Examples of CapFloorCMSSABRExtrapolationRightReplicationMethod

com.opengamma.analytics.financial.interestrate.payments.method.CapFloorCMSSABRExtrapolationRightReplicationMethod
Class used to compute the price of a CMS cap/floor by swaption replication on a SABR formula with extrapolation. Reference: Hagan, P. S. (2003). Convexity conundrums: Pricing CMS swaps, caps, and floors. Wilmott Magazine, March, pages 38--44. OpenGamma implementation note: Replication pricing for linear and TEC format CMS, Version 1.2, March 2011. OpenGamma implementation note for the extrapolation: Smile extrapolation, version 1.2, May 2011. @deprecated Use classes descended from {@link CapFloorCMSSABRReplicationAbstractMethod}
com.opengamma.analytics.financial.interestrate.payments.provider.CapFloorCMSSABRExtrapolationRightReplicationMethod
Class used to compute the price of a CMS cap/floor by swaption replication on a SABR formula with extrapolation. Reference: Hagan, P. S. (2003). Convexity conundrums: Pricing CMS swaps, caps, and floors. Wilmott Magazine, March, pages 38--44. OpenGamma implementation note: Replication pricing for linear and TEC format CMS, Version 1.2, March 2011. OpenGamma implementation note for the extrapolation: Smile extrapolation, version 1.2, May 2011.

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

   */
  public PresentValueSABRSensitivitySABRRightExtrapolationCalculator(final double cutOffStrike, final double mu) {
    _mu = mu;
    _cutOffStrike = cutOffStrike;
    _methodExtraCMSCpn = new CouponCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
    _methodExtraCMSCap = new CapFloorCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
  }

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

   */
  public PresentValueCurveSensitivitySABRExtrapolationCalculator(final double cutOffStrike, final double mu) {
    _mu = mu;
    _cutOffStrike = cutOffStrike;
    _methodExtraCMSCpn = new CouponCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
    _methodExtraCMSCap = new CapFloorCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
  }

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

   */
  public PresentValueSABRExtrapolationCalculator(final double cutOffStrike, final double mu) {
    _mu = mu;
    _cutOffStrike = cutOffStrike;
    _methodExtraCMSCpn = new CouponCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
    _methodExtraCMSCap = new CapFloorCMSSABRExtrapolationRightReplicationMethod(_cutOffStrike, _mu);
  }

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

   */
  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);
  }

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

   */
  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);
  }

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

   */
  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);
  }

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