| Package | Description |
|---|---|
| com.opengamma.strata.pricer.bond |
Calculators for bonds.
|
| com.opengamma.strata.pricer.capfloor |
Calculators for Ibor cap-floor.
|
| com.opengamma.strata.pricer.cms |
Calculators for CMS.
|
| com.opengamma.strata.pricer.curve |
Provides the ability to calibrate curves.
|
| com.opengamma.strata.pricer.deposit |
Calculators for rate deposit instruments, such as term deposit.
|
| com.opengamma.strata.pricer.dsf |
Calculators for Deliverable Swap Futures (DSFs).
|
| com.opengamma.strata.pricer.fra |
Calculators for Forward Rate Agreement (FRA) instruments.
|
| com.opengamma.strata.pricer.fx |
Calculators for FX instruments, such as FX forward and FX swap.
|
| com.opengamma.strata.pricer.fxopt |
Calculators for FX options.
|
| com.opengamma.strata.pricer.impl.cms | |
| com.opengamma.strata.pricer.impl.rate |
Internal implementations of rate calculations.
|
| com.opengamma.strata.pricer.impl.rate.swap | |
| com.opengamma.strata.pricer.impl.swap |
Internal implementations of rate swap calculations.
|
| com.opengamma.strata.pricer.index |
Calculators for products based on rate indices, such as Short Term Interest Rate futures (STIRs).
|
| com.opengamma.strata.pricer.rate |
Calculators for rates instruments, such as Forward Rate Agreement (FRA) and interest rate swap.
|
| com.opengamma.strata.pricer.sensitivity |
Calculators for sensitivities.
|
| com.opengamma.strata.pricer.swap |
Calculators for interest rate swaps.
|
| com.opengamma.strata.pricer.swaption |
Calculators for swaptions.
|
| Modifier and Type | Method and Description |
|---|---|
double |
DiscountingCapitalIndexedBondProductPricer.cleanNominalPriceFromDirtyNominalPrice(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LocalDate settlementDate,
double dirtyPrice)
Calculates the clean nominal price of the bond from its settlement date and dirty nominal price.
|
double |
DiscountingCapitalIndexedBondProductPricer.cleanPriceFromRealYield(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LocalDate settlementDate,
double yield)
Computes the clean price from the conventional real yield.
|
double |
DiscountingCapitalIndexedBondProductPricer.convexityFromRealYieldFiniteDifference(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LocalDate settlementDate,
double yield)
Calculates the convexity from the conventional real yield using finite difference approximation.
|
double |
DiscountingCapitalIndexedBondProductPricer.convexityFromStandardYield(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LocalDate settlementDate,
double yield)
Computes the covexity from the standard yield.
|
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 |
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 |
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.
|
CurrencyAmount |
DiscountingCapitalIndexedBondProductPricer.currentCash(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LocalDate settlementDate)
Calculates the current cash of the bond product.
|
CurrencyAmount |
DiscountingCapitalIndexedBondTradePricer.currentCash(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider)
Calculates the current cash of the bond trade.
|
double |
DiscountingCapitalIndexedBondProductPricer.dirtyNominalPriceFromCleanNominalPrice(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LocalDate settlementDate,
double cleanPrice)
Calculates the dirty nominal price of the bond from its settlement date and clean nominal price.
|
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 |
DiscountingCapitalIndexedBondProductPricer.dirtyPriceFromRealYield(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LocalDate settlementDate,
double yield)
Computes the dirty price from the conventional real yield.
|
ValueDerivatives |
DiscountingCapitalIndexedBondProductPricer.dirtyPriceFromRealYieldAd(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LocalDate settlementDate,
double yield)
Computes the dirty price from the conventional real yield and its derivative wrt the yield.
|
double |
DiscountingCapitalIndexedBondProductPricer.dirtyPriceFromStandardYield(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LocalDate settlementDate,
double yield)
Computes the dirty price from the standard yield.
|
void |
DiscountingCapitalIndexedBondPaymentPeriodPricer.explainPresentValue(CapitalIndexedBondPaymentPeriod period,
RatesProvider ratesProvider,
IssuerCurveDiscountFactors issuerDiscountFactors,
ExplainMapBuilder builder)
Explains the present value of a single payment period.
|
void |
DiscountingCapitalIndexedBondPaymentPeriodPricer.explainPresentValueWithZSpread(CapitalIndexedBondPaymentPeriod period,
RatesProvider ratesProvider,
IssuerCurveDiscountFactors issuerDiscountFactors,
ExplainMapBuilder builder,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Explains the present value of a single payment period with z-spread.
|
double |
DiscountingCapitalIndexedBondPaymentPeriodPricer.forecastValue(CapitalIndexedBondPaymentPeriod period,
RatesProvider ratesProvider)
Calculates the forecast value of a single payment period.
|
PointSensitivityBuilder |
DiscountingCapitalIndexedBondPaymentPeriodPricer.forecastValueSensitivity(CapitalIndexedBondPaymentPeriod period,
RatesProvider ratesProvider)
Calculates the forecast value sensitivity of a single payment period.
|
double |
DiscountingCapitalIndexedBondProductPricer.modifiedDurationFromRealYieldFiniteDifference(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LocalDate settlementDate,
double yield)
Calculates the modified duration from the conventional real yield using finite difference approximation.
|
double |
DiscountingCapitalIndexedBondProductPricer.modifiedDurationFromStandardYield(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LocalDate settlementDate,
double yield)
Computes the modified duration from the standard yield.
|
CurrencyAmount |
DiscountingCapitalIndexedBondTradePricer.netAmount(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider)
Calculates the net amount of the settlement of the bond trade.
|
double |
DiscountingCapitalIndexedBondProductPricer.nominalPriceFromRealPrice(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LocalDate settlementDate,
double realPrice)
Calculates the nominal price of the bond from its settlement date and real price.
|
double |
DiscountingCapitalIndexedBondPaymentPeriodPricer.presentValue(CapitalIndexedBondPaymentPeriod period,
RatesProvider ratesProvider,
IssuerCurveDiscountFactors issuerDiscountFactors)
Calculates the present value of a single payment period.
|
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 |
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 |
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.
|
PointSensitivityBuilder |
DiscountingCapitalIndexedBondPaymentPeriodPricer.presentValueSensitivity(CapitalIndexedBondPaymentPeriod period,
RatesProvider ratesProvider,
IssuerCurveDiscountFactors issuerDiscountFactors)
Calculates the present value sensitivity of a single payment period.
|
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.
|
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.
|
PointSensitivityBuilder |
DiscountingCapitalIndexedBondPaymentPeriodPricer.presentValueSensitivityWithZSpread(CapitalIndexedBondPaymentPeriod period,
RatesProvider ratesProvider,
IssuerCurveDiscountFactors issuerDiscountFactors,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the present value sensitivity of a single payment period 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.
|
double |
DiscountingCapitalIndexedBondPaymentPeriodPricer.presentValueWithZSpread(CapitalIndexedBondPaymentPeriod period,
RatesProvider ratesProvider,
IssuerCurveDiscountFactors issuerDiscountFactors,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear)
Calculates the present value of a single payment period 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.
|
double |
DiscountingCapitalIndexedBondProductPricer.realPriceFromNominalPrice(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LocalDate settlementDate,
double nominalPrice)
Calculates the real price of the bond from its settlement date and nominal price.
|
ValueDerivatives |
DiscountingCapitalIndexedBondProductPricer.realPriceFromNominalPriceAd(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LocalDate settlementDate,
double nominalPrice)
Calculates the real price of the bond from its settlement date and nominal price
and its derivative wrt the nominal price.
|
double |
DiscountingCapitalIndexedBondProductPricer.realYieldFromCurves(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData)
Computes the conventional real yield from the curves.
|
double |
DiscountingCapitalIndexedBondProductPricer.realYieldFromDirtyPrice(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LocalDate settlementDate,
double dirtyPrice)
Computes the conventional real yield from the dirty price.
|
ValueDerivatives |
DiscountingCapitalIndexedBondProductPricer.realYieldFromDirtyPriceAd(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LocalDate settlementDate,
double dirtyPrice)
Computes the conventional real yield from the dirty price and its derivaitve wrt the dirty price.
|
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.
|
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.
|
| Modifier and Type | Method and Description |
|---|---|
IborCapletFloorletVolatilityCalibrationResult |
SurfaceIborCapletFloorletVolatilityBootstrapper.calibrate(IborCapletFloorletVolatilityDefinition definition,
ZonedDateTime calibrationDateTime,
RawOptionData capFloorData,
RatesProvider ratesProvider) |
IborCapletFloorletVolatilityCalibrationResult |
SabrIborCapletFloorletVolatilityCalibrator.calibrate(IborCapletFloorletVolatilityDefinition definition,
ZonedDateTime calibrationDateTime,
RawOptionData capFloorData,
RatesProvider ratesProvider) |
IborCapletFloorletVolatilityCalibrationResult |
SabrIborCapletFloorletVolatilityBootstrapper.calibrate(IborCapletFloorletVolatilityDefinition definition,
ZonedDateTime calibrationDateTime,
RawOptionData capFloorData,
RatesProvider ratesProvider) |
IborCapletFloorletVolatilityCalibrationResult |
DirectIborCapletFloorletVolatilityCalibrator.calibrate(IborCapletFloorletVolatilityDefinition definition,
ZonedDateTime calibrationDateTime,
RawOptionData capFloorData,
RatesProvider ratesProvider) |
IborCapletFloorletVolatilityCalibrationResult |
DirectIborCapletFloorletFlatVolatilityCalibrator.calibrate(IborCapletFloorletVolatilityDefinition definition,
ZonedDateTime calibrationDateTime,
RawOptionData capFloorData,
RatesProvider ratesProvider) |
MultiCurrencyAmount |
VolatilityIborCapFloorProductPricer.currencyExposure(ResolvedIborCapFloor capFloor,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the currency exposure of the Ibor cap/floor product.
|
MultiCurrencyAmount |
VolatilityIborCapFloorTradePricer.currencyExposure(ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the currency exposure of the Ibor cap/floor trade.
|
CurrencyAmount |
VolatilityIborCapFloorLegPricer.currentCash(ResolvedIborCapFloorLeg capFloorLeg,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the current cash of the Ibor cap/floor leg.
|
MultiCurrencyAmount |
VolatilityIborCapFloorProductPricer.currentCash(ResolvedIborCapFloor capFloor,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the current cash of the Ibor cap/floor product.
|
MultiCurrencyAmount |
VolatilityIborCapFloorTradePricer.currentCash(ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the current cash of the Ibor cap/floor trade.
|
double |
VolatilityIborCapletFloorletPeriodPricer.forwardRate(IborCapletFloorletPeriod period,
RatesProvider ratesProvider)
Computes the forward rate for the Ibor caplet/floorlet.
|
IborCapletFloorletPeriodAmounts |
VolatilityIborCapFloorLegPricer.forwardRates(ResolvedIborCapFloorLeg capFloorLeg,
RatesProvider ratesProvider)
Calculates the forward rates for each caplet/floorlet of the Ibor cap/floor leg.
|
IborCapletFloorletPeriodAmounts |
VolatilityIborCapFloorProductPricer.forwardRates(ResolvedIborCapFloor capFloor,
RatesProvider ratesProvider)
Calculates the forward rates for each caplet/floorlet of the Ibor cap/floor.
|
IborCapletFloorletPeriodAmounts |
VolatilityIborCapFloorTradePricer.forwardRates(ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider)
Calculates the forward rates for each caplet/floorlet of the Ibor cap/floor trade.
|
IborCapletFloorletPeriodAmounts |
VolatilityIborCapFloorLegPricer.impliedVolatilities(ResolvedIborCapFloorLeg capFloorLeg,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the implied volatilities for each caplet/floorlet of the Ibor cap/floor leg.
|
IborCapletFloorletPeriodAmounts |
VolatilityIborCapFloorProductPricer.impliedVolatilities(ResolvedIborCapFloor capFloor,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the implied volatilities for each caplet/floorlet of the Ibor cap/floor.
|
IborCapletFloorletPeriodAmounts |
VolatilityIborCapFloorTradePricer.impliedVolatilities(ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the implied volatilities for each caplet/floorlet of the Ibor cap/floor trade.
|
double |
VolatilityIborCapletFloorletPeriodPricer.impliedVolatility(IborCapletFloorletPeriod period,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Computes the implied volatility of the Ibor caplet/floorlet.
|
CurrencyAmount |
VerticalSpreadVolatilityIborCapletFloorletBinaryPeriodPricer.presentValue(IborCapletFloorletBinaryPeriod period,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value of the binary caplet/floorlet period.
|
CurrencyAmount |
VolatilityIborCapletFloorletPeriodPricer.presentValue(IborCapletFloorletPeriod period,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value of the Ibor caplet/floorlet period.
|
CurrencyAmount |
VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer.presentValue(OvernightInArrearsCapletFloorletBinaryPeriod period,
RatesProvider ratesProvider,
SabrParametersIborCapletFloorletVolatilities sabrVolatilities)
Calculates the present value of the binary caplet/floorlet period.
|
CurrencyAmount |
VolatilityOvernightInArrearsCapletFloorletPeriodPricer.presentValue(OvernightInArrearsCapletFloorletPeriod period,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value of the overnight in-arrears caplet/floorlet period.
|
CurrencyAmount |
SabrOvernightInArrearsCapletFloorletPeriodPricer.presentValue(OvernightInArrearsCapletFloorletPeriod period,
RatesProvider ratesProvider,
SabrParametersIborCapletFloorletVolatilities sabrVolatilities)
Computes the present value in the SABR model with effective parameters.
|
CurrencyAmount |
VolatilityIborCapFloorLegPricer.presentValue(ResolvedIborCapFloorLeg capFloorLeg,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value of the Ibor cap/floor leg.
|
MultiCurrencyAmount |
VolatilityIborCapFloorProductPricer.presentValue(ResolvedIborCapFloor capFloor,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value of the Ibor cap/floor product.
|
MultiCurrencyAmount |
VolatilityIborCapFloorTradePricer.presentValue(ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value of the Ibor cap/floor trade.
|
IborCapletFloorletPeriodCurrencyAmounts |
VolatilityIborCapFloorLegPricer.presentValueCapletFloorletPeriods(ResolvedIborCapFloorLeg capFloorLeg,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value for each caplet/floorlet of the Ibor cap/floor leg.
|
IborCapletFloorletPeriodCurrencyAmounts |
VolatilityIborCapFloorProductPricer.presentValueCapletFloorletPeriods(ResolvedIborCapFloor capFloor,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value for each caplet/floorlet of the Ibor cap/floor product.
|
IborCapletFloorletPeriodCurrencyAmounts |
VolatilityIborCapFloorTradePricer.presentValueCapletFloorletPeriods(ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value for each caplet/floorlet of the Ibor cap/floor trade.
|
CurrencyAmount |
VolatilityIborCapletFloorletPeriodPricer.presentValueDelta(IborCapletFloorletPeriod period,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value delta of the Ibor caplet/floorlet period.
|
CurrencyAmount |
VolatilityIborCapFloorLegPricer.presentValueDelta(ResolvedIborCapFloorLeg capFloorLeg,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value delta of the Ibor cap/floor leg.
|
MultiCurrencyAmount |
VolatilityIborCapFloorProductPricer.presentValueDelta(ResolvedIborCapFloor capFloor,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value delta of the Ibor cap/floor product.
|
CurrencyAmount |
VolatilityIborCapletFloorletPeriodPricer.presentValueGamma(IborCapletFloorletPeriod period,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value gamma of the Ibor caplet/floorlet period.
|
CurrencyAmount |
VolatilityIborCapFloorLegPricer.presentValueGamma(ResolvedIborCapFloorLeg capFloorLeg,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value gamma of the Ibor cap/floor leg.
|
MultiCurrencyAmount |
VolatilityIborCapFloorProductPricer.presentValueGamma(ResolvedIborCapFloor capFloor,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value gamma of the Ibor cap/floor product.
|
PointSensitivityBuilder |
SabrIborCapletFloorletPeriodPricer.presentValueSensitivityModelParamsSabr(IborCapletFloorletPeriod period,
RatesProvider ratesProvider,
SabrIborCapletFloorletVolatilities volatilities)
Calculates the present value sensitivity to the SABR model parameters of the Ibor caplet/floorlet.
|
PointSensitivityBuilder |
VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer.presentValueSensitivityModelParamsSabr(OvernightInArrearsCapletFloorletBinaryPeriod period,
RatesProvider ratesProvider,
SabrParametersIborCapletFloorletVolatilities sabrVolatilities)
Calculates the present value sensitivity to model parameters of the binary caplet/floorlet period.
|
PointSensitivityBuilder |
SabrOvernightInArrearsCapletFloorletPeriodPricer.presentValueSensitivityModelParamsSabr(OvernightInArrearsCapletFloorletPeriod period,
RatesProvider ratesProvider,
SabrParametersIborCapletFloorletVolatilities sabrVolatilities)
Computes the present value sensitivity to the SABR model parameters.
|
PointSensitivityBuilder |
SabrIborCapFloorLegPricer.presentValueSensitivityModelParamsSabr(ResolvedIborCapFloorLeg capFloorLeg,
RatesProvider ratesProvider,
SabrIborCapletFloorletVolatilities volatilities)
Calculates the present value sensitivity to the SABR model parameters of the Ibor cap/floor.
|
PointSensitivityBuilder |
SabrIborCapFloorProductPricer.presentValueSensitivityModelParamsSabr(ResolvedIborCapFloor capFloor,
RatesProvider ratesProvider,
SabrIborCapletFloorletVolatilities volatilities)
Calculates the present value volatility sensitivity of the Ibor cap/floor product.
|
PointSensitivityBuilder |
SabrIborCapFloorTradePricer.presentValueSensitivityModelParamsSabr(ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
SabrIborCapletFloorletVolatilities volatilities)
Calculates the present value volatility sensitivity of the Ibor cap/floor trade.
|
PointSensitivityBuilder |
VerticalSpreadVolatilityIborCapletFloorletBinaryPeriodPricer.presentValueSensitivityModelParamsVolatility(IborCapletFloorletBinaryPeriod period,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value sensitivity to model parameters of the binary caplet/floorlet period.
|
PointSensitivityBuilder |
VolatilityIborCapletFloorletPeriodPricer.presentValueSensitivityModelParamsVolatility(IborCapletFloorletPeriod period,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value volatility sensitivity of the Ibor caplet/floorlet.
|
PointSensitivityBuilder |
VolatilityOvernightInArrearsCapletFloorletPeriodPricer.presentValueSensitivityModelParamsVolatility(OvernightInArrearsCapletFloorletPeriod period,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Computes the present value sensitivity to the volatilities.
|
PointSensitivityBuilder |
VolatilityIborCapFloorLegPricer.presentValueSensitivityModelParamsVolatility(ResolvedIborCapFloorLeg capFloorLeg,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value volatility sensitivity of the Ibor cap/floor leg.
|
PointSensitivityBuilder |
VolatilityIborCapFloorProductPricer.presentValueSensitivityModelParamsVolatility(ResolvedIborCapFloor capFloor,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value volatility sensitivity of the Ibor cap/floor product.
|
PointSensitivityBuilder |
VolatilityIborCapFloorTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value volatility sensitivity of the Ibor cap/floor product.
|
PointSensitivityBuilder |
VolatilityIborCapletFloorletPeriodPricer.presentValueSensitivityRates(IborCapletFloorletPeriod period,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value rates sensitivity of the Ibor caplet/floorlet.
|
PointSensitivityBuilder |
VolatilityIborCapFloorLegPricer.presentValueSensitivityRates(ResolvedIborCapFloorLeg capFloorLeg,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value rates sensitivity of the Ibor cap/floor leg.
|
PointSensitivityBuilder |
VolatilityIborCapFloorProductPricer.presentValueSensitivityRates(ResolvedIborCapFloor capFloor,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value rates sensitivity of the Ibor cap/floor product.
|
PointSensitivities |
VolatilityIborCapFloorTradePricer.presentValueSensitivityRates(ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value rates sensitivity of the Ibor cap/floor trade.
|
PointSensitivityBuilder |
SabrIborCapletFloorletPeriodPricer.presentValueSensitivityRatesStickyModel(IborCapletFloorletPeriod period,
RatesProvider ratesProvider,
SabrIborCapletFloorletVolatilities volatilities)
Calculates the present value sensitivity of the Ibor caplet/floorlet to the rate curves.
|
PointSensitivityBuilder |
VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer.presentValueSensitivityRatesStickyModel(OvernightInArrearsCapletFloorletBinaryPeriod period,
RatesProvider ratesProvider,
SabrParametersIborCapletFloorletVolatilities sabrVolatilities)
Calculates the present value rates sensitivity of the binary caplet/floorlet period.
|
PointSensitivityBuilder |
SabrOvernightInArrearsCapletFloorletPeriodPricer.presentValueSensitivityRatesStickyModel(OvernightInArrearsCapletFloorletPeriod period,
RatesProvider ratesProvider,
SabrParametersIborCapletFloorletVolatilities sabrVolatilities)
Computes the present value sensitivity to the rate with "sticky SABR model parameters".
|
PointSensitivityBuilder |
SabrIborCapFloorLegPricer.presentValueSensitivityRatesStickyModel(ResolvedIborCapFloorLeg capFloorLeg,
RatesProvider ratesProvider,
SabrIborCapletFloorletVolatilities volatilities)
Calculates the present value sensitivity of the Ibor cap/floor leg to the rate curves.
|
PointSensitivityBuilder |
SabrIborCapFloorProductPricer.presentValueSensitivityRatesStickyModel(ResolvedIborCapFloor capFloor,
RatesProvider ratesProvider,
SabrIborCapletFloorletVolatilities volatilities)
Calculates the present value rates sensitivity of the Ibor cap/floor product.
|
PointSensitivities |
SabrIborCapFloorTradePricer.presentValueSensitivityRatesStickyModel(ResolvedIborCapFloorTrade trade,
RatesProvider ratesProvider,
SabrIborCapletFloorletVolatilities volatilities)
Calculates the present value rates sensitivity of the Ibor cap/floor trade.
|
PointSensitivityBuilder |
VerticalSpreadVolatilityIborCapletFloorletBinaryPeriodPricer.presentValueSensitivityRatesStickyStrike(IborCapletFloorletBinaryPeriod period,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value rates sensitivity of the binary caplet/floorlet period.
|
PointSensitivityBuilder |
VolatilityOvernightInArrearsCapletFloorletPeriodPricer.presentValueSensitivityRatesStickyStrike(OvernightInArrearsCapletFloorletPeriod period,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Computes the present value sensitivity to the rate with a volatility "sticky strike".
|
CurrencyAmount |
VolatilityIborCapletFloorletPeriodPricer.presentValueTheta(IborCapletFloorletPeriod period,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value theta of the Ibor caplet/floorlet period.
|
CurrencyAmount |
VolatilityIborCapFloorLegPricer.presentValueTheta(ResolvedIborCapFloorLeg capFloorLeg,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value theta of the Ibor cap/floor leg.
|
MultiCurrencyAmount |
VolatilityIborCapFloorProductPricer.presentValueTheta(ResolvedIborCapFloor capFloor,
RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities)
Calculates the present value theta of the Ibor cap/floor product.
|
protected void |
VolatilityIborCapFloorLegPricer.validate(RatesProvider ratesProvider,
IborCapletFloorletVolatilities volatilities) |
| Modifier and Type | Method and Description |
|---|---|
double |
SabrExtrapolationReplicationCmsPeriodPricer.adjustedForwardRate(CmsPeriod cmsPeriod,
RatesProvider provider,
SabrSwaptionVolatilities swaptionVolatilities)
Computes the adjusted forward rate for a CMS coupon.
|
double |
SabrExtrapolationReplicationCmsPeriodPricer.adjustmentToForwardRate(CmsPeriod cmsPeriod,
RatesProvider provider,
SabrSwaptionVolatilities swaptionVolatilities)
Computes the adjustment to the forward rate for a CMS coupon.
|
MultiCurrencyAmount |
DiscountingCmsProductPricer.currencyExposure(ResolvedCms cms,
RatesProvider ratesProvider)
Calculates the currency exposure of the product.
|
MultiCurrencyAmount |
SabrExtrapolationReplicationCmsProductPricer.currencyExposure(ResolvedCms cms,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the currency exposure of the product.
|
MultiCurrencyAmount |
DiscountingCmsTradePricer.currencyExposure(ResolvedCmsTrade trade,
RatesProvider ratesProvider)
Calculates the currency exposure of the trade.
|
MultiCurrencyAmount |
SabrExtrapolationReplicationCmsTradePricer.currencyExposure(ResolvedCmsTrade trade,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the currency exposure of the trade.
|
CurrencyAmount |
DiscountingCmsLegPricer.currentCash(ResolvedCmsLeg cmsLeg,
RatesProvider ratesProvider)
Calculates the current cash of the leg.
|
CurrencyAmount |
SabrExtrapolationReplicationCmsLegPricer.currentCash(ResolvedCmsLeg cmsLeg,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the current cash of the leg.
|
MultiCurrencyAmount |
DiscountingCmsProductPricer.currentCash(ResolvedCms cms,
RatesProvider ratesProvider)
Calculates the current cash of the product.
|
MultiCurrencyAmount |
SabrExtrapolationReplicationCmsProductPricer.currentCash(ResolvedCms cms,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the current cash of the product.
|
MultiCurrencyAmount |
DiscountingCmsTradePricer.currentCash(ResolvedCmsTrade trade,
RatesProvider ratesProvider)
Calculates the current cash of the trade.
|
MultiCurrencyAmount |
SabrExtrapolationReplicationCmsTradePricer.currentCash(ResolvedCmsTrade trade,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the current cash of the trade.
|
void |
SabrExtrapolationReplicationCmsPeriodPricer.explainPresentValue(CmsPeriod period,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities,
ExplainMapBuilder builder)
Explains the present value of the CMS period.
|
ExplainMap |
SabrExtrapolationReplicationCmsLegPricer.explainPresentValue(ResolvedCmsLeg cmsLeg,
RatesProvider provider,
SabrSwaptionVolatilities volatilities)
Explains the present value of a CMS leg.
|
ExplainMap |
SabrExtrapolationReplicationCmsTradePricer.explainPresentValue(ResolvedCms cms,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Explains the present value of the CMS trade.
|
ExplainMap |
SabrExtrapolationReplicationCmsProductPricer.explainPresentValue(ResolvedCms cms,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Explains the present value of the CMS product.
|
CurrencyAmount |
SabrExtrapolationReplicationCmsPeriodPricer.presentValue(CmsPeriod cmsPeriod,
RatesProvider provider,
SabrSwaptionVolatilities swaptionVolatilities)
Computes the present value by replication in SABR framework with extrapolation on the right.
|
CurrencyAmount |
DiscountingCmsLegPricer.presentValue(ResolvedCmsLeg cmsLeg,
RatesProvider ratesProvider)
Computes the present value of CMS leg by simple forward rate estimation.
|
CurrencyAmount |
SabrExtrapolationReplicationCmsLegPricer.presentValue(ResolvedCmsLeg cmsLeg,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value of the CMS leg.
|
MultiCurrencyAmount |
DiscountingCmsProductPricer.presentValue(ResolvedCms cms,
RatesProvider ratesProvider)
Calculates the present value of the CMS product by simple forward estimation.
|
MultiCurrencyAmount |
SabrExtrapolationReplicationCmsProductPricer.presentValue(ResolvedCms cms,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value of the CMS product.
|
MultiCurrencyAmount |
DiscountingCmsTradePricer.presentValue(ResolvedCmsTrade trade,
RatesProvider ratesProvider)
Calculates the present value of the CMS trade by simple forward estimation.
|
MultiCurrencyAmount |
SabrExtrapolationReplicationCmsTradePricer.presentValue(ResolvedCmsTrade trade,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value of the CMS trade.
|
PointSensitivityBuilder |
DiscountingCmsLegPricer.presentValueSensitivity(ResolvedCmsLeg cmsLeg,
RatesProvider ratesProvider)
Calculates the present value curve sensitivity of the CMS leg by simple forward rate estimation.
|
PointSensitivityBuilder |
DiscountingCmsProductPricer.presentValueSensitivity(ResolvedCms cms,
RatesProvider ratesProvider)
Calculates the present value curve sensitivity of the CMS product by simple forward estimation.
|
PointSensitivities |
DiscountingCmsTradePricer.presentValueSensitivity(ResolvedCmsTrade trade,
RatesProvider ratesProvider)
Calculates the present value curve sensitivity of the CMS trade by simple forward estimation.
|
PointSensitivityBuilder |
SabrExtrapolationReplicationCmsPeriodPricer.presentValueSensitivityModelParamsSabr(CmsPeriod cmsPeriod,
RatesProvider provider,
SabrSwaptionVolatilities swaptionVolatilities)
Computes the present value sensitivity to SABR parameters by replication in SABR framework with extrapolation on the right.
|
PointSensitivityBuilder |
SabrExtrapolationReplicationCmsLegPricer.presentValueSensitivityModelParamsSabr(ResolvedCmsLeg cmsLeg,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity to the SABR model parameters.
|
PointSensitivityBuilder |
SabrExtrapolationReplicationCmsProductPricer.presentValueSensitivityModelParamsSabr(ResolvedCms cms,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity to the SABR model parameters.
|
PointSensitivities |
SabrExtrapolationReplicationCmsTradePricer.presentValueSensitivityModelParamsSabr(ResolvedCmsTrade trade,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity to the SABR model parameters.
|
PointSensitivityBuilder |
SabrExtrapolationReplicationCmsPeriodPricer.presentValueSensitivityRates(CmsPeriod cmsPeriod,
RatesProvider provider,
SabrSwaptionVolatilities swaptionVolatilities)
Computes the present value curve sensitivity by replication in SABR framework with extrapolation on the right.
|
PointSensitivityBuilder |
SabrExtrapolationReplicationCmsLegPricer.presentValueSensitivityRates(ResolvedCmsLeg cmsLeg,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value curve sensitivity of the CMS leg.
|
PointSensitivityBuilder |
SabrExtrapolationReplicationCmsProductPricer.presentValueSensitivityRates(ResolvedCms cms,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value curve sensitivity of the CMS product.
|
PointSensitivities |
SabrExtrapolationReplicationCmsTradePricer.presentValueSensitivityRates(ResolvedCmsTrade trade,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value curve sensitivity of the CMS trade.
|
double |
SabrExtrapolationReplicationCmsPeriodPricer.presentValueSensitivityStrike(CmsPeriod cmsPeriod,
RatesProvider provider,
SabrSwaptionVolatilities swaptionVolatilities)
Computes the present value sensitivity to strike by replication in SABR framework with extrapolation on the right.
|
double |
SabrExtrapolationReplicationCmsLegPricer.presentValueSensitivityStrike(ResolvedCmsLeg cmsLeg,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity to the strike value.
|
double |
SabrExtrapolationReplicationCmsProductPricer.presentValueSensitivityStrike(ResolvedCms cms,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity to the strike value.
|
double |
SabrExtrapolationReplicationCmsTradePricer.presentValueSensitivityStrike(ResolvedCmsTrade trade,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity to the strike value.
|
| Modifier and Type | Method and Description |
|---|---|
ImmutableRatesProvider |
SyntheticRatesCurveCalibrator.calibrate(RatesCurveGroupDefinition group,
RatesProvider inputProvider,
ReferenceData refData)
Calibrates synthetic curves from the configuration of the new curves and an existing rates provider.
|
DoubleArray |
CalibrationMeasures.derivative(ResolvedTrade trade,
RatesProvider provider,
List<CurveParameterSize> curveOrder)
Calculates the sensitivity with respect to the rates provider.
|
ImmutableMarketData |
SyntheticRatesCurveCalibrator.marketData(RatesCurveGroupDefinition group,
RatesProvider inputProvider,
ReferenceData refData)
Constructs the synthetic market data from an existing rates provider and the configuration of the new curves.
|
CurrencyParameterSensitivities |
TradeCalibrationMeasure.sensitivities(T trade,
RatesProvider provider) |
CurrencyParameterSensitivities |
PresentValueCalibrationMeasure.sensitivities(T trade,
RatesProvider provider) |
CurrencyParameterSensitivities |
MarketQuoteMeasure.sensitivities(T trade,
RatesProvider provider) |
CurrencyParameterSensitivities |
CalibrationMeasure.sensitivities(T trade,
RatesProvider provider)
Calculates the parameter sensitivities that relate to the value.
|
double |
CalibrationMeasures.value(ResolvedTrade trade,
RatesProvider provider)
Calculates the value, such as par spread.
|
double |
TradeCalibrationMeasure.value(T trade,
RatesProvider provider) |
double |
PresentValueCalibrationMeasure.value(T trade,
RatesProvider provider) |
double |
MarketQuoteMeasure.value(T trade,
RatesProvider provider) |
double |
CalibrationMeasure.value(T trade,
RatesProvider provider)
Calculates the value, such as par spread.
|
| Modifier and Type | Method and Description |
|---|---|
static <R extends ResolvedTrade> |
TradeCalibrationMeasure.of(String name,
Class<R> tradeType,
ToDoubleBiFunction<R,RatesProvider> valueFn,
BiFunction<R,RatesProvider,PointSensitivities> sensitivityFn)
Obtains a calibrator for a specific type of trade.
|
static <R extends ResolvedTrade> |
TradeCalibrationMeasure.of(String name,
Class<R> tradeType,
ToDoubleBiFunction<R,RatesProvider> valueFn,
BiFunction<R,RatesProvider,PointSensitivities> sensitivityFn)
Obtains a calibrator for a specific type of trade.
|
static <R extends ResolvedTrade> |
PresentValueCalibrationMeasure.of(String name,
Class<R> tradeType,
ToDoubleBiFunction<R,RatesProvider> valueFn,
BiFunction<R,RatesProvider,PointSensitivities> sensitivityFn)
Obtains a calibrator for a specific type of trade.
|
static <R extends ResolvedTrade> |
PresentValueCalibrationMeasure.of(String name,
Class<R> tradeType,
ToDoubleBiFunction<R,RatesProvider> valueFn,
BiFunction<R,RatesProvider,PointSensitivities> sensitivityFn)
Obtains a calibrator for a specific type of trade.
|
static <R extends ResolvedTrade> |
MarketQuoteMeasure.of(String name,
Class<R> tradeType,
ToDoubleBiFunction<R,RatesProvider> valueFn,
BiFunction<R,RatesProvider,PointSensitivities> sensitivityFn)
Obtains a calibrator for a specific type of trade.
|
static <R extends ResolvedTrade> |
MarketQuoteMeasure.of(String name,
Class<R> tradeType,
ToDoubleBiFunction<R,RatesProvider> valueFn,
BiFunction<R,RatesProvider,PointSensitivities> sensitivityFn)
Obtains a calibrator for a specific type of trade.
|
| Modifier and Type | Method and Description |
|---|---|
MultiCurrencyAmount |
DiscountingTermDepositTradePricer.currencyExposure(ResolvedTermDepositTrade trade,
RatesProvider provider)
Calculates the currency exposure.
|
CurrencyAmount |
DiscountingTermDepositTradePricer.currentCash(ResolvedTermDepositTrade trade,
RatesProvider provider)
Calculates the current cash.
|
double |
DiscountingIborFixingDepositProductPricer.parRate(ResolvedIborFixingDeposit deposit,
RatesProvider provider)
Calculates the deposit fair rate given the start and end time and the accrual factor.
|
double |
DiscountingIborFixingDepositTradePricer.parRate(ResolvedIborFixingDepositTrade trade,
RatesProvider provider)
Calculates the deposit fair rate given the start and end time and the accrual factor.
|
double |
DiscountingTermDepositProductPricer.parRate(ResolvedTermDeposit deposit,
RatesProvider provider)
Calculates the deposit fair rate given the start and end time and the accrual factor.
|
double |
DiscountingTermDepositTradePricer.parRate(ResolvedTermDepositTrade trade,
RatesProvider provider)
Calculates the deposit fair rate given the start and end time and the accrual factor.
|
PointSensitivities |
DiscountingIborFixingDepositProductPricer.parRateSensitivity(ResolvedIborFixingDeposit deposit,
RatesProvider provider)
Calculates the deposit fair rate sensitivity to the curves.
|
PointSensitivities |
DiscountingIborFixingDepositTradePricer.parRateSensitivity(ResolvedIborFixingDepositTrade trade,
RatesProvider provider)
Calculates the deposit fair rate sensitivity to the curves.
|
PointSensitivities |
DiscountingTermDepositProductPricer.parRateSensitivity(ResolvedTermDeposit deposit,
RatesProvider provider)
Calculates the par rate curve sensitivity.
|
PointSensitivities |
DiscountingTermDepositTradePricer.parRateSensitivity(ResolvedTermDepositTrade trade,
RatesProvider provider)
Calculates the par rate curve sensitivity.
|
double |
DiscountingIborFixingDepositProductPricer.parSpread(ResolvedIborFixingDeposit deposit,
RatesProvider provider)
Calculates the spread to be added to the deposit rate to have a zero present value.
|
double |
DiscountingIborFixingDepositTradePricer.parSpread(ResolvedIborFixingDepositTrade trade,
RatesProvider provider)
Calculates the spread to be added to the deposit rate to have a zero present value.
|
double |
DiscountingTermDepositProductPricer.parSpread(ResolvedTermDeposit deposit,
RatesProvider provider)
Calculates the spread to be added to the deposit rate to have a zero present value.
|
double |
DiscountingTermDepositTradePricer.parSpread(ResolvedTermDepositTrade trade,
RatesProvider provider)
Calculates the spread to be added to the deposit rate to have a zero present value.
|
PointSensitivities |
DiscountingIborFixingDepositProductPricer.parSpreadSensitivity(ResolvedIborFixingDeposit deposit,
RatesProvider provider)
Calculates the par spread curve sensitivity.
|
PointSensitivities |
DiscountingIborFixingDepositTradePricer.parSpreadSensitivity(ResolvedIborFixingDepositTrade trade,
RatesProvider provider)
Calculates the par spread curve sensitivity.
|
PointSensitivities |
DiscountingTermDepositProductPricer.parSpreadSensitivity(ResolvedTermDeposit deposit,
RatesProvider provider)
Calculates the par spread curve sensitivity.
|
PointSensitivities |
DiscountingTermDepositTradePricer.parSpreadSensitivity(ResolvedTermDepositTrade trade,
RatesProvider provider)
Calculates the par spread curve sensitivity.
|
CurrencyAmount |
DiscountingIborFixingDepositProductPricer.presentValue(ResolvedIborFixingDeposit deposit,
RatesProvider provider)
Calculates the present value of the Ibor fixing deposit product.
|
CurrencyAmount |
DiscountingIborFixingDepositTradePricer.presentValue(ResolvedIborFixingDepositTrade trade,
RatesProvider provider)
Calculates the present value of the Ibor fixing deposit trade.
|
CurrencyAmount |
DiscountingTermDepositProductPricer.presentValue(ResolvedTermDeposit deposit,
RatesProvider provider)
Calculates the present value by discounting the final cash flow (nominal + interest)
and the initial payment (initial amount).
|
CurrencyAmount |
DiscountingTermDepositTradePricer.presentValue(ResolvedTermDepositTrade trade,
RatesProvider provider)
Calculates the present value by discounting the final cash flow (nominal + interest)
and the initial payment (initial amount).
|
PointSensitivities |
DiscountingIborFixingDepositProductPricer.presentValueSensitivity(ResolvedIborFixingDeposit deposit,
RatesProvider provider)
Calculates the present value sensitivity of the Ibor fixing product.
|
PointSensitivities |
DiscountingIborFixingDepositTradePricer.presentValueSensitivity(ResolvedIborFixingDepositTrade trade,
RatesProvider provider)
Calculates the present value sensitivity of the Ibor fixing deposit trade.
|
PointSensitivities |
DiscountingTermDepositProductPricer.presentValueSensitivity(ResolvedTermDeposit deposit,
RatesProvider provider)
Calculates the present value sensitivity by discounting the final cash flow (nominal + interest)
and the initial payment (initial amount).
|
PointSensitivities |
DiscountingTermDepositTradePricer.presentValueSensitivity(ResolvedTermDepositTrade trade,
RatesProvider provider)
Calculates the present value sensitivity by discounting the final cash flow (nominal + interest)
and the initial payment (initial amount).
|
| Modifier and Type | Method and Description |
|---|---|
MultiCurrencyAmount |
DiscountingDsfTradePricer.currencyExposure(ResolvedDsfTrade trade,
RatesProvider ratesProvider,
double lastSettlementPrice)
Calculates the currency exposure of the deliverable swap futures trade.
|
CurrencyAmount |
DiscountingDsfTradePricer.presentValue(ResolvedDsfTrade trade,
RatesProvider ratesProvider,
double lastSettlementPrice)
Calculates the present value of the deliverable swap futures trade.
|
PointSensitivities |
DiscountingDsfTradePricer.presentValueSensitivity(ResolvedDsfTrade trade,
RatesProvider ratesProvider)
Calculates the present value sensitivity of the deliverable swap futures trade.
|
double |
DiscountingDsfProductPricer.price(ResolvedDsf future,
RatesProvider ratesProvider)
Calculates the price of the deliverable swap futures product.
|
double |
DiscountingDsfTradePricer.price(ResolvedDsfTrade trade,
RatesProvider ratesProvider)
Calculates the price of the underlying deliverable swap futures product.
|
PointSensitivities |
DiscountingDsfProductPricer.priceSensitivity(ResolvedDsf future,
RatesProvider ratesProvider)
Calculates the price sensitivity of the deliverable swap futures product.
|
PointSensitivities |
DiscountingDsfTradePricer.priceSensitivity(ResolvedDsfTrade trade,
RatesProvider ratesProvider)
Calculates the price sensitivity of the deliverable swap futures product.
|
| Modifier and Type | Method and Description |
|---|---|
CashFlows |
DiscountingFraProductPricer.cashFlows(ResolvedFra fra,
RatesProvider provider)
Calculates the future cash flow of the FRA product.
|
CashFlows |
DiscountingFraTradePricer.cashFlows(ResolvedFraTrade trade,
RatesProvider provider)
Calculates the future cash flow of the FRA trade.
|
MultiCurrencyAmount |
DiscountingFraTradePricer.currencyExposure(ResolvedFraTrade trade,
RatesProvider provider)
Calculates the currency exposure of the FRA trade.
|
CurrencyAmount |
DiscountingFraTradePricer.currentCash(ResolvedFraTrade trade,
RatesProvider provider)
Calculates the current cash of the FRA trade.
|
ExplainMap |
DiscountingFraProductPricer.explainPresentValue(ResolvedFra fra,
RatesProvider provider)
Explains the present value of the FRA product.
|
ExplainMap |
DiscountingFraTradePricer.explainPresentValue(ResolvedFraTrade trade,
RatesProvider provider)
Explains the present value of the FRA product.
|
CurrencyAmount |
DiscountingFraProductPricer.forecastValue(ResolvedFra fra,
RatesProvider provider)
Calculates the forecast value of the FRA product.
|
CurrencyAmount |
DiscountingFraTradePricer.forecastValue(ResolvedFraTrade trade,
RatesProvider provider)
Calculates the forecast value of the FRA trade.
|
PointSensitivities |
DiscountingFraProductPricer.forecastValueSensitivity(ResolvedFra fra,
RatesProvider provider)
Calculates the forecast value sensitivity of the FRA product.
|
PointSensitivities |
DiscountingFraTradePricer.forecastValueSensitivity(ResolvedFraTrade trade,
RatesProvider provider)
Calculates the forecast value sensitivity of the FRA trade.
|
double |
DiscountingFraProductPricer.parRate(ResolvedFra fra,
RatesProvider provider)
Calculates the par rate of the FRA product.
|
double |
DiscountingFraTradePricer.parRate(ResolvedFraTrade trade,
RatesProvider provider)
Calculates the par rate of the FRA trade.
|
PointSensitivities |
DiscountingFraProductPricer.parRateSensitivity(ResolvedFra fra,
RatesProvider provider)
Calculates the par rate curve sensitivity of the FRA product.
|
PointSensitivities |
DiscountingFraTradePricer.parRateSensitivity(ResolvedFraTrade trade,
RatesProvider provider)
Calculates the par rate curve sensitivity of the FRA trade.
|
double |
DiscountingFraProductPricer.parSpread(ResolvedFra fra,
RatesProvider provider)
Calculates the par spread of the FRA product.
|
double |
DiscountingFraTradePricer.parSpread(ResolvedFraTrade trade,
RatesProvider provider)
Calculates the par spread of the FRA trade.
|
PointSensitivities |
DiscountingFraProductPricer.parSpreadSensitivity(ResolvedFra fra,
RatesProvider provider)
Calculates the par spread curve sensitivity of the FRA product.
|
PointSensitivities |
DiscountingFraTradePricer.parSpreadSensitivity(ResolvedFraTrade trade,
RatesProvider provider)
Calculates the par spread curve sensitivity of the FRA trade.
|
CurrencyAmount |
DiscountingFraProductPricer.presentValue(ResolvedFra fra,
RatesProvider provider)
Calculates the present value of the FRA product.
|
CurrencyAmount |
DiscountingFraTradePricer.presentValue(ResolvedFraTrade trade,
RatesProvider provider)
Calculates the present value of the FRA trade.
|
PointSensitivities |
DiscountingFraProductPricer.presentValueSensitivity(ResolvedFra fra,
RatesProvider provider)
Calculates the present value sensitivity of the FRA product.
|
PointSensitivities |
DiscountingFraTradePricer.presentValueSensitivity(ResolvedFraTrade trade,
RatesProvider provider)
Calculates the present value sensitivity of the FRA trade.
|
| Modifier and Type | Method and Description |
|---|---|
MultiCurrencyAmount |
DiscountingFxNdfProductPricer.currencyExposure(ResolvedFxNdf ndf,
RatesProvider provider)
Calculates the currency exposure by discounting each payment in its own currency before fixing and one amount in
the delivery currency after.
|
MultiCurrencyAmount |
DiscountingFxNdfTradePricer.currencyExposure(ResolvedFxNdfTrade trade,
RatesProvider provider)
Calculates the currency exposure by discounting each payment in its own currency.
|
MultiCurrencyAmount |
DiscountingFxSingleProductPricer.currencyExposure(ResolvedFxSingle product,
RatesProvider provider)
Calculates the currency exposure by discounting each payment in its own currency.
|
MultiCurrencyAmount |
DiscountingFxSingleTradePricer.currencyExposure(ResolvedFxSingleTrade trade,
RatesProvider provider)
Calculates the currency exposure by discounting each payment in its own currency.
|
MultiCurrencyAmount |
DiscountingFxSwapProductPricer.currencyExposure(ResolvedFxSwap product,
RatesProvider provider)
Calculates the currency exposure of the FX swap product.
|
MultiCurrencyAmount |
DiscountingFxSwapTradePricer.currencyExposure(ResolvedFxSwapTrade trade,
RatesProvider provider)
Calculates the currency exposure by discounting each payment in its own currency.
|
CurrencyAmount |
DiscountingFxNdfProductPricer.currentCash(ResolvedFxNdf ndf,
RatesProvider provider)
Calculates the current cash of the NDF product.
|
CurrencyAmount |
DiscountingFxNdfTradePricer.currentCash(ResolvedFxNdfTrade trade,
RatesProvider provider)
Calculates the current cash of the trade.
|
MultiCurrencyAmount |
DiscountingFxSingleTradePricer.currentCash(ResolvedFxSingleTrade trade,
RatesProvider provider)
Calculates the current cash of the trade.
|
MultiCurrencyAmount |
DiscountingFxSwapTradePricer.currentCash(ResolvedFxSwapTrade trade,
RatesProvider provider)
Calculates the current cash of the trade.
|
FxRate |
DiscountingFxNdfProductPricer.forwardFxRate(ResolvedFxNdf ndf,
RatesProvider provider)
Calculates the forward exchange rate.
|
FxRate |
DiscountingFxNdfTradePricer.forwardFxRate(ResolvedFxNdfTrade trade,
RatesProvider provider)
Calculates the forward exchange rate.
|
FxRate |
DiscountingFxSingleProductPricer.forwardFxRate(ResolvedFxSingle fx,
RatesProvider provider)
Calculates the forward exchange rate.
|
FxRate |
DiscountingFxSingleTradePricer.forwardFxRate(ResolvedFxSingleTrade trade,
RatesProvider provider)
Calculates the forward exchange rate.
|
PointSensitivityBuilder |
DiscountingFxSingleProductPricer.forwardFxRatePointSensitivity(ResolvedFxSingle fx,
RatesProvider provider)
Calculates the forward exchange rate point sensitivity.
|
PointSensitivities |
DiscountingFxSingleTradePricer.forwardFxRatePointSensitivity(ResolvedFxSingleTrade trade,
RatesProvider provider)
Calculates the forward exchange rate point sensitivity.
|
double |
DiscountingFxSingleProductPricer.forwardFxRateSpotSensitivity(ResolvedFxSingle fx,
RatesProvider provider)
Calculates the sensitivity of the forward exchange rate to the spot rate.
|
double |
DiscountingFxSingleTradePricer.forwardFxRateSpotSensitivity(ResolvedFxSingleTrade trade,
RatesProvider provider)
Calculates the sensitivity of the forward exchange rate to the spot rate.
|
double |
DiscountingFxSingleProductPricer.parSpread(ResolvedFxSingle fx,
RatesProvider provider)
Calculates the par spread.
|
double |
DiscountingFxSingleTradePricer.parSpread(ResolvedFxSingleTrade trade,
RatesProvider provider)
Calculates the par spread.
|
double |
DiscountingFxSwapProductPricer.parSpread(ResolvedFxSwap swap,
RatesProvider provider)
Calculates the par spread.
|
double |
DiscountingFxSwapTradePricer.parSpread(ResolvedFxSwapTrade trade,
RatesProvider provider)
Calculates the par spread.
|
PointSensitivities |
DiscountingFxSwapProductPricer.parSpreadSensitivity(ResolvedFxSwap swap,
RatesProvider provider)
Calculates the par spread sensitivity to the curves.
|
PointSensitivities |
DiscountingFxSwapTradePricer.parSpreadSensitivity(ResolvedFxSwapTrade trade,
RatesProvider provider)
Calculates the par spread sensitivity to the curves.
|
CurrencyAmount |
DiscountingFxNdfProductPricer.presentValue(ResolvedFxNdf ndf,
RatesProvider provider)
Calculates the present value of the NDF product.
|
CurrencyAmount |
DiscountingFxNdfTradePricer.presentValue(ResolvedFxNdfTrade trade,
RatesProvider provider)
Calculates the present value of the trade.
|
MultiCurrencyAmount |
DiscountingFxSingleProductPricer.presentValue(ResolvedFxSingle fx,
RatesProvider provider)
Calculates the present value of the FX product by discounting each payment in its own currency.
|
MultiCurrencyAmount |
DiscountingFxSingleTradePricer.presentValue(ResolvedFxSingleTrade trade,
RatesProvider provider)
Calculates the present value of the trade.
|
MultiCurrencyAmount |
DiscountingFxSwapProductPricer.presentValue(ResolvedFxSwap swap,
RatesProvider provider)
Calculates the present value of the FX swap product.
|
MultiCurrencyAmount |
DiscountingFxSwapTradePricer.presentValue(ResolvedFxSwapTrade trade,
RatesProvider provider)
Calculates the present value of the trade.
|
PointSensitivities |
DiscountingFxNdfProductPricer.presentValueSensitivity(ResolvedFxNdf ndf,
RatesProvider provider)
Calculates the present value curve sensitivity of the NDF product.
|
PointSensitivities |
DiscountingFxNdfTradePricer.presentValueSensitivity(ResolvedFxNdfTrade trade,
RatesProvider provider)
Calculates the present value curve sensitivity of the trade.
|
PointSensitivities |
DiscountingFxSingleProductPricer.presentValueSensitivity(ResolvedFxSingle fx,
RatesProvider provider)
Calculates the present value curve sensitivity of the FX product.
|
PointSensitivities |
DiscountingFxSingleTradePricer.presentValueSensitivity(ResolvedFxSingleTrade trade,
RatesProvider provider)
Calculates the present value curve sensitivity of the trade.
|
PointSensitivities |
DiscountingFxSwapProductPricer.presentValueSensitivity(ResolvedFxSwap swap,
RatesProvider provider)
Calculates the present value sensitivity of the FX swap product.
|
PointSensitivities |
DiscountingFxSwapTradePricer.presentValueSensitivity(ResolvedFxSwapTrade trade,
RatesProvider provider)
Calculates the present value curve sensitivity of the trade.
|
| Modifier and Type | Method and Description |
|---|---|
RecombiningTrinomialTreeData |
ImpliedTrinomialTreeFxOptionCalibrator.calibrateTrinomialTree(double timeToExpiry,
CurrencyPair currencyPair,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calibrate trinomial tree to Black volatilities.
|
RecombiningTrinomialTreeData |
ImpliedTrinomialTreeFxOptionCalibrator.calibrateTrinomialTree(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calibrate trinomial tree to Black volatilities by using a vanilla option.
|
MultiCurrencyAmount |
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer.currencyExposure(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the currency exposure of the FX barrier option product.
|
MultiCurrencyAmount |
BlackFxSingleBarrierOptionProductPricer.currencyExposure(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the currency exposure of the FX barrier option product.
|
MultiCurrencyAmount |
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer.currencyExposure(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities,
RecombiningTrinomialTreeData treeData)
Calculates the currency exposure of the FX barrier option product.
|
MultiCurrencyAmount |
ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer.currencyExposure(ResolvedFxSingleBarrierOptionTrade trade,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the currency exposure of the FX barrier option trade.
|
MultiCurrencyAmount |
BlackFxSingleBarrierOptionTradePricer.currencyExposure(ResolvedFxSingleBarrierOptionTrade trade,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the currency exposure of the FX barrier option trade.
|
MultiCurrencyAmount |
VannaVolgaFxVanillaOptionProductPricer.currencyExposure(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionSmileVolatilities volatilities)
Calculates the currency exposure of the foreign exchange vanilla option product.
|
MultiCurrencyAmount |
BlackFxVanillaOptionProductPricer.currencyExposure(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the currency exposure of the foreign exchange vanilla option product.
|
MultiCurrencyAmount |
VannaVolgaFxVanillaOptionTradePricer.currencyExposure(ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
BlackFxOptionSmileVolatilities volatilities)
Calculates the currency exposure of the FX vanilla option trade.
|
MultiCurrencyAmount |
BlackFxVanillaOptionTradePricer.currencyExposure(ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the currency exposure of the FX vanilla option trade.
|
double |
BlackFxSingleBarrierOptionProductPricer.delta(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the delta of the FX barrier option product.
|
double |
BlackFxVanillaOptionProductPricer.delta(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the delta of the foreign exchange vanilla option product.
|
FxRate |
BlackFxSingleBarrierOptionProductPricer.forwardFxRate(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider)
Calculates the forward exchange rate.
|
FxRate |
BlackFxSingleBarrierOptionTradePricer.forwardFxRate(ResolvedFxSingleBarrierOptionTrade trade,
RatesProvider ratesProvider)
Calculates the forward exchange rate.
|
FxRate |
BlackFxVanillaOptionProductPricer.forwardFxRate(ResolvedFxVanillaOption option,
RatesProvider ratesProvider)
Calculates the forward exchange rate.
|
FxRate |
BlackFxVanillaOptionTradePricer.forwardFxRate(ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider)
Calculates the forward exchange rate.
|
double |
BlackFxSingleBarrierOptionProductPricer.gamma(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the gamma of the FX barrier option product.
|
double |
BlackFxVanillaOptionProductPricer.gamma(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the gamma of the foreign exchange vanilla option product.
|
double |
BlackFxSingleBarrierOptionProductPricer.impliedVolatility(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the implied Black volatility of the FX barrier option product.
|
double |
BlackFxSingleBarrierOptionTradePricer.impliedVolatility(ResolvedFxSingleBarrierOptionTrade trade,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the implied Black volatility of the FX barrier option trade.
|
double |
BlackFxVanillaOptionProductPricer.impliedVolatility(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the implied Black volatility of the foreign exchange vanilla option product.
|
double |
BlackFxVanillaOptionTradePricer.impliedVolatility(ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the implied Black volatility of the foreign exchange vanilla option trade.
|
CurrencyAmount |
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer.presentValue(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the present value of the FX barrier option product.
|
CurrencyAmount |
BlackFxSingleBarrierOptionProductPricer.presentValue(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the present value of the FX barrier option product.
|
CurrencyAmount |
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer.presentValue(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities,
RecombiningTrinomialTreeData treeData)
Calculates the present value of the FX barrier option product.
|
MultiCurrencyAmount |
ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer.presentValue(ResolvedFxSingleBarrierOptionTrade trade,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the present value of the FX barrier option trade.
|
MultiCurrencyAmount |
BlackFxSingleBarrierOptionTradePricer.presentValue(ResolvedFxSingleBarrierOptionTrade trade,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the present value of the FX barrier option trade.
|
CurrencyAmount |
VannaVolgaFxVanillaOptionProductPricer.presentValue(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionSmileVolatilities volatilities)
Calculates the present value of the foreign exchange vanilla option product.
|
CurrencyAmount |
BlackFxVanillaOptionProductPricer.presentValue(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the present value of the foreign exchange vanilla option product.
|
MultiCurrencyAmount |
VannaVolgaFxVanillaOptionTradePricer.presentValue(ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
BlackFxOptionSmileVolatilities volatilities)
Calculates the present value of the FX vanilla option trade.
|
MultiCurrencyAmount |
BlackFxVanillaOptionTradePricer.presentValue(ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the present value of the FX vanilla option trade.
|
CurrencyAmount |
BlackFxSingleBarrierOptionProductPricer.presentValueDelta(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the present value delta of the FX barrier option product.
|
CurrencyAmount |
BlackFxVanillaOptionProductPricer.presentValueDelta(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the present value delta of the foreign exchange vanilla option product.
|
CurrencyAmount |
BlackFxSingleBarrierOptionProductPricer.presentValueGamma(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the present value gamma of the FX barrier option product.
|
CurrencyAmount |
BlackFxVanillaOptionProductPricer.presentValueGamma(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the present value delta of the foreign exchange vanilla option product.
|
PointSensitivityBuilder |
BlackFxSingleBarrierOptionProductPricer.presentValueSensitivityModelParamsVolatility(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Computes the present value sensitivity to the black volatility used in the pricing.
|
PointSensitivities |
BlackFxSingleBarrierOptionTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedFxSingleBarrierOptionTrade trade,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Computes the present value sensitivity to the black volatility used in the pricing.
|
PointSensitivityBuilder |
VannaVolgaFxVanillaOptionProductPricer.presentValueSensitivityModelParamsVolatility(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionSmileVolatilities volatilities)
Computes the present value sensitivity to the black volatilities used in the pricing.
|
PointSensitivityBuilder |
BlackFxVanillaOptionProductPricer.presentValueSensitivityModelParamsVolatility(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Computes the present value sensitivity to the black volatility used in the pricing.
|
PointSensitivities |
VannaVolgaFxVanillaOptionTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
BlackFxOptionSmileVolatilities volatilities)
Computes the present value sensitivity to the black volatility used in the pricing.
|
PointSensitivities |
BlackFxVanillaOptionTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Computes the present value sensitivity to the black volatility used in the pricing.
|
CurrencyParameterSensitivities |
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer.presentValueSensitivityRates(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the present value sensitivity of the FX barrier option product.
|
CurrencyParameterSensitivities |
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer.presentValueSensitivityRates(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities,
RecombiningTrinomialTreeData baseTreeData)
Calculates the present value sensitivity of the FX barrier option product.
|
CurrencyParameterSensitivities |
ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer.presentValueSensitivityRates(ResolvedFxSingleBarrierOptionTrade trade,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the present value sensitivity of the FX barrier option trade.
|
PointSensitivityBuilder |
BlackFxSingleBarrierOptionProductPricer.presentValueSensitivityRatesStickyStrike(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the present value sensitivity of the FX barrier option product.
|
PointSensitivities |
BlackFxSingleBarrierOptionTradePricer.presentValueSensitivityRatesStickyStrike(ResolvedFxSingleBarrierOptionTrade trade,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the present value sensitivity of the FX barrier option trade.
|
PointSensitivityBuilder |
VannaVolgaFxVanillaOptionProductPricer.presentValueSensitivityRatesStickyStrike(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionSmileVolatilities volatilities)
Calculates the present value sensitivity of the foreign exchange vanilla option product.
|
PointSensitivities |
BlackFxVanillaOptionProductPricer.presentValueSensitivityRatesStickyStrike(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the present value sensitivity of the foreign exchange vanilla option product.
|
PointSensitivities |
VannaVolgaFxVanillaOptionTradePricer.presentValueSensitivityRatesStickyStrike(ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
BlackFxOptionSmileVolatilities volatilities)
Calculates the present value sensitivity of the FX vanilla option trade.
|
PointSensitivities |
BlackFxVanillaOptionTradePricer.presentValueSensitivityRatesStickyStrike(ResolvedFxVanillaOptionTrade trade,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the present value sensitivity of the FX vanilla option trade.
|
CurrencyAmount |
BlackFxSingleBarrierOptionProductPricer.presentValueTheta(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the present value theta of the FX barrier option product.
|
CurrencyAmount |
BlackFxVanillaOptionProductPricer.presentValueTheta(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the present value theta of the foreign exchange vanilla option product.
|
CurrencyAmount |
BlackFxVanillaOptionProductPricer.presentValueVega(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the present value vega of the foreign exchange vanilla option product.
|
double |
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer.price(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the price of the FX barrier option product.
|
double |
BlackFxSingleBarrierOptionProductPricer.price(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the price of the FX barrier option product.
|
double |
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer.price(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities,
RecombiningTrinomialTreeData treeData)
Calculates the price of the FX barrier option product.
|
double |
VannaVolgaFxVanillaOptionProductPricer.price(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionSmileVolatilities volatilities)
Calculates the price of the foreign exchange vanilla option product.
|
double |
BlackFxVanillaOptionProductPricer.price(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the price of the foreign exchange vanilla option product.
|
double |
BlackFxSingleBarrierOptionProductPricer.theta(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the theta of the FX barrier option product.
|
double |
BlackFxVanillaOptionProductPricer.theta(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the Black theta of the foreign exchange vanilla option product.
|
double |
BlackFxSingleBarrierOptionProductPricer.vega(ResolvedFxSingleBarrierOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the vega of the FX barrier option product.
|
double |
BlackFxVanillaOptionProductPricer.vega(ResolvedFxVanillaOption option,
RatesProvider ratesProvider,
BlackFxOptionVolatilities volatilities)
Calculates the vega of the foreign exchange vanilla option product.
|
| Modifier and Type | Method and Description |
|---|---|
double |
DiscountingCmsPeriodPricer.forwardRate(CmsPeriod cmsPeriod,
RatesProvider provider)
Computes the forward rate associated to the swap underlying the CMS period.
|
CurrencyAmount |
DiscountingCmsPeriodPricer.presentValue(CmsPeriod cmsPeriod,
RatesProvider provider)
Computes the present value of CMS coupon by simple forward rate estimation.
|
CurrencyAmount |
BlackFlatCmsPeriodPricer.presentValue(CmsPeriod cmsPeriod,
RatesProvider provider,
SwaptionVolatilities swaptionVolatilities)
Computes the present value by replication in SABR framework with extrapolation on the right.
|
PointSensitivityBuilder |
DiscountingCmsPeriodPricer.presentValueSensitivity(CmsPeriod cmsPeriod,
RatesProvider provider)
Computes the present value curve sensitivity by simple forward rate estimation.
|
| Modifier and Type | Method and Description |
|---|---|
double |
ForwardIborAveragedRateComputationFn.explainRate(IborAveragedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider,
ExplainMapBuilder builder) |
double |
ForwardIborInterpolatedRateComputationFn.explainRate(IborInterpolatedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider,
ExplainMapBuilder builder) |
double |
ForwardIborRateComputationFn.explainRate(IborRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider,
ExplainMapBuilder builder) |
double |
ForwardInflationEndInterpolatedRateComputationFn.explainRate(InflationEndInterpolatedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider,
ExplainMapBuilder builder) |
double |
ForwardInflationEndMonthRateComputationFn.explainRate(InflationEndMonthRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider,
ExplainMapBuilder builder) |
double |
ForwardInflationInterpolatedRateComputationFn.explainRate(InflationInterpolatedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider,
ExplainMapBuilder builder) |
double |
ForwardInflationMonthlyRateComputationFn.explainRate(InflationMonthlyRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider,
ExplainMapBuilder builder) |
double |
ForwardOvernightAveragedDailyRateComputationFn.explainRate(OvernightAveragedDailyRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider,
ExplainMapBuilder builder) |
double |
ForwardOvernightAveragedRateComputationFn.explainRate(OvernightAveragedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider,
ExplainMapBuilder builder) |
double |
ApproxForwardOvernightAveragedRateComputationFn.explainRate(OvernightAveragedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider,
ExplainMapBuilder builder) |
double |
ForwardOvernightCompoundedAnnualRateComputationFn.explainRate(OvernightCompoundedAnnualRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider,
ExplainMapBuilder builder) |
double |
ForwardOvernightCompoundedRateComputationFn.explainRate(OvernightCompoundedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider,
ExplainMapBuilder builder) |
double |
DispatchingRateComputationFn.explainRate(RateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider,
ExplainMapBuilder builder) |
double |
ForwardIborAveragedRateComputationFn.rate(IborAveragedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
double |
ForwardIborInterpolatedRateComputationFn.rate(IborInterpolatedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
double |
ForwardIborRateComputationFn.rate(IborRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
double |
ForwardInflationEndInterpolatedRateComputationFn.rate(InflationEndInterpolatedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
double |
ForwardInflationEndMonthRateComputationFn.rate(InflationEndMonthRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
double |
ForwardInflationInterpolatedRateComputationFn.rate(InflationInterpolatedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
double |
ForwardInflationMonthlyRateComputationFn.rate(InflationMonthlyRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
double |
ForwardOvernightAveragedDailyRateComputationFn.rate(OvernightAveragedDailyRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
double |
ForwardOvernightAveragedRateComputationFn.rate(OvernightAveragedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
double |
ApproxForwardOvernightAveragedRateComputationFn.rate(OvernightAveragedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
double |
ForwardOvernightCompoundedAnnualRateComputationFn.rate(OvernightCompoundedAnnualRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
double |
ForwardOvernightCompoundedRateComputationFn.rate(OvernightCompoundedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
double |
DispatchingRateComputationFn.rate(RateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
PointSensitivityBuilder |
ForwardIborAveragedRateComputationFn.rateSensitivity(IborAveragedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
PointSensitivityBuilder |
ForwardIborInterpolatedRateComputationFn.rateSensitivity(IborInterpolatedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
PointSensitivityBuilder |
ForwardIborRateComputationFn.rateSensitivity(IborRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
PointSensitivityBuilder |
ForwardInflationEndInterpolatedRateComputationFn.rateSensitivity(InflationEndInterpolatedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
PointSensitivityBuilder |
ForwardInflationEndMonthRateComputationFn.rateSensitivity(InflationEndMonthRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
PointSensitivityBuilder |
ForwardInflationInterpolatedRateComputationFn.rateSensitivity(InflationInterpolatedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
PointSensitivityBuilder |
ForwardInflationMonthlyRateComputationFn.rateSensitivity(InflationMonthlyRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
PointSensitivityBuilder |
ForwardOvernightAveragedDailyRateComputationFn.rateSensitivity(OvernightAveragedDailyRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
PointSensitivityBuilder |
ForwardOvernightAveragedRateComputationFn.rateSensitivity(OvernightAveragedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
PointSensitivityBuilder |
ApproxForwardOvernightAveragedRateComputationFn.rateSensitivity(OvernightAveragedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
PointSensitivityBuilder |
ForwardOvernightCompoundedAnnualRateComputationFn.rateSensitivity(OvernightCompoundedAnnualRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
PointSensitivityBuilder |
ForwardOvernightCompoundedRateComputationFn.rateSensitivity(OvernightCompoundedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
PointSensitivityBuilder |
DispatchingRateComputationFn.rateSensitivity(RateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider) |
| Modifier and Type | Method and Description |
|---|---|
static ImmutableMap<Payment,PointSensitivityBuilder> |
CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivityFixedLeg(ResolvedSwapLeg fixedLeg,
RatesProvider ratesProvider)
Computes cash flow equivalent and sensitivity of fixed leg.
|
static ImmutableMap<Payment,PointSensitivityBuilder> |
CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivityIborLeg(ResolvedSwapLeg iborLeg,
RatesProvider ratesProvider)
Computes cash flow equivalent and sensitivity of Ibor leg.
|
static ImmutableMap<Payment,PointSensitivityBuilder> |
CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivityOnLeg(ResolvedSwapLeg onLeg,
RatesProvider multicurve)
Computes cash flow equivalent of and sensitivity overnight leg.
|
static ImmutableMap<Payment,PointSensitivityBuilder> |
CashFlowEquivalentCalculator.cashFlowEquivalentAndSensitivitySwap(ResolvedSwap swap,
RatesProvider ratesProvider)
Computes cash flow equivalent and sensitivity of swap.
|
static ResolvedSwapLeg |
CashFlowEquivalentCalculator.cashFlowEquivalentFixedLeg(ResolvedSwapLeg fixedLeg,
RatesProvider ratesProvider)
Computes cash flow equivalent of fixed leg.
|
static ResolvedSwapLeg |
CashFlowEquivalentCalculator.cashFlowEquivalentIborLeg(ResolvedSwapLeg iborLeg,
RatesProvider ratesProvider)
Computes cash flow equivalent of Ibor leg.
|
static ResolvedSwapLeg |
CashFlowEquivalentCalculator.cashFlowEquivalentOnLeg(ResolvedSwapLeg onLeg,
RatesProvider multicurve)
Computes cash flow equivalent of overnight leg.
|
static ResolvedSwapLeg |
CashFlowEquivalentCalculator.cashFlowEquivalentSwap(ResolvedSwap swap,
RatesProvider ratesProvider)
Computes cash flow equivalent of swap.
|
| Modifier and Type | Method and Description |
|---|---|
double |
DiscountingKnownAmountPaymentPeriodPricer.accruedInterest(KnownAmountSwapPaymentPeriod period,
RatesProvider provider) |
double |
DiscountingRatePaymentPeriodPricer.accruedInterest(RatePaymentPeriod period,
RatesProvider provider) |
double |
DispatchingSwapPaymentPeriodPricer.accruedInterest(SwapPaymentPeriod paymentPeriod,
RatesProvider provider) |
MultiCurrencyAmount |
DiscountingFxResetNotionalExchangePricer.currencyExposure(FxResetNotionalExchange event,
RatesProvider provider) |
MultiCurrencyAmount |
DiscountingKnownAmountPaymentPeriodPricer.currencyExposure(KnownAmountSwapPaymentPeriod period,
RatesProvider provider) |
MultiCurrencyAmount |
DiscountingNotionalExchangePricer.currencyExposure(NotionalExchange event,
RatesProvider provider) |
MultiCurrencyAmount |
DiscountingRatePaymentPeriodPricer.currencyExposure(RatePaymentPeriod period,
RatesProvider provider) |
MultiCurrencyAmount |
DispatchingSwapPaymentEventPricer.currencyExposure(SwapPaymentEvent paymentEvent,
RatesProvider provider) |
MultiCurrencyAmount |
DispatchingSwapPaymentPeriodPricer.currencyExposure(SwapPaymentPeriod paymentPeriod,
RatesProvider provider) |
double |
DiscountingFxResetNotionalExchangePricer.currentCash(FxResetNotionalExchange event,
RatesProvider provider) |
double |
DiscountingKnownAmountPaymentPeriodPricer.currentCash(KnownAmountSwapPaymentPeriod period,
RatesProvider provider) |
double |
DiscountingNotionalExchangePricer.currentCash(NotionalExchange event,
RatesProvider provider) |
double |
DiscountingRatePaymentPeriodPricer.currentCash(RatePaymentPeriod period,
RatesProvider provider) |
double |
DispatchingSwapPaymentEventPricer.currentCash(SwapPaymentEvent paymentEvent,
RatesProvider provider) |
double |
DispatchingSwapPaymentPeriodPricer.currentCash(SwapPaymentPeriod paymentPeriod,
RatesProvider provider) |
void |
DiscountingFxResetNotionalExchangePricer.explainPresentValue(FxResetNotionalExchange event,
RatesProvider provider,
ExplainMapBuilder builder) |
void |
DiscountingKnownAmountPaymentPeriodPricer.explainPresentValue(KnownAmountSwapPaymentPeriod period,
RatesProvider provider,
ExplainMapBuilder builder) |
void |
DiscountingNotionalExchangePricer.explainPresentValue(NotionalExchange event,
RatesProvider provider,
ExplainMapBuilder builder) |
void |
DiscountingRatePaymentPeriodPricer.explainPresentValue(RatePaymentPeriod paymentPeriod,
RatesProvider provider,
ExplainMapBuilder builder) |
void |
DispatchingSwapPaymentEventPricer.explainPresentValue(SwapPaymentEvent paymentEvent,
RatesProvider provider,
ExplainMapBuilder builder) |
void |
DispatchingSwapPaymentPeriodPricer.explainPresentValue(SwapPaymentPeriod paymentPeriod,
RatesProvider provider,
ExplainMapBuilder builder) |
double |
DiscountingFxResetNotionalExchangePricer.forecastValue(FxResetNotionalExchange event,
RatesProvider provider) |
double |
DiscountingKnownAmountPaymentPeriodPricer.forecastValue(KnownAmountSwapPaymentPeriod period,
RatesProvider provider) |
double |
DiscountingNotionalExchangePricer.forecastValue(NotionalExchange event,
RatesProvider provider) |
double |
DiscountingRatePaymentPeriodPricer.forecastValue(RatePaymentPeriod period,
RatesProvider provider) |
double |
DispatchingSwapPaymentEventPricer.forecastValue(SwapPaymentEvent paymentEvent,
RatesProvider provider) |
double |
DispatchingSwapPaymentPeriodPricer.forecastValue(SwapPaymentPeriod paymentPeriod,
RatesProvider provider) |
PointSensitivityBuilder |
DiscountingFxResetNotionalExchangePricer.forecastValueSensitivity(FxResetNotionalExchange event,
RatesProvider provider) |
PointSensitivityBuilder |
DiscountingKnownAmountPaymentPeriodPricer.forecastValueSensitivity(KnownAmountSwapPaymentPeriod period,
RatesProvider provider) |
PointSensitivityBuilder |
DiscountingNotionalExchangePricer.forecastValueSensitivity(NotionalExchange event,
RatesProvider provider) |
PointSensitivityBuilder |
DiscountingRatePaymentPeriodPricer.forecastValueSensitivity(RatePaymentPeriod period,
RatesProvider provider) |
PointSensitivityBuilder |
DispatchingSwapPaymentEventPricer.forecastValueSensitivity(SwapPaymentEvent paymentEvent,
RatesProvider provider) |
PointSensitivityBuilder |
DispatchingSwapPaymentPeriodPricer.forecastValueSensitivity(SwapPaymentPeriod paymentPeriod,
RatesProvider provider) |
double |
DiscountingFxResetNotionalExchangePricer.presentValue(FxResetNotionalExchange event,
RatesProvider provider) |
double |
DiscountingKnownAmountPaymentPeriodPricer.presentValue(KnownAmountSwapPaymentPeriod period,
RatesProvider provider) |
double |
DiscountingNotionalExchangePricer.presentValue(NotionalExchange event,
RatesProvider provider) |
double |
DiscountingRatePaymentPeriodPricer.presentValue(RatePaymentPeriod period,
RatesProvider provider) |
double |
DispatchingSwapPaymentEventPricer.presentValue(SwapPaymentEvent paymentEvent,
RatesProvider provider) |
double |
DispatchingSwapPaymentPeriodPricer.presentValue(SwapPaymentPeriod paymentPeriod,
RatesProvider provider) |
PointSensitivityBuilder |
DiscountingFxResetNotionalExchangePricer.presentValueSensitivity(FxResetNotionalExchange event,
RatesProvider provider) |
PointSensitivityBuilder |
DiscountingKnownAmountPaymentPeriodPricer.presentValueSensitivity(KnownAmountSwapPaymentPeriod period,
RatesProvider provider) |
PointSensitivityBuilder |
DiscountingNotionalExchangePricer.presentValueSensitivity(NotionalExchange event,
RatesProvider provider) |
PointSensitivityBuilder |
DiscountingRatePaymentPeriodPricer.presentValueSensitivity(RatePaymentPeriod period,
RatesProvider provider) |
PointSensitivityBuilder |
DispatchingSwapPaymentEventPricer.presentValueSensitivity(SwapPaymentEvent paymentEvent,
RatesProvider provider) |
PointSensitivityBuilder |
DispatchingSwapPaymentPeriodPricer.presentValueSensitivity(SwapPaymentPeriod paymentPeriod,
RatesProvider provider) |
double |
DiscountingKnownAmountPaymentPeriodPricer.pvbp(KnownAmountSwapPaymentPeriod period,
RatesProvider provider) |
double |
DiscountingRatePaymentPeriodPricer.pvbp(RatePaymentPeriod paymentPeriod,
RatesProvider provider) |
double |
DispatchingSwapPaymentPeriodPricer.pvbp(SwapPaymentPeriod paymentPeriod,
RatesProvider provider) |
PointSensitivityBuilder |
DiscountingKnownAmountPaymentPeriodPricer.pvbpSensitivity(KnownAmountSwapPaymentPeriod period,
RatesProvider provider) |
PointSensitivityBuilder |
DiscountingRatePaymentPeriodPricer.pvbpSensitivity(RatePaymentPeriod paymentPeriod,
RatesProvider provider) |
PointSensitivityBuilder |
DispatchingSwapPaymentPeriodPricer.pvbpSensitivity(SwapPaymentPeriod paymentPeriod,
RatesProvider provider) |
| Modifier and Type | Method and Description |
|---|---|
double |
HullWhiteIborFutureProductPricer.convexityAdjustment(ResolvedIborFuture future,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
Calculates the convexity adjustment (to the price) of the Ibor future product.
|
MultiCurrencyAmount |
HullWhiteIborFutureTradePricer.currencyExposure(ResolvedIborFutureTrade trade,
RatesProvider provider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider,
double lastSettlementPrice)
Calculates the currency exposure of the Ibor future trade.
|
double |
NormalIborFutureOptionMarginedProductPricer.deltaStickyStrike(ResolvedIborFutureOption futureOption,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities)
Calculates the delta of the Ibor future option product.
|
double |
NormalIborFutureOptionMarginedProductPricer.deltaStickyStrike(ResolvedIborFutureOption futureOption,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities,
double futurePrice)
Calculates the delta of the Ibor future option product
based on the price of the underlying future.
|
double |
NormalOvernightFutureOptionMarginedProductPricer.deltaStickyStrike(ResolvedOvernightFutureOption futureOption,
RatesProvider ratesProvider,
NormalOvernightFutureOptionVolatilities volatilities)
Calculates the delta of the Overnight future option product.
|
double |
DiscountingIborFutureProductPricer.forwardRate(ResolvedIborFuture future,
RatesProvider ratesProvider)
Returns the forward rate.
|
double |
DiscountingIborFutureTradePricer.forwardRate(ResolvedIborFutureTrade trade,
RatesProvider ratesProvider)
Returns the forward rate.
|
double |
DiscountingOvernightFutureProductPricer.forwardRate(ResolvedOvernightFuture future,
RatesProvider ratesProvider)
Returns the forward rate.
|
double |
DiscountingOvernightFutureTradePricer.forwardRate(ResolvedOvernightFutureTrade trade,
RatesProvider ratesProvider)
Returns the forward rate.
|
double |
HullWhiteIborFutureProductPricer.parRate(ResolvedIborFuture future,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
Calculates the par rate of the Ibor future product.
|
double |
DiscountingIborFutureTradePricer.parSpread(ResolvedIborFutureTrade trade,
RatesProvider ratesProvider,
double lastSettlementPrice)
Calculates the par spread of the Ibor future trade.
|
double |
HullWhiteIborFutureTradePricer.parSpread(ResolvedIborFutureTrade trade,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider,
double lastSettlementPrice)
Calculates the par spread of the Ibor future trade.
|
double |
DiscountingOvernightFutureTradePricer.parSpread(ResolvedOvernightFutureTrade trade,
RatesProvider ratesProvider,
double lastSettlementPrice)
Calculates the par spread of the Overnight rate future trade.
|
PointSensitivities |
DiscountingIborFutureTradePricer.parSpreadSensitivity(ResolvedIborFutureTrade trade,
RatesProvider ratesProvider)
Calculates the par spread sensitivity of the Ibor future trade.
|
PointSensitivities |
DiscountingOvernightFutureTradePricer.parSpreadSensitivity(ResolvedOvernightFutureTrade trade,
RatesProvider ratesProvider)
Calculates the par spread sensitivity of the Overnight rate future trade.
|
PointSensitivities |
HullWhiteIborFutureTradePricer.parSpreadSensitivityRates(ResolvedIborFutureTrade trade,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
Calculates the par spread sensitivity of the Ibor future trade.
|
CurrencyAmount |
NormalIborFutureOptionMarginedTradePricer.presentValue(ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities,
double lastOptionSettlementPrice)
Calculates the present value of the Ibor future option trade.
|
CurrencyAmount |
NormalIborFutureOptionMarginedTradePricer.presentValue(ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities,
double futurePrice,
double lastOptionSettlementPrice)
Calculates the present value of the Ibor future option trade from the underlying future price.
|
CurrencyAmount |
DiscountingIborFutureTradePricer.presentValue(ResolvedIborFutureTrade trade,
RatesProvider ratesProvider,
double lastSettlementPrice)
Calculates the present value of the Ibor future trade.
|
CurrencyAmount |
HullWhiteIborFutureTradePricer.presentValue(ResolvedIborFutureTrade trade,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider,
double lastSettlementPrice)
Calculates the present value of the Ibor future trade.
|
CurrencyAmount |
NormalOvernightFutureOptionMarginedTradePricer.presentValue(ResolvedOvernightFutureOptionTrade trade,
RatesProvider ratesProvider,
NormalOvernightFutureOptionVolatilities volatilities,
double lastOptionSettlementPrice)
Calculates the present value of the Overnight future option trade.
|
CurrencyAmount |
NormalOvernightFutureOptionMarginedTradePricer.presentValue(ResolvedOvernightFutureOptionTrade trade,
RatesProvider ratesProvider,
NormalOvernightFutureOptionVolatilities volatilities,
double futurePrice,
double lastOptionSettlementPrice)
Calculates the present value of the Overnight future option trade from the underlying future price.
|
CurrencyAmount |
DiscountingOvernightFutureTradePricer.presentValue(ResolvedOvernightFutureTrade trade,
RatesProvider ratesProvider,
double lastSettlementPrice)
Calculates the present value of the Overnight rate future trade.
|
PointSensitivities |
DiscountingIborFutureTradePricer.presentValueSensitivity(ResolvedIborFutureTrade trade,
RatesProvider ratesProvider)
Calculates the present value sensitivity of the Ibor future trade.
|
PointSensitivities |
DiscountingOvernightFutureTradePricer.presentValueSensitivity(ResolvedOvernightFutureTrade trade,
RatesProvider ratesProvider)
Calculates the present value sensitivity of the Overnight rate future trade.
|
DoubleArray |
HullWhiteIborFutureTradePricer.presentValueSensitivityModelParamsHullWhite(ResolvedIborFutureTrade trade,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
Calculates the present value sensitivity to piecewise constant volatility parameters of the Hull-White model.
|
IborFutureOptionSensitivity |
NormalIborFutureOptionMarginedTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedIborFutureOptionTrade futureOptionTrade,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities)
Computes the present value sensitivity to the normal volatility used in the pricing.
|
IborFutureOptionSensitivity |
NormalIborFutureOptionMarginedTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedIborFutureOptionTrade futureOptionTrade,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities,
double futurePrice)
Computes the present value sensitivity to the normal volatility used in the pricing
based on the price of the underlying future.
|
OvernightFutureOptionSensitivity |
NormalOvernightFutureOptionMarginedTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedOvernightFutureOptionTrade futureOptionTrade,
RatesProvider ratesProvider,
NormalOvernightFutureOptionVolatilities volatilities)
Computes the present value sensitivity to the normal volatility used in the pricing.
|
PointSensitivities |
NormalIborFutureOptionMarginedTradePricer.presentValueSensitivityRates(ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities)
Calculates the present value sensitivity of the Ibor future option trade.
|
PointSensitivities |
HullWhiteIborFutureTradePricer.presentValueSensitivityRates(ResolvedIborFutureTrade trade,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
Calculates the present value sensitivity of the Ibor future trade.
|
PointSensitivities |
NormalOvernightFutureOptionMarginedTradePricer.presentValueSensitivityRates(ResolvedOvernightFutureOptionTrade trade,
RatesProvider ratesProvider,
NormalOvernightFutureOptionVolatilities volatilities)
Calculates the present value sensitivity of the Overnight future option trade.
|
double |
NormalIborFutureOptionMarginedProductPricer.price(ResolvedIborFutureOption futureOption,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities)
Calculates the price of the Ibor future option product.
|
double |
NormalIborFutureOptionMarginedProductPricer.price(ResolvedIborFutureOption futureOption,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities,
double futurePrice)
Calculates the price of the Ibor future option product
based on the price of the underlying future.
|
double |
NormalIborFutureOptionMarginedTradePricer.price(ResolvedIborFutureOptionTrade trade,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities)
Calculates the price of the Ibor future option trade.
|
double |
DiscountingIborFutureProductPricer.price(ResolvedIborFuture future,
RatesProvider ratesProvider)
Calculates the price of the Ibor future product.
|
double |
HullWhiteIborFutureProductPricer.price(ResolvedIborFuture future,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
Calculates the price of the Ibor future product.
|
double |
DiscountingIborFutureTradePricer.price(ResolvedIborFutureTrade trade,
RatesProvider ratesProvider)
Calculates the price of the Ibor future trade.
|
double |
HullWhiteIborFutureTradePricer.price(ResolvedIborFutureTrade trade,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
Calculates the price of the Ibor future trade.
|
double |
NormalOvernightFutureOptionMarginedProductPricer.price(ResolvedOvernightFutureOption futureOption,
RatesProvider ratesProvider,
NormalOvernightFutureOptionVolatilities volatilities)
Calculates the price of the overnight future option product.
|
double |
NormalOvernightFutureOptionMarginedTradePricer.price(ResolvedOvernightFutureOptionTrade trade,
RatesProvider ratesProvider,
NormalOvernightFutureOptionVolatilities volatilities)
Calculates the price of the Overnight future option trade.
|
double |
DiscountingOvernightFutureProductPricer.price(ResolvedOvernightFuture future,
RatesProvider ratesProvider)
Calculates the price of the Overnight rate future product.
|
double |
DiscountingOvernightFutureTradePricer.price(ResolvedOvernightFutureTrade trade,
RatesProvider ratesProvider)
Calculates the price of the Overnight rate future trade.
|
PointSensitivities |
DiscountingIborFutureProductPricer.priceSensitivity(ResolvedIborFuture future,
RatesProvider ratesProvider)
Calculates the price sensitivity of the Ibor future product.
|
PointSensitivities |
DiscountingIborFutureTradePricer.priceSensitivity(ResolvedIborFutureTrade trade,
RatesProvider ratesProvider)
Calculates the price sensitivity of the Ibor future product.
|
PointSensitivities |
DiscountingOvernightFutureProductPricer.priceSensitivity(ResolvedOvernightFuture future,
RatesProvider ratesProvider)
Calculates the price sensitivity of the Overnight rate future product.
|
PointSensitivities |
DiscountingOvernightFutureTradePricer.priceSensitivity(ResolvedOvernightFutureTrade trade,
RatesProvider ratesProvider)
Calculates the price sensitivity of the Overnight rate future product.
|
DoubleArray |
HullWhiteIborFutureProductPricer.priceSensitivityModelParamsHullWhite(ResolvedIborFuture future,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
Calculates the price sensitivity to piecewise constant volatility parameters of the Hull-White model.
|
IborFutureOptionSensitivity |
NormalIborFutureOptionMarginedProductPricer.priceSensitivityModelParamsVolatility(ResolvedIborFutureOption futureOption,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities)
Calculates the price sensitivity to the normal volatility used for the pricing of the Ibor future option.
|
IborFutureOptionSensitivity |
NormalIborFutureOptionMarginedProductPricer.priceSensitivityModelParamsVolatility(ResolvedIborFutureOption futureOption,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities,
double futurePrice)
Calculates the price sensitivity to the normal volatility used for the pricing of the Ibor future option
based on the price of the underlying future.
|
OvernightFutureOptionSensitivity |
NormalOvernightFutureOptionMarginedProductPricer.priceSensitivityModelParamsVolatility(ResolvedOvernightFutureOption futureOption,
RatesProvider ratesProvider,
NormalOvernightFutureOptionVolatilities volatilities)
Calculates the price sensitivity to the normal volatility used for the pricing of the Overnight future option.
|
PointSensitivities |
HullWhiteIborFutureProductPricer.priceSensitivityRates(ResolvedIborFuture future,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
Calculates the price sensitivity of the Ibor future product.
|
PointSensitivities |
HullWhiteIborFutureTradePricer.priceSensitivityRates(ResolvedIborFutureTrade trade,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
Calculates the price sensitivity of the Ibor future product.
|
PointSensitivities |
NormalIborFutureOptionMarginedProductPricer.priceSensitivityRatesStickyStrike(ResolvedIborFutureOption futureOption,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities)
Calculates the price sensitivity of the Ibor future option product based on curves.
|
PointSensitivities |
NormalIborFutureOptionMarginedProductPricer.priceSensitivityRatesStickyStrike(ResolvedIborFutureOption futureOption,
RatesProvider ratesProvider,
NormalIborFutureOptionVolatilities volatilities,
double futurePrice)
Calculates the price sensitivity of the Ibor future option product
based on the price of the underlying future.
|
PointSensitivities |
NormalOvernightFutureOptionMarginedProductPricer.priceSensitivityRatesStickyStrike(ResolvedOvernightFutureOption futureOption,
RatesProvider ratesProvider,
NormalOvernightFutureOptionVolatilities volatilities)
Calculates the price sensitivity of the Overnight future option product based on curves.
|
PointSensitivities |
NormalOvernightFutureOptionMarginedProductPricer.priceSensitivityRatesStickyStrike(ResolvedOvernightFutureOption futureOption,
RatesProvider ratesProvider,
NormalOvernightFutureOptionVolatilities volatilities,
double futurePrice)
Calculates the price sensitivity of the Overnight future option product
based on the price of the underlying future.
|
| Modifier and Type | Class and Description |
|---|---|
class |
ImmutableRatesProvider
The default immutable rates provider, used to calculate analytic measures.
|
| Modifier and Type | Method and Description |
|---|---|
double |
RateComputationFn.explainRate(T computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider,
ExplainMapBuilder builder)
Explains the calculation of the applicable rate.
|
double |
RateComputationFn.rate(T computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider)
Determines the applicable rate for the computation.
|
PointSensitivityBuilder |
RateComputationFn.rateSensitivity(T computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider)
Determines the point sensitivity for the rate computation.
|
| Modifier and Type | Method and Description |
|---|---|
CrossGammaParameterSensitivities |
CurveGammaCalculator.calculateCrossGammaCrossCurve(RatesProvider ratesProvider,
Function<ImmutableRatesProvider,CurrencyParameterSensitivities> sensitivitiesFn)
Computes cross-curve gamma by applying finite difference method to curve delta.
|
CrossGammaParameterSensitivities |
CurveGammaCalculator.calculateCrossGammaIntraCurve(RatesProvider ratesProvider,
Function<ImmutableRatesProvider,CurrencyParameterSensitivities> sensitivitiesFn)
Computes intra-curve cross gamma by applying finite difference method to curve delta.
|
CurrencyParameterSensitivities |
NotionalEquivalentCalculator.notionalEquivalent(CurrencyParameterSensitivities marketQuoteSensitivities,
RatesProvider provider)
Calculates the notional equivalent from the present value market quote sensitivities.
|
CurrencyParameterSensitivities |
MarketQuoteSensitivityCalculator.sensitivity(CurrencyParameterSensitivities paramSensitivities,
RatesProvider provider)
Calculates the market quote sensitivities from parameter sensitivity.
|
CurrencyParameterSensitivities |
RatesFiniteDifferenceSensitivityCalculator.sensitivity(RatesProvider provider,
Function<ImmutableRatesProvider,CurrencyAmount> valueFn)
Computes the first order sensitivities of a function of a RatesProvider to a double by finite difference.
|
| Modifier and Type | Method and Description |
|---|---|
CurrencyAmount |
DiscountingSwapLegPricer.accruedInterest(ResolvedSwapLeg leg,
RatesProvider provider)
Calculates the accrued interest since the last payment.
|
MultiCurrencyAmount |
DiscountingSwapProductPricer.accruedInterest(ResolvedSwap swap,
RatesProvider provider)
Calculates the accrued interest since the last payment.
|
MultiCurrencyAmount |
DiscountingSwapTradePricer.accruedInterest(ResolvedSwapTrade trade,
RatesProvider provider)
Calculates the accrued interest since the last payment.
|
double |
SwapPaymentPeriodPricer.accruedInterest(T period,
RatesProvider provider)
Calculates the accrued interest since the last payment.
|
CashFlows |
DiscountingSwapLegPricer.cashFlows(ResolvedSwapLeg leg,
RatesProvider provider)
Calculates the future cash flows of the swap leg.
|
CashFlows |
DiscountingSwapProductPricer.cashFlows(ResolvedSwap swap,
RatesProvider provider)
Calculates the future cash flows of the swap product.
|
CashFlows |
DiscountingSwapTradePricer.cashFlows(ResolvedSwapTrade trade,
RatesProvider provider)
Calculates the future cash flows of the swap trade.
|
double |
DiscountingSwapLegPricer.couponEquivalent(ResolvedSwapLeg leg,
RatesProvider provider,
double pvbp)
Calculates the coupon equivalent of a swap leg.
|
MultiCurrencyAmount |
DiscountingSwapLegPricer.currencyExposure(ResolvedSwapLeg leg,
RatesProvider provider)
Calculates the currency exposure of the swap leg.
|
MultiCurrencyAmount |
DiscountingSwapProductPricer.currencyExposure(ResolvedSwap swap,
RatesProvider provider)
Calculates the currency exposure of the swap product.
|
MultiCurrencyAmount |
DiscountingSwapTradePricer.currencyExposure(ResolvedSwapTrade trade,
RatesProvider provider)
Calculates the currency exposure of the swap trade.
|
MultiCurrencyAmount |
SwapPaymentPeriodPricer.currencyExposure(T period,
RatesProvider provider)
Calculates the currency exposure of a single payment period.
|
MultiCurrencyAmount |
SwapPaymentEventPricer.currencyExposure(T event,
RatesProvider provider)
Calculates the currency exposure of a single payment event.
|
CurrencyAmount |
DiscountingSwapLegPricer.currentCash(ResolvedSwapLeg leg,
RatesProvider provider)
Calculates the current cash of the swap leg.
|
MultiCurrencyAmount |
DiscountingSwapProductPricer.currentCash(ResolvedSwap swap,
RatesProvider provider)
Calculates the current cash of the swap product.
|
MultiCurrencyAmount |
DiscountingSwapTradePricer.currentCash(ResolvedSwapTrade trade,
RatesProvider provider)
Calculates the current cash of the swap trade.
|
double |
SwapPaymentPeriodPricer.currentCash(T period,
RatesProvider provider)
Calculates the current cash of a single payment period.
|
double |
SwapPaymentEventPricer.currentCash(T event,
RatesProvider provider)
Calculates the current cash of a single payment event.
|
ExplainMap |
DiscountingSwapLegPricer.explainPresentValue(ResolvedSwapLeg leg,
RatesProvider provider)
Explain present value for a swap leg.
|
ExplainMap |
DiscountingSwapProductPricer.explainPresentValue(ResolvedSwap swap,
RatesProvider provider)
Explains the present value of the swap product.
|
ExplainMap |
DiscountingSwapTradePricer.explainPresentValue(ResolvedSwapTrade trade,
RatesProvider provider)
Explains the present value of the swap trade.
|
void |
SwapPaymentPeriodPricer.explainPresentValue(T period,
RatesProvider provider,
ExplainMapBuilder builder)
Explains the present value of a single payment period.
|
void |
SwapPaymentEventPricer.explainPresentValue(T event,
RatesProvider provider,
ExplainMapBuilder builder)
Explains the present value of a single payment event.
|
CurrencyAmount |
DiscountingSwapLegPricer.forecastValue(ResolvedSwapLeg leg,
RatesProvider provider)
Calculates the forecast value of the swap leg.
|
MultiCurrencyAmount |
DiscountingSwapProductPricer.forecastValue(ResolvedSwap swap,
RatesProvider provider)
Calculates the forecast value of the swap product.
|
MultiCurrencyAmount |
DiscountingSwapTradePricer.forecastValue(ResolvedSwapTrade trade,
RatesProvider provider)
Calculates the forecast value of the swap trade.
|
double |
SwapPaymentPeriodPricer.forecastValue(T period,
RatesProvider provider)
Calculates the forecast value of a single payment period.
|
double |
SwapPaymentEventPricer.forecastValue(T event,
RatesProvider provider)
Calculates the forecast value of a single payment event.
|
PointSensitivityBuilder |
DiscountingSwapLegPricer.forecastValueSensitivity(ResolvedSwapLeg leg,
RatesProvider provider)
Calculates the forecast value sensitivity of the swap leg.
|
PointSensitivityBuilder |
DiscountingSwapProductPricer.forecastValueSensitivity(ResolvedSwap swap,
RatesProvider provider)
Calculates the forecast value sensitivity of the swap product.
|
PointSensitivities |
DiscountingSwapTradePricer.forecastValueSensitivity(ResolvedSwapTrade trade,
RatesProvider provider)
Calculates the forecast value sensitivity of the swap trade.
|
PointSensitivityBuilder |
SwapPaymentPeriodPricer.forecastValueSensitivity(T period,
RatesProvider provider)
Calculates the forecast value sensitivity of a single payment period.
|
PointSensitivityBuilder |
SwapPaymentEventPricer.forecastValueSensitivity(T event,
RatesProvider provider)
Calculates the forecast value sensitivity of a single payment event.
|
double |
DiscountingSwapProductPricer.marketQuote(ResolvedSwap swap,
RatesProvider provider)
Computes the market quote of swaps.
|
PointSensitivityBuilder |
DiscountingSwapProductPricer.marketQuoteSensitivity(ResolvedSwap swap,
RatesProvider provider)
Computes the market quote curve sensitivity for swaps.
|
double |
DiscountingSwapProductPricer.parRate(ResolvedSwap swap,
RatesProvider provider)
Computes the par rate for swaps with a fixed leg.
|
double |
DiscountingSwapTradePricer.parRate(ResolvedSwapTrade trade,
RatesProvider provider)
Calculates the par rate of the swap trade.
|
PointSensitivityBuilder |
DiscountingSwapProductPricer.parRateSensitivity(ResolvedSwap swap,
RatesProvider provider)
Calculates the par rate curve sensitivity for a swap with a fixed leg.
|
PointSensitivities |
DiscountingSwapTradePricer.parRateSensitivity(ResolvedSwapTrade trade,
RatesProvider provider)
Calculates the par rate curve sensitivity of the swap trade.
|
double |
DiscountingSwapProductPricer.parSpread(ResolvedSwap swap,
RatesProvider provider)
Computes the par spread for swaps.
|
double |
DiscountingSwapTradePricer.parSpread(ResolvedSwapTrade trade,
RatesProvider provider)
Calculates the par spread of the swap trade.
|
PointSensitivityBuilder |
DiscountingSwapProductPricer.parSpreadSensitivity(ResolvedSwap swap,
RatesProvider provider)
Calculates the par spread curve sensitivity for a swap.
|
PointSensitivities |
DiscountingSwapTradePricer.parSpreadSensitivity(ResolvedSwapTrade trade,
RatesProvider provider)
Calculates the par spread curve sensitivity of the swap trade.
|
CurrencyAmount |
DiscountingSwapProductPricer.presentValue(ResolvedSwap swap,
Currency currency,
RatesProvider provider)
Calculates the present value of the swap product, converted to the specified currency.
|
CurrencyAmount |
DiscountingSwapLegPricer.presentValue(ResolvedSwapLeg leg,
Currency currency,
RatesProvider provider)
Calculates the present value of the swap leg, converted to the specified currency.
|
CurrencyAmount |
DiscountingSwapLegPricer.presentValue(ResolvedSwapLeg leg,
RatesProvider provider)
Calculates the present value of the swap leg.
|
MultiCurrencyAmount |
DiscountingSwapProductPricer.presentValue(ResolvedSwap swap,
RatesProvider provider)
Calculates the present value of the swap product.
|
CurrencyAmount |
DiscountingSwapTradePricer.presentValue(ResolvedSwapTrade trade,
Currency currency,
RatesProvider provider)
Calculates the present value of the swap trade, converted to the specified currency.
|
MultiCurrencyAmount |
DiscountingSwapTradePricer.presentValue(ResolvedSwapTrade trade,
RatesProvider provider)
Calculates the present value of the swap trade.
|
double |
SwapPaymentPeriodPricer.presentValue(T period,
RatesProvider provider)
Calculates the present value of a single payment period.
|
double |
SwapPaymentEventPricer.presentValue(T event,
RatesProvider provider)
Calculates the present value of a single payment event.
|
PointSensitivityBuilder |
DiscountingSwapProductPricer.presentValueSensitivity(ResolvedSwap swap,
Currency currency,
RatesProvider provider)
Calculates the present value sensitivity of the swap product converted in a given currency.
|
PointSensitivityBuilder |
DiscountingSwapLegPricer.presentValueSensitivity(ResolvedSwapLeg leg,
RatesProvider provider)
Calculates the present value sensitivity of the swap leg.
|
PointSensitivityBuilder |
DiscountingSwapProductPricer.presentValueSensitivity(ResolvedSwap swap,
RatesProvider provider)
Calculates the present value sensitivity of the swap product.
|
PointSensitivities |
DiscountingSwapTradePricer.presentValueSensitivity(ResolvedSwapTrade trade,
RatesProvider provider)
Calculates the present value sensitivity of the swap trade.
|
PointSensitivityBuilder |
SwapPaymentPeriodPricer.presentValueSensitivity(T period,
RatesProvider provider)
Calculates the present value sensitivity of a single payment period.
|
PointSensitivityBuilder |
SwapPaymentEventPricer.presentValueSensitivity(T event,
RatesProvider provider)
Calculates the present value sensitivity of a single payment event.
|
double |
DiscountingSwapLegPricer.pvbp(ResolvedSwapLeg leg,
RatesProvider provider)
Computes the Present Value of a Basis Point for a swap leg.
|
double |
SwapPaymentPeriodPricer.pvbp(T period,
RatesProvider provider)
Calculates the present value of a basis point of a period.
|
PointSensitivityBuilder |
DiscountingSwapLegPricer.pvbpSensitivity(ResolvedSwapLeg fixedLeg,
RatesProvider provider)
Calculates the Present Value of a Basis Point curve sensitivity for a fixed swap leg.
|
PointSensitivityBuilder |
SwapPaymentPeriodPricer.pvbpSensitivity(T period,
RatesProvider provider)
Calculates the present value of a basis point sensitivity of a single payment period.
|
| Modifier and Type | Method and Description |
|---|---|
protected double |
VolatilitySwaptionCashParYieldProductPricer.calculateNumeraire(ResolvedSwaption swaption,
ResolvedSwapLeg fixedLeg,
double forward,
RatesProvider ratesProvider)
Calculates the numeraire, used to multiply the results.
|
SabrParametersSwaptionVolatilities |
SabrSwaptionCalibrator.calibrateAlphaWithAtm(SwaptionVolatilitiesName name,
SabrParametersSwaptionVolatilities sabr,
RatesProvider ratesProvider,
SwaptionVolatilities atmVolatilities,
List<Tenor> tenors,
List<Period> expiries,
SurfaceInterpolator interpolator)
Calibrate SABR alpha parameters to a set of ATM swaption volatilities.
|
SabrParametersSwaptionVolatilities |
SabrSwaptionCalibrator.calibrateWithFixedBetaAndShift(SabrSwaptionDefinition definition,
ZonedDateTime calibrationDateTime,
TenorRawOptionData data,
RatesProvider ratesProvider,
Surface betaSurface,
Surface shiftSurface)
Calibrate SABR parameters to a set of raw swaption data.
|
SabrParametersSwaptionVolatilities |
SabrSwaptionCalibrator.calibrateWithFixedBetaAndShift(SabrSwaptionDefinition definition,
ZonedDateTime calibrationDateTime,
TenorRawOptionData data,
RatesProvider ratesProvider,
Surface betaSurface,
Surface shiftSurface,
boolean stopOnMathException)
Calibrate SABR parameters to a set of raw swaption data.
|
MultiCurrencyAmount |
HullWhiteSwaptionPhysicalProductPricer.currencyExposure(ResolvedSwaption swaption,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
Calculates the currency exposure of the swaption product.
|
MultiCurrencyAmount |
VolatilitySwaptionProductPricer.currencyExposure(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Computes the currency exposure of the swaption.
|
MultiCurrencyAmount |
VolatilitySwaptionPhysicalProductPricer.currencyExposure(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Computes the currency exposure of the swaption.
|
MultiCurrencyAmount |
VolatilitySwaptionCashParYieldProductPricer.currencyExposure(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Computes the currency exposure of the swaption.
|
MultiCurrencyAmount |
BlackSwaptionTradePricer.currencyExposure(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
BlackSwaptionVolatilities swaptionVolatilities)
Computes the currency exposure of the swaption trade.
|
MultiCurrencyAmount |
HullWhiteSwaptionPhysicalTradePricer.currencyExposure(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
Computes the currency exposure of the swaption trade.
|
MultiCurrencyAmount |
NormalSwaptionTradePricer.currencyExposure(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
NormalSwaptionVolatilities swaptionVolatilities)
Computes the currency exposure of the swaption trade.
|
MultiCurrencyAmount |
SabrSwaptionTradePricer.currencyExposure(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Computes the currency exposure of the swaption trade.
|
MultiCurrencyAmount |
VolatilitySwaptionTradePricer.currencyExposure(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Computes the currency exposure of the swaption trade.
|
double |
VolatilitySwaptionProductPricer.forwardRate(ResolvedSwaption swaption,
RatesProvider ratesProvider)
Provides the forward rate.
|
double |
VolatilitySwaptionPhysicalProductPricer.forwardRate(ResolvedSwaption swaption,
RatesProvider ratesProvider)
Provides the forward rate.
|
double |
VolatilitySwaptionCashParYieldProductPricer.forwardRate(ResolvedSwaption swaption,
RatesProvider ratesProvider)
Provides the forward rate.
|
double |
NormalSwaptionTradePricer.forwardRate(ResolvedSwaptionTrade swaptionTrade,
RatesProvider ratesProvider)
Provides the forward rate.
|
double |
BlackSwaptionTradePricer.forwardRate(ResolvedSwaptionTrade swaptionTrade,
RatesProvider ratesProvider)
Provides the forward rate.
|
double |
VolatilitySwaptionTradePricer.forwardRate(ResolvedSwaptionTrade swaptionTrade,
RatesProvider ratesProvider)
Provides the forward rate.
|
double |
SabrSwaptionTradePricer.forwardRate(ResolvedSwaptionTrade swaptionTrade,
RatesProvider ratesProvider)
Provides the forward rate.
|
double |
VolatilitySwaptionProductPricer.impliedVolatility(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Computes the implied volatility of the swaption.
|
double |
VolatilitySwaptionPhysicalProductPricer.impliedVolatility(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Computes the implied volatility of the swaption.
|
double |
VolatilitySwaptionCashParYieldProductPricer.impliedVolatility(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Computes the implied volatility of the swaption.
|
double |
NormalSwaptionTradePricer.impliedVolatility(ResolvedSwaptionTrade swaptionTrade,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Computes the implied volatility of the swaption.
|
double |
BlackSwaptionTradePricer.impliedVolatility(ResolvedSwaptionTrade swaptionTrade,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Computes the implied volatility of the swaption.
|
double |
VolatilitySwaptionTradePricer.impliedVolatility(ResolvedSwaptionTrade swaptionTrade,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Computes the implied volatility of the swaption.
|
double |
SabrSwaptionTradePricer.impliedVolatility(ResolvedSwaptionTrade swaptionTrade,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Computes the implied volatility of the swaption.
|
double |
NormalSwaptionPhysicalProductPricer.impliedVolatilityFromPresentValue(ResolvedSwaption swaption,
RatesProvider ratesProvider,
DayCount dayCount,
double presentValue)
Computes the implied normal volatility from the present value of a swaption.
|
double |
NormalSwaptionCashParYieldProductPricer.impliedVolatilityFromPresentValue(ResolvedSwaption swaption,
RatesProvider ratesProvider,
DayCount dayCount,
double presentValue)
Computes the implied normal volatility from the present value of a swaption.
|
CurrencyAmount |
HullWhiteSwaptionPhysicalProductPricer.presentValue(ResolvedSwaption swaption,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
Calculates the present value of the swaption product.
|
CurrencyAmount |
VolatilitySwaptionProductPricer.presentValue(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value of the swaption.
|
CurrencyAmount |
VolatilitySwaptionPhysicalProductPricer.presentValue(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value of the swaption.
|
CurrencyAmount |
VolatilitySwaptionCashParYieldProductPricer.presentValue(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value of the swaption.
|
CurrencyAmount |
BlackSwaptionTradePricer.presentValue(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
BlackSwaptionVolatilities swaptionVolatilities)
Calculates the present value of the swaption trade.
|
CurrencyAmount |
HullWhiteSwaptionPhysicalTradePricer.presentValue(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
Calculates the present value of the swaption trade.
|
CurrencyAmount |
NormalSwaptionTradePricer.presentValue(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
NormalSwaptionVolatilities swaptionVolatilities)
Calculates the present value of the swaption trade.
|
CurrencyAmount |
SabrSwaptionTradePricer.presentValue(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value of the swaption trade.
|
CurrencyAmount |
VolatilitySwaptionTradePricer.presentValue(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value of the swaption trade.
|
CurrencyAmount |
VolatilitySwaptionProductPricer.presentValueDelta(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value delta of the swaption.
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CurrencyAmount |
VolatilitySwaptionPhysicalProductPricer.presentValueDelta(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value delta of the swaption.
|
CurrencyAmount |
VolatilitySwaptionCashParYieldProductPricer.presentValueDelta(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value delta of the swaption.
|
CurrencyAmount |
VolatilitySwaptionProductPricer.presentValueGamma(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value gamma of the swaption.
|
CurrencyAmount |
VolatilitySwaptionPhysicalProductPricer.presentValueGamma(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value gamma of the swaption.
|
CurrencyAmount |
VolatilitySwaptionCashParYieldProductPricer.presentValueGamma(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value gamma of the swaption.
|
DoubleArray |
HullWhiteSwaptionPhysicalProductPricer.presentValueSensitivityModelParamsHullWhite(ResolvedSwaption swaption,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
Calculates the present value sensitivity to piecewise constant volatility parameters of the Hull-White model.
|
DoubleArray |
HullWhiteSwaptionPhysicalTradePricer.presentValueSensitivityModelParamsHullWhite(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
Calculates the present value sensitivity piecewise constant volatility parameters of the Hull-White model.
|
PointSensitivityBuilder |
SabrSwaptionPhysicalProductPricer.presentValueSensitivityModelParamsSabr(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity to the SABR model parameters of the swaption product.
|
PointSensitivityBuilder |
SabrSwaptionCashParYieldProductPricer.presentValueSensitivityModelParamsSabr(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity to the SABR model parameters of the swaption product.
|
PointSensitivities |
SabrSwaptionTradePricer.presentValueSensitivityModelParamsSabr(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity to the SABR model parameters of the swaption trade.
|
SwaptionSensitivity |
VolatilitySwaptionProductPricer.presentValueSensitivityModelParamsVolatility(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity to the implied volatility of the swaption.
|
SwaptionSensitivity |
VolatilitySwaptionPhysicalProductPricer.presentValueSensitivityModelParamsVolatility(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity to the implied volatility of the swaption.
|
SwaptionSensitivity |
VolatilitySwaptionCashParYieldProductPricer.presentValueSensitivityModelParamsVolatility(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity to the implied volatility of the swaption.
|
PointSensitivities |
BlackSwaptionTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
BlackSwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity to the implied volatility of the swaption trade.
|
PointSensitivities |
NormalSwaptionTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
NormalSwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity to the implied volatility of the swaption trade.
|
PointSensitivities |
SabrSwaptionTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity to the implied volatility of the swaption trade.
|
PointSensitivities |
VolatilitySwaptionTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity to the implied volatility of the swaption trade.
|
PointSensitivityBuilder |
HullWhiteSwaptionPhysicalProductPricer.presentValueSensitivityRates(ResolvedSwaption swaption,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
Calculates the present value sensitivity of the swaption product.
|
PointSensitivities |
HullWhiteSwaptionPhysicalTradePricer.presentValueSensitivityRates(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)
Calculates the present value sensitivity of the swaption product.
|
PointSensitivityBuilder |
SabrSwaptionPhysicalProductPricer.presentValueSensitivityRatesStickyModel(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity of the swaption product to the rate curves.
|
PointSensitivityBuilder |
SabrSwaptionCashParYieldProductPricer.presentValueSensitivityRatesStickyModel(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity of the swaption product to the rate curves.
|
PointSensitivities |
SabrSwaptionTradePricer.presentValueSensitivityRatesStickyModel(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity of the swaption trade to the rate curves.
|
PointSensitivityBuilder |
VolatilitySwaptionProductPricer.presentValueSensitivityRatesStickyStrike(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity of the swaption to the rate curves.
|
PointSensitivityBuilder |
VolatilitySwaptionPhysicalProductPricer.presentValueSensitivityRatesStickyStrike(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity of the swaption to the rate curves.
|
PointSensitivityBuilder |
VolatilitySwaptionCashParYieldProductPricer.presentValueSensitivityRatesStickyStrike(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity of the swaption to the rate curves.
|
PointSensitivities |
BlackSwaptionTradePricer.presentValueSensitivityRatesStickyStrike(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
BlackSwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity of the swaption trade to the rate curves.
|
PointSensitivities |
NormalSwaptionTradePricer.presentValueSensitivityRatesStickyStrike(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
NormalSwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity of the swaption trade to the rate curves.
|
PointSensitivities |
SabrSwaptionTradePricer.presentValueSensitivityRatesStickyStrike(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SabrSwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity of the swaption trade to the rate curves.
|
PointSensitivities |
VolatilitySwaptionTradePricer.presentValueSensitivityRatesStickyStrike(ResolvedSwaptionTrade trade,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value sensitivity of the swaption to the rate curves.
|
CurrencyAmount |
VolatilitySwaptionProductPricer.presentValueTheta(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value of the swaption.
|
CurrencyAmount |
VolatilitySwaptionPhysicalProductPricer.presentValueTheta(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value of the swaption.
|
CurrencyAmount |
VolatilitySwaptionCashParYieldProductPricer.presentValueTheta(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Calculates the present value of the swaption.
|
protected void |
VolatilitySwaptionPhysicalProductPricer.validate(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Validates that the rates and volatilities providers are coherent
and that the swaption is single currency physical.
|
protected void |
VolatilitySwaptionCashParYieldProductPricer.validate(ResolvedSwaption swaption,
RatesProvider ratesProvider,
SwaptionVolatilities swaptionVolatilities)
Validates that the rates and volatilities providers are coherent
and that the swaption is single currency cash par-yield.
|
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.