public class BlackSwaptionCashParYieldProductPricer extends VolatilitySwaptionCashParYieldProductPricer
The swap underlying the swaption must have a fixed leg on which the forward rate is computed. The underlying swap must be single currency.
The volatility parameters are not adjusted for the underlying swap convention.
The value of the swaption after expiry is 0.
For a swaption which already expired, negative number is returned by
SwaptionVolatilities.relativeTime(ZonedDateTime)
.
Modifier and Type | Field and Description |
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static BlackSwaptionCashParYieldProductPricer |
DEFAULT
Default implementation.
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Constructor and Description |
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BlackSwaptionCashParYieldProductPricer(DiscountingSwapProductPricer swapPricer)
Creates an instance.
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calculateNumeraire, calculateStrike, currencyExposure, fixedLeg, getSwapPricer, impliedVolatility, presentValue, presentValueDelta, presentValueGamma, presentValueSensitivityModelParamsVolatility, presentValueSensitivityRatesStickyStrike, presentValueTheta, validate, validateSwaption
public static final BlackSwaptionCashParYieldProductPricer DEFAULT
public BlackSwaptionCashParYieldProductPricer(DiscountingSwapProductPricer swapPricer)
swapPricer
- the pricer for Swap
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.