| Package | Description |
|---|---|
| com.opengamma.strata.pricer.bond |
Calculators for bonds.
|
| com.opengamma.strata.pricer.sensitivity |
Calculators for sensitivities.
|
| Modifier and Type | Class and Description |
|---|---|
class |
ImmutableLegalEntityDiscountingProvider
An immutable provider of data for bond pricing, based on repo and issuer discounting.
|
| Modifier and Type | Method and Description |
|---|---|
MultiCurrencyAmount |
DiscountingBillTradePricer.currencyExposure(ResolvedBillTrade trade,
LegalEntityDiscountingProvider provider)
Calculates the currency exposure of a bill trade.
|
MultiCurrencyAmount |
BlackBondFutureOptionMarginedTradePricer.currencyExposure(ResolvedBondFutureOptionTrade trade,
LegalEntityDiscountingProvider discountingProvider,
BondFutureVolatilities volatilities,
double lastOptionSettlementPrice)
Calculates the currency exposure of the bond future option trade.
|
MultiCurrencyAmount |
DiscountingBondFutureTradePricer.currencyExposure(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider,
double lastSettlementPrice)
Calculates the currency exposure of the bond future trade.
|
MultiCurrencyAmount |
DiscountingCapitalIndexedBondProductPricer.currencyExposure(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
LocalDate referenceDate)
Calculates the currency exposure of the bond product.
|
MultiCurrencyAmount |
DiscountingCapitalIndexedBondTradePricer.currencyExposure(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider)
Calculates the currency exposure of the bond trade.
|
MultiCurrencyAmount |
DiscountingFixedCouponBondTradePricer.currencyExposure(ResolvedFixedCouponBondTrade trade,
LegalEntityDiscountingProvider provider)
Calculates the currency exposure of the fixed coupon bond trade.
|
MultiCurrencyAmount |
DiscountingCapitalIndexedBondTradePricer.currencyExposureFromCleanPrice(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
double cleanRealPrice)
Calculates the currency exposure of the bond trade.
|
MultiCurrencyAmount |
DiscountingCapitalIndexedBondTradePricer.currencyExposureFromCleanPriceWithZSpread(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
double cleanRealPrice,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the currency exposure of the bond trade with z-spread.
|
MultiCurrencyAmount |
DiscountingBillTradePricer.currencyExposureWithZSpread(ResolvedBillTrade trade,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the currency exposure of a bill trade with z-spread.
|
MultiCurrencyAmount |
DiscountingBondFutureTradePricer.currencyExposureWithZSpread(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider,
double lastSettlementPrice,
double zSpread,
CompoundedRateType compoundedRateType,
int periodPerYear)
Calculates the currency exposure of the bond future trade with z-spread.
|
MultiCurrencyAmount |
DiscountingCapitalIndexedBondProductPricer.currencyExposureWithZSpread(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
LocalDate referenceDate,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the currency exposure of the bond product with z-spread.
|
MultiCurrencyAmount |
DiscountingCapitalIndexedBondTradePricer.currencyExposureWithZSpread(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the currency exposure of the bond trade with z-spread.
|
MultiCurrencyAmount |
DiscountingFixedCouponBondTradePricer.currencyExposureWithZSpread(ResolvedFixedCouponBondTrade trade,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the currency exposure of the fixed coupon bond trade with z-spread.
|
double |
BlackBondFutureOptionMarginedProductPricer.deltaStickyStrike(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities)
Calculates the delta of the bond future option product.
|
double |
BlackBondFutureOptionMarginedProductPricer.deltaStickyStrike(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities,
double futurePrice)
Calculates the delta of the bond future option product based on the price of the underlying future.
|
double |
DiscountingCapitalIndexedBondProductPricer.dirtyNominalPriceFromCurves(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
LocalDate settlementDate)
Calculates the dirty price of the bond security for the specified settlement date.
|
double |
DiscountingCapitalIndexedBondProductPricer.dirtyNominalPriceFromCurves(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData)
Calculates the dirty price of the bond security.
|
double |
DiscountingCapitalIndexedBondProductPricer.dirtyNominalPriceFromCurvesWithZSpread(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the dirty price of the bond security with z-spread.
|
PointSensitivityBuilder |
DiscountingCapitalIndexedBondProductPricer.dirtyNominalPriceSensitivity(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
LocalDate settlementDate)
Calculates the dirty price sensitivity of the bond security for the specified settlement date.
|
PointSensitivityBuilder |
DiscountingCapitalIndexedBondProductPricer.dirtyNominalPriceSensitivity(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData)
Calculates the dirty price sensitivity of the bond security.
|
PointSensitivityBuilder |
DiscountingCapitalIndexedBondProductPricer.dirtyNominalPriceSensitivityWithZSpread(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the dirty price sensitivity of the bond security with z-spread.
|
double |
DiscountingFixedCouponBondProductPricer.dirtyPriceFromCurves(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider,
LocalDate settlementDate)
Calculates the dirty price of the fixed coupon bond under the specified settlement date.
|
double |
DiscountingFixedCouponBondProductPricer.dirtyPriceFromCurves(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider,
ReferenceData refData)
Calculates the dirty price of the fixed coupon bond.
|
double |
DiscountingFixedCouponBondProductPricer.dirtyPriceFromCurvesWithZSpread(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear,
LocalDate settlementDate)
Calculates the dirty price of the fixed coupon bond under the specified settlement date with z-spread.
|
double |
DiscountingFixedCouponBondProductPricer.dirtyPriceFromCurvesWithZSpread(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider,
ReferenceData refData,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the dirty price of the fixed coupon bond with z-spread.
|
PointSensitivityBuilder |
DiscountingFixedCouponBondProductPricer.dirtyPriceSensitivity(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider,
LocalDate settlementDate)
Calculates the dirty price sensitivity of the fixed coupon bond product under the specified settlement date.
|
PointSensitivityBuilder |
DiscountingFixedCouponBondProductPricer.dirtyPriceSensitivity(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider,
ReferenceData refData)
Calculates the dirty price sensitivity of the fixed coupon bond product.
|
PointSensitivityBuilder |
DiscountingFixedCouponBondProductPricer.dirtyPriceSensitivityWithZspread(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider,
ReferenceData refData,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the dirty price sensitivity of the fixed coupon bond with z-spread.
|
double |
BlackBondFutureOptionMarginedProductPricer.gammaStickyStrike(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities)
Calculates the gamma of the bond future option product.
|
double |
BlackBondFutureOptionMarginedProductPricer.gammaStickyStrike(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities,
double futurePrice)
Calculates the gamma of the bond future option product based on the price of the underlying future.
|
double |
DiscountingBondFutureTradePricer.parSpread(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider,
double lastSettlementPrice)
Calculates the par spread of the bond future trade.
|
PointSensitivities |
DiscountingBondFutureTradePricer.parSpreadSensitivity(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider)
Calculates the par spread sensitivity of the bond future trade.
|
PointSensitivities |
DiscountingBondFutureTradePricer.parSpreadSensitivityWithZSpread(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodPerYear)
Calculates the par spread sensitivity of the bond future trade with z-spread.
|
double |
DiscountingBondFutureTradePricer.parSpreadWithZSpread(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider,
double lastSettlementPrice,
double zSpread,
CompoundedRateType compoundedRateType,
int periodPerYear)
Calculates the par spread of the bond future trade with z-spread.
|
CurrencyAmount |
DiscountingBillProductPricer.presentValue(ResolvedBill bill,
LegalEntityDiscountingProvider provider)
Calculates the present value of the bill product.
|
CurrencyAmount |
DiscountingBillTradePricer.presentValue(ResolvedBillTrade trade,
LegalEntityDiscountingProvider provider)
Calculates the present value of a bill trade.
|
CurrencyAmount |
BlackBondFutureOptionMarginedTradePricer.presentValue(ResolvedBondFutureOptionTrade trade,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities,
double futurePrice,
double lastOptionSettlementPrice)
Calculates the present value of the bond future option trade from the underlying future price.
|
CurrencyAmount |
BlackBondFutureOptionMarginedTradePricer.presentValue(ResolvedBondFutureOptionTrade trade,
LegalEntityDiscountingProvider discountingProvider,
BondFutureVolatilities volatilities,
double lastOptionSettlementPrice)
Calculates the present value of the bond future option trade.
|
CurrencyAmount |
DiscountingBondFutureTradePricer.presentValue(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider,
double lastSettlementPrice)
Calculates the present value of the bond future trade.
|
CurrencyAmount |
DiscountingCapitalIndexedBondProductPricer.presentValue(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider)
Calculates the present value of the bond.
|
CurrencyAmount |
DiscountingCapitalIndexedBondTradePricer.presentValue(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider)
Calculates the present value of the bond trade.
|
CurrencyAmount |
DiscountingFixedCouponBondProductPricer.presentValue(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider)
Calculates the present value of the fixed coupon bond product.
|
CurrencyAmount |
BlackFixedCouponBondOptionPricer.presentValue(ResolvedFixedCouponBondOption bondOption,
LegalEntityDiscountingProvider legalEntityProvider,
BondYieldVolatilities volatilities)
Calculates the present value of the bond option.
|
CurrencyAmount |
DiscountingFixedCouponBondTradePricer.presentValue(ResolvedFixedCouponBondTrade trade,
LegalEntityDiscountingProvider provider)
Calculates the present value of the fixed coupon bond trade.
|
CurrencyAmount |
DiscountingCapitalIndexedBondTradePricer.presentValueFromCleanPrice(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
double cleanRealPrice)
Calculates the present value of the bond trade from the clean price.
|
CurrencyAmount |
DiscountingFixedCouponBondTradePricer.presentValueFromCleanPrice(ResolvedFixedCouponBondTrade trade,
LegalEntityDiscountingProvider provider,
ReferenceData refData,
double cleanPrice)
Calculates the present value of the fixed coupon bond trade from the clean price of the underlying product.
|
CurrencyAmount |
DiscountingCapitalIndexedBondTradePricer.presentValueFromCleanPriceWithZSpread(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
double cleanRealPrice,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the present value of the settlement of the bond trade from the clean price with z-spread.
|
CurrencyAmount |
DiscountingFixedCouponBondTradePricer.presentValueFromCleanPriceWithZSpread(ResolvedFixedCouponBondTrade trade,
LegalEntityDiscountingProvider provider,
ReferenceData refData,
double cleanPrice,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the present value of the fixed coupon bond trade with z-spread from the
clean price of the underlying product.
|
PointSensitivities |
DiscountingBillProductPricer.presentValueSensitivity(ResolvedBill bill,
LegalEntityDiscountingProvider provider)
Calculates the present value sensitivity of the bill product.
|
PointSensitivities |
DiscountingBillTradePricer.presentValueSensitivity(ResolvedBillTrade trade,
LegalEntityDiscountingProvider provider)
Calculates the present value sensitivity of a bill trade.
|
PointSensitivities |
DiscountingBondFutureTradePricer.presentValueSensitivity(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider)
Calculates the present value sensitivity of the bond future trade.
|
PointSensitivityBuilder |
DiscountingCapitalIndexedBondProductPricer.presentValueSensitivity(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider)
Calculates the present value sensitivity of the bond product.
|
PointSensitivityBuilder |
DiscountingCapitalIndexedBondProductPricer.presentValueSensitivity(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
LocalDate referenceDate)
Calculates the present value sensitivity of the bond product for the specified reference date.
|
PointSensitivities |
DiscountingCapitalIndexedBondTradePricer.presentValueSensitivity(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider)
Calculates the present value sensitivity of the bond trade.
|
PointSensitivityBuilder |
DiscountingFixedCouponBondProductPricer.presentValueSensitivity(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider)
Calculates the present value sensitivity of the fixed coupon bond product.
|
PointSensitivities |
DiscountingFixedCouponBondTradePricer.presentValueSensitivity(ResolvedFixedCouponBondTrade trade,
LegalEntityDiscountingProvider provider)
Calculates the present value sensitivity of the fixed coupon bond trade.
|
PointSensitivities |
DiscountingCapitalIndexedBondTradePricer.presentValueSensitivityFromCleanPrice(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
double cleanRealPrice)
Calculates the present value sensitivity of the settlement of the bond trade from the real clean price.
|
PointSensitivities |
DiscountingCapitalIndexedBondTradePricer.presentValueSensitivityFromCleanPriceWithZSpread(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
double cleanRealPrice,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the present value sensitivity of the settlement of the bond trade from the real clean price
with z-spread.
|
BondFutureOptionSensitivity |
BlackBondFutureOptionMarginedTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedBondFutureOptionTrade futureOptionTrade,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities)
Computes the present value sensitivity to the Black volatility used in the pricing.
|
BondFutureOptionSensitivity |
BlackBondFutureOptionMarginedTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedBondFutureOptionTrade futureOptionTrade,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities,
double futurePrice)
Computes the present value sensitivity to the Black volatility used in the pricing
based on the price of the underlying future.
|
BondYieldSensitivity |
BlackFixedCouponBondOptionPricer.presentValueSensitivityModelParamsVolatility(ResolvedFixedCouponBondOption bondOption,
LegalEntityDiscountingProvider legalEntityProvider,
BondYieldVolatilities volatilities)
Returns the present value sensitivity to the underlying yield volatilities.
|
PointSensitivities |
BlackBondFutureOptionMarginedTradePricer.presentValueSensitivityRates(ResolvedBondFutureOptionTrade trade,
LegalEntityDiscountingProvider discountingProvider,
BondFutureVolatilities volatilities)
Calculates the present value sensitivity of the bond future option trade.
|
PointSensitivities |
BlackFixedCouponBondOptionPricer.presentValueSensitivityRatesStickyStrike(ResolvedFixedCouponBondOption bondOption,
LegalEntityDiscountingProvider legalEntityProvider,
BondYieldVolatilities volatilities)
Returns the present value sensitivity to the underlying curves.
|
PointSensitivities |
DiscountingBillProductPricer.presentValueSensitivityWithZSpread(ResolvedBill bill,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the present value sensitivity of the bill product with z-spread.
|
PointSensitivities |
DiscountingBillTradePricer.presentValueSensitivityWithZSpread(ResolvedBillTrade trade,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the present value sensitivity of a bill trade with z-spread.
|
PointSensitivities |
DiscountingBondFutureTradePricer.presentValueSensitivityWithZSpread(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodPerYear)
Calculates the present value sensitivity of the bond future trade with z-spread.
|
PointSensitivityBuilder |
DiscountingCapitalIndexedBondProductPricer.presentValueSensitivityWithZSpread(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the present value sensitivity of the bond product with z-spread.
|
PointSensitivities |
DiscountingCapitalIndexedBondTradePricer.presentValueSensitivityWithZSpread(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the present value sensitivity of the bond trade with z-spread.
|
PointSensitivityBuilder |
DiscountingFixedCouponBondProductPricer.presentValueSensitivityWithZSpread(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the present value sensitivity of the fixed coupon bond with z-spread.
|
PointSensitivities |
DiscountingFixedCouponBondTradePricer.presentValueSensitivityWithZSpread(ResolvedFixedCouponBondTrade trade,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the present value sensitivity of the fixed coupon bond trade with z-spread.
|
CurrencyAmount |
DiscountingBillProductPricer.presentValueWithZSpread(ResolvedBill bill,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the present value of a bill product with z-spread.
|
CurrencyAmount |
DiscountingBillTradePricer.presentValueWithZSpread(ResolvedBillTrade trade,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the present value of a bill trade with z-spread.
|
CurrencyAmount |
DiscountingBondFutureTradePricer.presentValueWithZSpread(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider,
double lastSettlementPrice,
double zSpread,
CompoundedRateType compoundedRateType,
int periodPerYear)
Calculates the present value of the bond future trade with z-spread.
|
CurrencyAmount |
DiscountingCapitalIndexedBondProductPricer.presentValueWithZSpread(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the present value of the bond product with z-spread.
|
CurrencyAmount |
DiscountingCapitalIndexedBondTradePricer.presentValueWithZSpread(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the present value of the bond trade with z-spread.
|
CurrencyAmount |
DiscountingFixedCouponBondProductPricer.presentValueWithZSpread(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the present value of the fixed coupon bond product with z-spread.
|
CurrencyAmount |
DiscountingFixedCouponBondTradePricer.presentValueWithZSpread(ResolvedFixedCouponBondTrade trade,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the present value of the fixed coupon bond trade with z-spread.
|
double |
DiscountingBondFutureProductPricer.price(ResolvedBondFuture future,
LegalEntityDiscountingProvider discountingProvider)
Calculates the price of the bond future product.
|
double |
BlackBondFutureOptionMarginedProductPricer.price(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities)
Calculates the price of the bond future option product.
|
double |
BlackBondFutureOptionMarginedProductPricer.price(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities,
double futurePrice)
Calculates the price of the bond future option product
based on the price of the underlying future.
|
double |
BlackBondFutureOptionMarginedTradePricer.price(ResolvedBondFutureOptionTrade trade,
LegalEntityDiscountingProvider discountingProvider,
BondFutureVolatilities volatilities)
Calculates the price of the bond future option trade.
|
double |
DiscountingBondFutureTradePricer.price(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider)
Calculates the price of the bond future trade.
|
double |
DiscountingBillProductPricer.priceFromCurves(ResolvedBill bill,
LegalEntityDiscountingProvider provider,
LocalDate settlementDate)
Calculates the price for settlement at a given settlement date using curves.
|
double |
DiscountingBillProductPricer.priceFromCurvesWithZSpread(ResolvedBill bill,
LegalEntityDiscountingProvider provider,
LocalDate settlementDate,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the price for settlement at a given settlement date using curves with z-spread.
|
PointSensitivityBuilder |
DiscountingBillProductPricer.priceSensitivity(ResolvedBill bill,
LegalEntityDiscountingProvider provider,
LocalDate settlementDate)
Calculates the price sensitivity for settlement at a given settlement date using curves.
|
PointSensitivities |
DiscountingBondFutureProductPricer.priceSensitivity(ResolvedBondFuture future,
LegalEntityDiscountingProvider discountingProvider)
Calculates the price sensitivity of the bond future product.
|
BondFutureOptionSensitivity |
BlackBondFutureOptionMarginedProductPricer.priceSensitivityModelParamsVolatility(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities)
Calculates the price sensitivity to the Black volatility used for the pricing of the bond future option.
|
BondFutureOptionSensitivity |
BlackBondFutureOptionMarginedProductPricer.priceSensitivityModelParamsVolatility(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities,
double futurePrice)
Calculates the price sensitivity to the Black volatility used for the pricing of the bond future option
based on the price of the underlying future.
|
PointSensitivities |
BlackBondFutureOptionMarginedProductPricer.priceSensitivityRatesStickyStrike(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities)
Calculates the price sensitivity of the bond future option product based on curves.
|
PointSensitivities |
BlackBondFutureOptionMarginedProductPricer.priceSensitivityRatesStickyStrike(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities,
double futurePrice)
Calculates the price sensitivity of the bond future option product based on the price of the underlying future.
|
PointSensitivities |
DiscountingBondFutureProductPricer.priceSensitivityWithZSpread(ResolvedBondFuture future,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodPerYear)
Calculates the price sensitivity of the bond future product with z-spread.
|
double |
DiscountingBondFutureProductPricer.priceWithZSpread(ResolvedBondFuture future,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodPerYear)
Calculates the price of the bond future product with z-spread.
|
double |
DiscountingBondFutureTradePricer.priceWithZSpread(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodPerYear)
Calculates the price of the bond future trade with z-spread.
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double |
DiscountingCapitalIndexedBondProductPricer.realYieldFromCurves(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData)
Computes the conventional real yield from the curves.
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double |
BlackBondFutureOptionMarginedProductPricer.theta(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities)
Calculates the theta of the bond future option product.
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double |
BlackBondFutureOptionMarginedProductPricer.theta(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities,
double futurePrice)
Calculates the theta of the bond future option product based on the price of the underlying future.
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double |
DiscountingBillProductPricer.yieldFromCurves(ResolvedBill bill,
LegalEntityDiscountingProvider provider,
LocalDate settlementDate)
Calculates the yield for settlement at a given settlement date using curves.
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double |
DiscountingBillProductPricer.yieldFromCurvesWithZSpread(ResolvedBill bill,
LegalEntityDiscountingProvider provider,
LocalDate settlementDate,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the yield for settlement at a given settlement date using curves with z-spread.
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double |
DiscountingCapitalIndexedBondProductPricer.zSpreadFromCurvesAndCleanPrice(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
double cleanPrice,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the z-spread of the bond from curves and clean price.
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double |
DiscountingFixedCouponBondProductPricer.zSpreadFromCurvesAndDirtyPrice(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider,
ReferenceData refData,
double dirtyPrice,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the z-spread of the fixed coupon bond from curves and dirty price.
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double |
DiscountingCapitalIndexedBondProductPricer.zSpreadFromCurvesAndPv(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
CurrencyAmount presentValue,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the z-spread of the bond from curves and present value.
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| 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.
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CurrencyParameterSensitivities |
MarketQuoteSensitivityCalculator.sensitivity(CurrencyParameterSensitivities paramSensitivities,
LegalEntityDiscountingProvider provider)
Calculates the market quote sensitivities from parameter sensitivity.
|
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.
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Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.