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

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

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   * @param mu The tail thickness parameter.
   */
  public PresentValueSABRCapRightExtrapolationCalculator(final double cutOffStrike, final double mu) {
    _mu = mu;
    _cutOffStrike = cutOffStrike;
    _methodExtraCap = new CapFloorIborSABRCapExtrapolationRightMethod(_cutOffStrike, _mu);
  }
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   * @param mu The tail thickness parameter.
   */
  public PresentValueSABRSensitivitySABRCapRightExtrapolationCalculator(final double cutOffStrike, final double mu) {
    _mu = mu;
    _cutOffStrike = cutOffStrike;
    _methodExtraCap = new CapFloorIborSABRCapExtrapolationRightMethod(_cutOffStrike, _mu);
  }
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   * @param mu The tail thickness parameter.
   */
  public PresentValueCurveSensitivitySABRCapRightExtrapolationCalculator(final double cutOffStrike, final double mu) {
    _mu = mu;
    _cutOffStrike = cutOffStrike;
    _methodExtraCap = new CapFloorIborSABRCapExtrapolationRightMethod(_cutOffStrike, _mu);
  }
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Related Classes of com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorIborSABRCapExtrapolationRightMethod

  • com.opengamma.analytics.financial.interestrate.PresentValueSABRSensitivityDataBundle
  • com.opengamma.analytics.financial.model.option.pricing.analytic.formula.BlackFunctionData
  • 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.sabrcap.PresentValueCurveSensitivitySABRCapRightExtrapolationCalculator
  • com.opengamma.analytics.financial.provider.calculator.sabrcap.PresentValueSABRCapRightExtrapolationCalculator
  • com.opengamma.analytics.financial.provider.calculator.sabrcap.PresentValueSABRSensitivitySABRCapRightExtrapolationCalculator
  • com.opengamma.analytics.financial.provider.description.interestrate.MulticurveProviderInterface
  • com.opengamma.analytics.financial.provider.sensitivity.multicurve.ForwardSensitivity
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