Class | Description |
---|---|
DiscountingCmsLegPricer |
Pricer for CMS legs by simple forward estimation.
|
DiscountingCmsProductPricer |
Computes the price of a CMS product by simple forward estimation.
|
DiscountingCmsTradePricer |
Pricer for CMS trade by simple forward estimation.
|
SabrExtrapolationReplicationCmsLegPricer |
Pricer for CMS legs by swaption replication on a SABR formula with extrapolation.
|
SabrExtrapolationReplicationCmsPeriodPricer |
Computes the price of a CMS coupon/caplet/floorlet by swaption replication on a shifted SABR formula with extrapolation.
|
SabrExtrapolationReplicationCmsProductPricer |
Pricer for CMS products by swaption replication on a SABR formula with extrapolation.
|
SabrExtrapolationReplicationCmsTradePricer |
Pricer for CMS trade by swaption replication on a SABR formula with extrapolation.
|
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.