Package com.opengamma.strata.pricer.credit

Calculators for credit instruments, such as Credit Default Swap (CDS).

See: Description

Interface Summary

Interface	Description
CreditDiscountFactors	Provides access to discount factors for a single currency.
CreditRatesProvider	The rates provider, used to calculate analytic measures.
RecoveryRates	Recovery rates.

Class Summary

Class	Description
AnalyticSpreadSensitivityCalculator	Analytic spread sensitivity calculator.
CdsMarketQuoteConverter	The market quote converter for credit default swaps.
ConstantRecoveryRates	The constant recovery rate.
ConstantRecoveryRates.Meta	The meta-bean for ConstantRecoveryRates.
CreditCurveZeroRateSensitivity	Point sensitivity to the zero hazard rate curve.
CreditCurveZeroRateSensitivity.Meta	The meta-bean for CreditCurveZeroRateSensitivity.
DoublesScheduleGenerator	The Doubles schedule generator.
FastCreditCurveCalibrator	Fast credit curve calibrator.
FiniteDifferenceSpreadSensitivityCalculator	Finite difference spread sensitivity calculator.
ImmutableCreditRatesProvider	The immutable rates provider, used to calculate analytic measures.
ImmutableCreditRatesProvider.Builder	The bean-builder for ImmutableCreditRatesProvider.
ImmutableCreditRatesProvider.Meta	The meta-bean for ImmutableCreditRatesProvider.
IsdaCdsProductPricer	Pricer for single-name credit default swaps (CDS) based on ISDA standard model.
IsdaCdsTradePricer	Pricer for single-name credit default swaps (CDS) trade based on ISDA standard model.
IsdaCompliantCreditCurveCalibrator	ISDA compliant credit curve calibrator.
IsdaCompliantDiscountCurveCalibrator	ISDA compliant discount curve calibrator.
IsdaCompliantIndexCurveCalibrator	ISDA compliant index curve calibrator.
IsdaCreditDiscountFactors	ISDA compliant zero rate discount factors.
IsdaCreditDiscountFactors.Meta	The meta-bean for IsdaCreditDiscountFactors.
IsdaHomogenousCdsIndexProductPricer	Pricer for CDS portfolio index based on ISDA standard model.
IsdaHomogenousCdsIndexTradePricer	Pricer for CDS portfolio index trade based on ISDA standard model.
JumpToDefault	The result of calculating Jump-To-Default.
JumpToDefault.Meta	The meta-bean for JumpToDefault.
LegalEntitySurvivalProbabilities	The legal entity survival probabilities.
LegalEntitySurvivalProbabilities.Meta	The meta-bean for LegalEntitySurvivalProbabilities.
NodalRecoveryRates	The recovery rates based on a nodal curve.
NodalRecoveryRates.Builder	The bean-builder for NodalRecoveryRates.
SimpleCreditCurveCalibrator	Simple credit curve calibrator.
SpreadSensitivityCalculator	The spread sensitivity calculator.

Enum Summary

Enum	Description
AccrualOnDefaultFormula	The formula for accrual on default.
ArbitrageHandling	The formula for accrual on default.

Package com.opengamma.strata.pricer.credit Description

Calculators for credit instruments, such as Credit Default Swap (CDS).