| Package | Description |
|---|---|
| com.opengamma.strata.measure.cms |
Calculation functions for constant maturity swap (CMS) products.
|
| Class and Description |
|---|
| CmsSabrExtrapolationParams
The additional parameters necessary for pricing CMS using SABR extrapolation replication.
|
| CmsTradeCalculations
Calculates pricing and risk measures for constant maturity swap (CMS) trades.
|
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Additional documentation can be found at strata.opengamma.io.