| Package | Description |
|---|---|
| com.opengamma.strata.pricer.credit |
Calculators for credit instruments, such as Credit Default Swap (CDS).
|
| com.opengamma.strata.pricer.sensitivity |
Calculators for sensitivities.
|
| Modifier and Type | Class and Description |
|---|---|
class |
ImmutableCreditRatesProvider
The immutable rates provider, used to calculate analytic measures.
|
| Modifier and Type | Method and Description |
|---|---|
CurrencyParameterSensitivity |
SpreadSensitivityCalculator.bucketedCs01(ResolvedCdsIndexTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Computes bucketed CS01 for CDS index using a single credit curve.
|
CurrencyParameterSensitivity |
SpreadSensitivityCalculator.bucketedCs01(ResolvedCdsIndexTrade trade,
List<ResolvedCdsIndexTrade> bucketCdsIndex,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Computes bucketed CS01 for CDS index using a single credit curve.
|
CurrencyParameterSensitivity |
SpreadSensitivityCalculator.bucketedCs01(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Computes bucketed CS01 for CDS.
|
CurrencyParameterSensitivity |
SpreadSensitivityCalculator.bucketedCs01(ResolvedCdsTrade trade,
List<ResolvedCdsTrade> bucketCds,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Computes bucketed CS01 for CDS.
|
double |
CdsMarketQuoteConverter.cleanPrice(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Computes the market clean price.
|
CurrencyAmount |
IsdaCdsProductPricer.expectedLoss(ResolvedCds cds,
CreditRatesProvider ratesProvider)
Calculates the expected loss of the CDS product.
|
CurrencyAmount |
IsdaHomogenousCdsIndexProductPricer.expectedLoss(ResolvedCdsIndex cdsIndex,
CreditRatesProvider ratesProvider)
Calculates the expected loss of the CDS index product.
|
CurrencyAmount |
IsdaHomogenousCdsIndexTradePricer.expectedLoss(ResolvedCdsIndexTrade trade,
CreditRatesProvider ratesProvider)
Calculates the expected loss of the underlying product.
|
CurrencyAmount |
IsdaCdsTradePricer.expectedLoss(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider)
Calculates the expected loss of the underlying product.
|
protected DoubleArray |
SpreadSensitivityCalculator.impliedSpread(List<ResolvedCdsTrade> bucketCds,
CreditRatesProvider ratesProvider,
ReferenceData refData) |
JumpToDefault |
IsdaCdsProductPricer.jumpToDefault(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData)
Calculates the jump-to-default of the CDS product.
|
JumpToDefault |
IsdaHomogenousCdsIndexProductPricer.jumpToDefault(ResolvedCdsIndex cdsIndex,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData)
Calculates the jump-to-default of the CDS index product.
|
JumpToDefault |
IsdaHomogenousCdsIndexTradePricer.jumpToDefault(ResolvedCdsIndexTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Calculates the jump-to-default of the underlying product.
|
JumpToDefault |
IsdaCdsTradePricer.jumpToDefault(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Calculates the jump-to-default of the underlying product.
|
CurrencyAmount |
SpreadSensitivityCalculator.parallelCs01(ResolvedCdsIndexTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Computes parallel CS01 for CDS index using a single credit curve.
|
CurrencyAmount |
SpreadSensitivityCalculator.parallelCs01(ResolvedCdsIndexTrade trade,
List<ResolvedCdsIndexTrade> bucketCdsIndex,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Computes parallel CS01 for CDS index using a single credit curve.
|
CurrencyAmount |
SpreadSensitivityCalculator.parallelCs01(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Computes parallel CS01 for CDS.
|
abstract CurrencyAmount |
SpreadSensitivityCalculator.parallelCs01(ResolvedCdsTrade trade,
List<ResolvedCdsTrade> bucketCds,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Computes parallel CS01 for CDS.
|
CurrencyAmount |
FiniteDifferenceSpreadSensitivityCalculator.parallelCs01(ResolvedCdsTrade trade,
List<ResolvedCdsTrade> bucketCds,
CreditRatesProvider ratesProvider,
ReferenceData refData) |
CurrencyAmount |
AnalyticSpreadSensitivityCalculator.parallelCs01(ResolvedCdsTrade trade,
List<ResolvedCdsTrade> bucketCds,
CreditRatesProvider ratesProvider,
ReferenceData refData) |
double |
IsdaCdsProductPricer.parSpread(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData)
Calculates the par spread of the CDS product.
|
double |
IsdaHomogenousCdsIndexProductPricer.parSpread(ResolvedCdsIndex cdsIndex,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData)
Calculates the par spread of the CDS index product.
|
double |
IsdaHomogenousCdsIndexTradePricer.parSpread(ResolvedCdsIndexTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Calculates the par spread of the underlying product.
|
double |
IsdaCdsTradePricer.parSpread(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Calculates the par spread of the underlying product.
|
PointSensitivityBuilder |
IsdaCdsProductPricer.parSpreadSensitivity(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData)
Calculates the par spread sensitivity of the product.
|
PointSensitivityBuilder |
IsdaHomogenousCdsIndexProductPricer.parSpreadSensitivity(ResolvedCdsIndex cdsIndex,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData)
Calculates the par spread sensitivity of the product.
|
PointSensitivities |
IsdaHomogenousCdsIndexTradePricer.parSpreadSensitivity(ResolvedCdsIndexTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Calculates the par spread sensitivity of the underling product.
|
PointSensitivities |
IsdaCdsTradePricer.parSpreadSensitivity(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Calculates the par spread sensitivity of the underling product.
|
double |
CdsMarketQuoteConverter.pointsUpfront(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Computes the points upfront.
|
CdsQuote |
CdsMarketQuoteConverter.pointsUpFrontFromQuotedSpread(ResolvedCdsTrade trade,
CdsQuote quote,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Converts quoted spread to points upfront.
|
CurrencyAmount |
IsdaCdsProductPricer.presentValue(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData)
Calculates the present value of the CDS product.
|
CurrencyAmount |
IsdaHomogenousCdsIndexProductPricer.presentValue(ResolvedCdsIndex cdsIndex,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData)
Calculates the present value of the CDS index product.
|
CurrencyAmount |
IsdaHomogenousCdsIndexTradePricer.presentValue(ResolvedCdsIndexTrade trade,
CreditRatesProvider ratesProvider,
PriceType priceType,
ReferenceData refData)
Calculates the present value of the trade.
|
CurrencyAmount |
IsdaCdsTradePricer.presentValue(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
PriceType priceType,
ReferenceData refData)
Calculates the present value of the trade.
|
CurrencyAmount |
IsdaHomogenousCdsIndexTradePricer.presentValueOnSettle(ResolvedCdsIndexTrade trade,
CreditRatesProvider ratesProvider,
PriceType priceType,
ReferenceData refData)
Calculates the present value of the underlying product.
|
CurrencyAmount |
IsdaCdsTradePricer.presentValueOnSettle(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
PriceType priceType,
ReferenceData refData)
Calculates the present value of the underlying product.
|
PointSensitivities |
IsdaHomogenousCdsIndexTradePricer.presentValueOnSettleSensitivity(ResolvedCdsIndexTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Calculates the present value sensitivity of the underlying product.
|
PointSensitivities |
IsdaCdsTradePricer.presentValueOnSettleSensitivity(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Calculates the present value sensitivity of the underlying product.
|
PointSensitivityBuilder |
IsdaCdsProductPricer.presentValueSensitivity(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData)
Calculates the present value sensitivity of the product.
|
PointSensitivityBuilder |
IsdaHomogenousCdsIndexProductPricer.presentValueSensitivity(ResolvedCdsIndex cdsIndex,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData)
Calculates the present value sensitivity of the product.
|
PointSensitivities |
IsdaHomogenousCdsIndexTradePricer.presentValueSensitivity(ResolvedCdsIndexTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Calculates the present value sensitivity of the trade.
|
PointSensitivities |
IsdaCdsTradePricer.presentValueSensitivity(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Calculates the present value sensitivity of the trade.
|
double |
IsdaCdsProductPricer.price(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData)
Calculates the price of the CDS product, which is the present value per unit notional.
|
double |
IsdaHomogenousCdsIndexProductPricer.price(ResolvedCdsIndex cdsIndex,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData)
Calculates the price of the CDS index product, which is the minus of the present value per unit notional.
|
double |
IsdaHomogenousCdsIndexTradePricer.price(ResolvedCdsIndexTrade trade,
CreditRatesProvider ratesProvider,
PriceType priceType,
ReferenceData refData)
Calculates the price of the underlying product, which is the present value per unit notional.
|
double |
IsdaCdsTradePricer.price(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
PriceType priceType,
ReferenceData refData)
Calculates the price of the underlying product, which is the present value per unit notional.
|
PointSensitivityBuilder |
IsdaCdsProductPricer.priceSensitivity(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData)
Calculates the price sensitivity of the product.
|
PointSensitivityBuilder |
IsdaHomogenousCdsIndexProductPricer.priceSensitivity(ResolvedCdsIndex cdsIndex,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData)
Calculates the price sensitivity of the product.
|
PointSensitivities |
IsdaHomogenousCdsIndexTradePricer.priceSensitivity(ResolvedCdsIndexTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Calculates the price sensitivity of the underlying product.
|
PointSensitivities |
IsdaCdsTradePricer.priceSensitivity(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Calculates the price sensitivity of the underlying product.
|
double |
IsdaCdsProductPricer.protectionLeg(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData)
Calculates the price of the protection leg, which is the protection leg present value per unit notional.
|
CdsQuote |
CdsMarketQuoteConverter.quotedSpreadFromPointsUpfront(ResolvedCdsTrade trade,
CdsQuote quote,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Converts points upfront to quoted spread.
|
List<CdsQuote> |
CdsMarketQuoteConverter.quotesFromParSpread(List<ResolvedCdsTrade> trades,
List<CdsQuote> quotes,
CreditRatesProvider ratesProvider,
CdsQuoteConvention targetConvention,
ReferenceData refData)
The par spread quotes are converted to points upfronts or quoted spreads.
|
CurrencyAmount |
IsdaCdsProductPricer.recovery01(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData)
Calculates the recovery01 of the CDS product.
|
CurrencyAmount |
IsdaHomogenousCdsIndexProductPricer.recovery01(ResolvedCdsIndex cdsIndex,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData)
Calculates the recovery01 of the CDS index product.
|
CurrencyAmount |
IsdaHomogenousCdsIndexTradePricer.recovery01OnSettle(ResolvedCdsIndexTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Calculates the recovery01 of the underlying product.
|
CurrencyAmount |
IsdaCdsTradePricer.recovery01OnSettle(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
ReferenceData refData)
Calculates the recovery01 of the underlying product.
|
double |
IsdaCdsProductPricer.riskyAnnuity(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData)
Calculates the risky annuity, which is RPV01 per unit notional.
|
double |
IsdaHomogenousCdsIndexProductPricer.riskyAnnuity(ResolvedCdsIndex cdsIndex,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData)
Calculates the risky annuity, which is RPV01 per unit notional.
|
PointSensitivityBuilder |
IsdaCdsProductPricer.riskyAnnuitySensitivity(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData)
Calculates the risky annuity sensitivity of the product.
|
PointSensitivityBuilder |
IsdaHomogenousCdsIndexProductPricer.riskyAnnuitySensitivity(ResolvedCdsIndex cdsIndex,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
ReferenceData refData)
Calculates the risky annuity sensitivity of the product.
|
CurrencyAmount |
IsdaCdsProductPricer.rpv01(ResolvedCds cds,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData)
Calculates the risky PV01 of the CDS product.
|
CurrencyAmount |
IsdaHomogenousCdsIndexProductPricer.rpv01(ResolvedCdsIndex cdsIndex,
CreditRatesProvider ratesProvider,
LocalDate referenceDate,
PriceType priceType,
ReferenceData refData)
Calculates the risky PV01 of the CDS index product.
|
CurrencyAmount |
IsdaHomogenousCdsIndexTradePricer.rpv01OnSettle(ResolvedCdsIndexTrade trade,
CreditRatesProvider ratesProvider,
PriceType priceType,
ReferenceData refData)
Calculates the risky PV01 of the underlying product.
|
CurrencyAmount |
IsdaCdsTradePricer.rpv01OnSettle(ResolvedCdsTrade trade,
CreditRatesProvider ratesProvider,
PriceType priceType,
ReferenceData refData)
Calculates the risky PV01 of the underlying product.
|
| Modifier and Type | Method and Description |
|---|---|
CurrencyParameterSensitivities |
RatesFiniteDifferenceSensitivityCalculator.sensitivity(CreditRatesProvider provider,
Function<ImmutableCreditRatesProvider,CurrencyAmount> valueFn)
Computes the first order sensitivities of a function of a
CreditRatesProvider to a double by finite difference. |
CurrencyParameterSensitivities |
MarketQuoteSensitivityCalculator.sensitivity(CurrencyParameterSensitivities paramSensitivities,
CreditRatesProvider provider)
Calculates the market quote sensitivities from parameter sensitivity.
|
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.