Package com.opengamma.strata.pricer.index

Calculators for products based on rate indices, such as Short Term Interest Rate futures (STIRs).

See: Description

Interface Summary

Interface	Description
IborFutureOptionVolatilities	Volatilities for pricing Ibor futures.
NormalIborFutureOptionVolatilities	Volatility for Ibor future options in the normal or Bachelier model.
NormalOvernightFutureOptionVolatilities	Volatility for overnight future options in the normal or Bachelier model.
OvernightFutureOptionVolatilities	Volatilities for pricing overnight futures.

Class Summary

Class	Description
DiscountingIborFutureProductPricer	Pricer for for Ibor future products.
DiscountingIborFutureTradePricer	Pricer implementation for Ibor future trades.
DiscountingOvernightFutureProductPricer	Pricer for for Overnight rate future products.
DiscountingOvernightFutureTradePricer	Pricer implementation for Overnight rate future trades.
HullWhiteIborFutureProductPricer	Pricer for for Ibor future products.
HullWhiteIborFutureTradePricer	Pricer for for Ibor future trades.
IborFutureOptionSensitivity	Point sensitivity to an implied volatility for a Ibor future option model.
IborFutureOptionSensitivity.Meta	The meta-bean for IborFutureOptionSensitivity.
IborFutureOptionVolatilitiesId	An identifier used to access Ibor future option volatilities by name.
IborFutureOptionVolatilitiesName	The name of a set of Ibor future option volatilities.
NormalIborFutureOptionExpirySimpleMoneynessVolatilities	Data provider of volatility for Ibor future options in the normal or Bachelier model.
NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Builder	The bean-builder for NormalIborFutureOptionExpirySimpleMoneynessVolatilities.
NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Meta	The meta-bean for NormalIborFutureOptionExpirySimpleMoneynessVolatilities.
NormalIborFutureOptionMarginedProductPricer	Pricer of options on Ibor future with a normal model on the underlying future price.
NormalIborFutureOptionMarginedTradePricer	Pricer implementation for Ibor future option.
NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities	Data provider of volatility for Overnight future options in the normal or Bachelier model.
NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities.Builder	The bean-builder for NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities.
NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities.Meta	The meta-bean for NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities.
NormalOvernightFutureOptionMarginedProductPricer	Pricer of options on overnight future with a normal model on the underlying future price.
NormalOvernightFutureOptionMarginedTradePricer	Pricer implementation for Overnight future option.
OvernightFutureOptionSensitivity	Point sensitivity to an implied volatility for a overnight future option model.
OvernightFutureOptionSensitivity.Meta	The meta-bean for OvernightFutureOptionSensitivity.
OvernightFutureOptionVolatilitiesId	An identifier used to access Overnight future option volatilities by name.
OvernightFutureOptionVolatilitiesName	The name of a set of overnight future option volatilities.

Package com.opengamma.strata.pricer.index Description

Calculators for products based on rate indices, such as Short Term Interest Rate futures (STIRs).