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Expose forward rate and implied volatility in swaption pricers #2358

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santorog
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@santorog santorog commented Sep 15, 2021

Most of this merge request is refactoring / plumbery. What requires more attention is

VolatilitySwaptionProductPricer::forwardRate(ResolvedSwaption swaption, RatesProvider ratesProvider)

@santorog santorog changed the title Swaption trade pricer changes required for transparency report Expose forward rate and implied volatility in swaption pricers Sep 15, 2021
…ward starting swap of the swaption

* Deal with merge request comments
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@skitini skitini left a comment

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Just JavaDoc changes otherwise good from me.

@santorog santorog merged commit 0174dec into main Sep 16, 2021
@delete-merged-branch delete-merged-branch bot deleted the topic/PROD-9215_swaption_trade_pricer_for_transparency_report branch September 16, 2021 15:27
@jodastephen jodastephen added this to the v2.11 milestone Jan 5, 2022
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3 participants