Package com.opengamma.analytics.financial.interestrate.payments.method

Examples of com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRExtrapolationRightReplicationMethod

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   * @param mu The tail thickness parameter.
   */
  public PresentValueSABRSensitivitySABRRightExtrapolationCalculator(final double cutOffStrike, final double mu) {
    _mu = mu;
    _cutOffStrike = cutOffStrike;
    _methodExtraCMSCpn = new CouponCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
    _methodExtraCMSCap = new CapFloorCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
  }
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   * @param mu The tail thickness parameter.
   */
  public PresentValueCurveSensitivitySABRExtrapolationCalculator(final double cutOffStrike, final double mu) {
    _mu = mu;
    _cutOffStrike = cutOffStrike;
    _methodExtraCMSCpn = new CouponCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
    _methodExtraCMSCap = new CapFloorCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
  }
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   * @param mu The tail thickness parameter.
   */
  public PresentValueSABRExtrapolationCalculator(final double cutOffStrike, final double mu) {
    _mu = mu;
    _cutOffStrike = cutOffStrike;
    _methodExtraCMSCpn = new CouponCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
    _methodExtraCMSCap = new CapFloorCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.payments.method.CouponCMSSABRExtrapolationRightReplicationMethod

  • com.opengamma.analytics.financial.interestrate.PresentValueCurveSensitivitySABRExtrapolationCalculator
  • com.opengamma.analytics.financial.interestrate.PresentValueSABRExtrapolationCalculator
  • com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivitySABRRightExtrapolationCalculator
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