Package com.opengamma.analytics.financial.model.volatility

Examples of com.opengamma.analytics.financial.model.volatility.FlatVolatility


    final int start = 1; // miss out first (known) libor rate
    final int end = 5 * 4;

    // VolatilityModel1D volModel = new SABRTermStructureParameters(ConstantDoublesCurve.from(0.3), ConstantDoublesCurve.from(1.0), ConstantDoublesCurve.from(-0.5), ConstantDoublesCurve.from(0.5));
    final double vol = 0.688;
    final VolatilityModel1D volModel = new FlatVolatility(vol);

    CapFloor cap = SimpleCapFloorMaker.makeCap(CUR, INDEX, start, end, "3m Libor", "3m Libor", 0.00928, true);
    CapFloorPricer pricer = new CapFloorPricer(cap, YIELD_CURVES);
    double fwd = pricer.getCapForward();
    final double price = pricer.price(volModel);
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