Examples of CapFloorIborSABRCapExtrapolationRightMethod

com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorIborSABRCapExtrapolationRightMethod
Class used to compute the price and sensitivity of a Ibor cap/floor with SABR model and extrapolation for high strikes. No convexity adjustment is done for payment at non-standard dates.

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

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

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

   * @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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