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

Examples of com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSABRExtrapolationRightReplicationMethod

53
54
55
56
57
58
59
60
61
   */
  public PresentValueSABRSwaptionRightExtrapolationCalculator(final double cutOffStrike, final double mu) {
    _mu = mu;
    _cutOffStrike = cutOffStrike;
    _methodExtraCMSCpn = new CouponCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
    _methodExtraCMSCap = new CapFloorCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
    _methodSwptPhys = new SwaptionPhysicalFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
    _methodSwptCash = new SwaptionCashFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
  }
View Full Code Here
54
55
56
57
58
59
60
61
62
   */
  public PresentValueCurveSensitivitySABRSwaptionRightExtrapolationCalculator(final double cutOffStrike, final double mu) {
    _mu = mu;
    _cutOffStrike = cutOffStrike;
    _methodExtraCMSCpn = new CouponCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
    _methodExtraCMSCap = new CapFloorCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
    _methodSwptPhys = new SwaptionPhysicalFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
    _methodSwptCash = new SwaptionCashFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
  }
View Full Code Here
51
52
53
54
55
56
57
58
   */
  public PresentValueSABRSensitivitySABRSwaptionRightExtrapolationCalculator(final double cutOffStrike, final double mu) {
    _mu = mu;
    _cutOffStrike = cutOffStrike;
    _methodExtraCMSCpn = new CouponCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
    _methodExtraCMSCap = new CapFloorCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
    _methodSwptCash = new SwaptionCashFixedIborSABRExtrapolationRightMethod(_cutOffStrike, _mu);
  }
View Full Code Here
TOP

Related Classes of com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSABRExtrapolationRightReplicationMethod

  • com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle
  • com.opengamma.analytics.financial.model.option.definition.SABRInterestRateParameters
  • com.opengamma.analytics.financial.model.option.pricing.analytic.formula.EuropeanVanillaOption
  • com.opengamma.analytics.financial.model.option.pricing.analytic.formula.SABRExtrapolationRightFunction
  • com.opengamma.analytics.financial.model.volatility.smile.function.SABRFormulaData
  • com.opengamma.analytics.financial.provider.calculator.sabrswaption.PresentValueCurveSensitivitySABRSwaptionRightExtrapolationCalculator
  • com.opengamma.analytics.financial.provider.calculator.sabrswaption.PresentValueSABRSensitivitySABRSwaptionRightExtrapolationCalculator
  • com.opengamma.analytics.financial.provider.calculator.sabrswaption.PresentValueSABRSwaptionRightExtrapolationCalculator
  • com.opengamma.analytics.financial.provider.sensitivity.multicurve.MulticurveSensitivity
  • com.opengamma.analytics.math.integration.RungeKuttaIntegrator1D
    • Copyright © 2018 www.massapicom. All rights reserved.
    All source code are property of their respective owners. Java is a trademark of Sun Microsystems, Inc and owned by ORACLE Inc. Contact coftware#gmail.com.