, strike interpolator and shift curve.
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static SurfaceIborCapletFloorletVolatilityBootstrapDefinition |
SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
GridSurfaceInterpolator interpolator)
Obtains an instance with gird surface interpolator.
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static SurfaceIborCapletFloorletVolatilityBootstrapDefinition |
SurfaceIborCapletFloorletVolatilityBootstrapDefinition.of(IborCapletFloorletVolatilitiesName name,
IborIndex index,
DayCount dayCount,
GridSurfaceInterpolator interpolator,
Curve shiftCurve)
Obtains an instance with gird surface interpolator and shift curve.
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Modifier and Type | Method and Description |
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Class<? extends SurfaceIborCapletFloorletVolatilityBootstrapDefinition> |
SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta.beanType() |
org.joda.beans.BeanBuilder<? extends SurfaceIborCapletFloorletVolatilityBootstrapDefinition> |
SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta.builder() |
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.