| 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.
|
| Class and Description |
|---|
| AccrualOnDefaultFormula
The formula for accrual on default.
|
| AnalyticSpreadSensitivityCalculator
Analytic spread sensitivity calculator.
|
| ArbitrageHandling
The formula for accrual on default.
|
| 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. |
| CreditDiscountFactors
Provides access to discount factors for a single currency.
|
| CreditRatesProvider
The rates provider, used to calculate analytic measures.
|
| 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. |
| RecoveryRates
Recovery rates.
|
| SimpleCreditCurveCalibrator
Simple credit curve calibrator.
|
| SpreadSensitivityCalculator
The spread sensitivity calculator.
|
| Class and Description |
|---|
| CreditRatesProvider
The rates provider, used to calculate analytic measures.
|
| ImmutableCreditRatesProvider
The immutable rates provider, used to calculate analytic measures.
|
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.