/**
* Copyright (C) 2011 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.analytics.financial.interestrate.payments.provider;
/**
* Class used to compute the price of a CMS coupon 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.
*/
public class CouponCMSSABRExtrapolationRightReplicationMethod extends CouponCMSSABRReplicationGenericMethod {
/**
* Default constructor. The default integration interval is 1.00 (100%).
* @param cutOffStrike The cut-off strike.
* @param mu The tail thickness parameter.
*/
public CouponCMSSABRExtrapolationRightReplicationMethod(double cutOffStrike, double mu) {
super(new CapFloorCMSSABRExtrapolationRightReplicationMethod(cutOffStrike, mu));
}
}