List of priceDerivativeStrike() Examples

Examples of priceDerivativeStrike()

com.opengamma.analytics.financial.model.option.pricing.analytic.formula.SABRExtrapolationRightFunction.priceDerivativeStrike()
Computes the option price derivative with respect to the strike. The price is SABR below the cut-off strike and extrapolated beyond. @param option The option. @return The option derivative.

Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.SABRExtrapolationRightFunction.priceDerivativeStrike()

      thirdPart = integrator.integrate(integrant, strike, strike + getIntegrationInterval());
    } else {
      firstPart = 3 * kpkpp[0] * integrant.bs(strike);
      thirdPart = integrator.integrate(integrant, 0.0, strike);
    }
    final double secondPart = integrant.k(strike) * sabrExtrapolation.priceDerivativeStrike(option);


    return cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction() * factor * (firstPart + secondPart + thirdPart);
  }


  /**

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Examples of com.opengamma.analytics.financial.model.option.pricing.analytic.formula.SABRExtrapolationRightFunction.priceDerivativeStrike()

      thirdPart = integrator.integrate(integrant, strike, strike + getIntegrationInterval());
    } else {
      firstPart = 3 * kpkpp[0] * integrant.bs(strike);
      thirdPart = integrator.integrate(integrant, 0.0, strike);
    }
    final double secondPart = integrant.k(strike) * sabrExtrapolation.priceDerivativeStrike(option);


    return cmsCapFloor.getNotional() * cmsCapFloor.getPaymentYearFraction() * factor * (firstPart + secondPart + thirdPart);
  }


  /**

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