Package | Description |
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com.opengamma.strata.pricer.impl.option |
Internal implementations of option pricing.
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Modifier and Type | Method and Description |
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static SabrExtrapolationRightFunction |
SabrExtrapolationRightFunction.of(double forward,
double timeToExpiry,
SabrFormulaData sabrData,
double cutOffStrike,
double mu)
Obtains an instance with default volatility provider.
|
static SabrExtrapolationRightFunction |
SabrExtrapolationRightFunction.of(double forward,
SabrFormulaData sabrData,
double cutOffStrike,
double timeToExpiry,
double mu,
VolatilityFunctionProvider<SabrFormulaData> volatilityFunction)
Obtains an instance with volatility provider specified.
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Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.