com.opengamma.strata.pricer.swaption.BlackSwaptionCashParYieldProductPricer Maven / Gradle / Ivy
/*
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.pricer.swaption;
import java.time.ZonedDateTime;
import com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer;
import com.opengamma.strata.product.swap.Swap;
/**
* Pricer for swaption with par yield curve method of cash settlement in a log-normal or Black model on the swap rate.
*
* The swap underlying the swaption must have a fixed leg on which the forward rate is computed.
* The underlying swap must be single currency.
*
* The volatility parameters are not adjusted for the underlying swap convention.
*
* The value of the swaption after expiry is 0.
* For a swaption which already expired, negative number is returned by
* {@link SwaptionVolatilities#relativeTime(ZonedDateTime)}.
*/
public class BlackSwaptionCashParYieldProductPricer
extends VolatilitySwaptionCashParYieldProductPricer {
/**
* Default implementation.
*/
public static final BlackSwaptionCashParYieldProductPricer DEFAULT =
new BlackSwaptionCashParYieldProductPricer(DiscountingSwapProductPricer.DEFAULT);
/**
* Creates an instance.
*
* @param swapPricer the pricer for {@link Swap}
*/
public BlackSwaptionCashParYieldProductPricer(DiscountingSwapProductPricer swapPricer) {
super(swapPricer);
}
}