| Package | Description |
|---|---|
| com.opengamma.strata.pricer.bond |
Calculators for bonds.
|
| com.opengamma.strata.pricer.sensitivity |
Calculators for sensitivities.
|
| Modifier and Type | Method and Description |
|---|---|
ImmutableLegalEntityDiscountingProvider |
ImmutableLegalEntityDiscountingProvider.Builder.build() |
ImmutableLegalEntityDiscountingProvider |
LegalEntityDiscountingProvider.toImmutableLegalEntityDiscountingProvider()
Converts this provider to an equivalent
ImmutableLegalEntityDiscountingProvider. |
ImmutableLegalEntityDiscountingProvider |
ImmutableLegalEntityDiscountingProvider.toImmutableLegalEntityDiscountingProvider() |
| Modifier and Type | Method and Description |
|---|---|
Class<? extends ImmutableLegalEntityDiscountingProvider> |
ImmutableLegalEntityDiscountingProvider.Meta.beanType() |
| Modifier and Type | Method and Description |
|---|---|
CrossGammaParameterSensitivities |
CurveGammaCalculator.calculateCrossGammaIntraCurve(LegalEntityDiscountingProvider ratesProvider,
Function<ImmutableLegalEntityDiscountingProvider,CurrencyParameterSensitivities> sensitivitiesFn)
Computes intra-curve cross gamma for bond curves by applying finite difference method to curve delta.
|
CurrencyParameterSensitivities |
RatesFiniteDifferenceSensitivityCalculator.sensitivity(LegalEntityDiscountingProvider provider,
Function<ImmutableLegalEntityDiscountingProvider,CurrencyAmount> valueFn)
Computes the first order sensitivities of a function of a LegalEntityDiscountingProvider to a double by finite difference.
|
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.