Serialized Form (OpenGamma Strata Pricer API)

Class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities extends Object implements Serializable

serialVersionUID:: 1L

Serialization Methods
- readResolve
```
private Object readResolve()
```
Serialized Fields
- index
```
IborIndex index
```
  The Ibor index.
  The data must valid in terms of this Ibor index.
- valuationDateTime
```
ZonedDateTime valuationDateTime
```
  The valuation date-time.
  The volatilities are calibrated for this date-time.
- surface
```
Surface surface
```
  The normal volatility surface.
  The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the strike.

Class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities extends Object implements Serializable

serialVersionUID:: 1L

Serialized Fields
- name
```
IborCapletFloorletVolatilitiesName name
```
  The name.
- index
```
IborIndex index
```
  The Ibor index.
  The data must valid in terms of this Ibor index.
- valuationDateTime
```
ZonedDateTime valuationDateTime
```
  The valuation date-time.
  The volatilities are calibrated for this date-time.
- parameters
```
SabrParameters parameters
```
  The SABR model parameters.
  Each model parameter of SABR model is a curve. The x-value of the curve is the expiry, as a year fraction.
- dataSensitivityAlpha
```
ImmutableList<E> dataSensitivityAlpha
```
  The sensitivity of the Alpha parameters to the raw data used for calibration.
  The order of the sensitivities have to be coherent with the curve parameter metadata.
- dataSensitivityBeta
```
ImmutableList<E> dataSensitivityBeta
```
  The sensitivity of the Beta parameters to the raw data used for calibration.
  The order of the sensitivities have to be coherent with the curve parameter metadata.
- dataSensitivityRho
```
ImmutableList<E> dataSensitivityRho
```
  The sensitivity of the Rho parameters to the raw data used for calibration.
  The order of the sensitivities have to be coherent with the curve parameter metadata.
- dataSensitivityNu
```
ImmutableList<E> dataSensitivityNu
```
  The sensitivity of the Nu parameters to the raw data used for calibration.
  The order of the sensitivities have to be coherent with the curve parameter metadata.

Class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition extends Object implements Serializable

serialVersionUID:: 1L

Serialized Fields
- name
```
IborCapletFloorletVolatilitiesName name
```
  The name of the volatilities.
- index
```
IborIndex index
```
  The Ibor index for which the data is valid.
- dayCount
```
DayCount dayCount
```
  The day count to measure the time in the expiry dimension.
- betaCurve
```
Curve betaCurve
```
  The beta (elasticity) curve.
  This represents the beta parameter of SABR model.
  The beta will be treated as one of the calibration parameters if this field is not specified.
- rhoCurve
```
Curve rhoCurve
```
  The rho (correlation) curve.
  This represents the rho parameter of SABR model.
  The rho will be treated as one of the calibration parameters if this field is not specified.
- shiftCurve
```
Curve shiftCurve
```
  The shift curve.
  This represents the shift parameter of shifted SABR model. The x value of the curve is the expiry.
  The shift is set to be zero if this field is not specified.
- interpolator
```
CurveInterpolator interpolator
```
  The interpolator for the SABR parameter curves.
  The x value of the interpolated curves is the expiry.
- extrapolatorLeft
```
CurveExtrapolator extrapolatorLeft
```
  The left extrapolator for the SABR parameter curves.
  The x value of the interpolated curves is the expiry.
- extrapolatorRight
```
CurveExtrapolator extrapolatorRight
```
  The right extrapolator for the SABR parameter curves.
  The x value of the interpolated curves is the expiry.
- sabrVolatilityFormula
```
SabrVolatilityFormula sabrVolatilityFormula
```
  The SABR formula.

Class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition extends Object implements Serializable

serialVersionUID:: 1L

Serialized Fields
- name
```
IborCapletFloorletVolatilitiesName name
```
  The name of the volatilities.
- index
```
IborIndex index
```
  The Ibor index for which the data is valid.
- dayCount
```
DayCount dayCount
```
  The day count to measure the time in the expiry dimension.
- betaCurve
```
Curve betaCurve
```
  The beta (elasticity) curve.
  This represents the beta parameter of SABR model.
  The beta will be treated as one of the calibration parameters if this field is not specified. Either betaCurve or rhoCurve must be present.
- rhoCurve
```
Curve rhoCurve
```
  The rho (correlation) curve.
  This represents the rho parameter of SABR model.
  The rho will be treated as one of the calibration parameters if this field is not specified. Either betaCurve or rhoCurve must be present.
- shiftCurve
```
Curve shiftCurve
```
  The shift curve.
  This represents the shift parameter of shifted SABR model.
  The shift is set to be zero if this field is not specified.
- parameterCurveNodes
```
ImmutableList<E> parameterCurveNodes
```
  The nodes of SABR parameter curves.
  The size of the list must be 4, ordered as alpha, beta, rho and nu.
  If the number of nodes is greater than 1, the curve will be created with CurveInterpolator and CurveExtrapolator specified below. Otherwise, ConstantNodalCurve will be created.
- initialParameters
```
DoubleArray initialParameters
```
  The initial parameter values used in calibration.
  Default values will be used if not specified. The size of this field must be 4, ordered as alpha, beta, rho and nu.
- interpolator
```
CurveInterpolator interpolator
```
  The interpolator for the SABR parameters.
- extrapolatorLeft
```
CurveExtrapolator extrapolatorLeft
```
  The left extrapolator for the SABR parameters.
  The flat extrapolation is used if not specified.
- extrapolatorRight
```
CurveExtrapolator extrapolatorRight
```
  The right extrapolator for the SABR parameters.
  The flat extrapolation is used if not specified.
- sabrVolatilityFormula
```
SabrVolatilityFormula sabrVolatilityFormula
```
  The SABR formula.

Class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities extends Object implements Serializable

serialVersionUID:: 1L

Serialized Fields
- name
```
IborCapletFloorletVolatilitiesName name
```
  The name.
- index
```
IborIndex index
```
  The Ibor index.
  The data must valid in terms of this Ibor index.
- valuationDateTime
```
ZonedDateTime valuationDateTime
```
  The valuation date-time.
  The volatilities are calibrated for this date-time.
- parameters
```
SabrParameters parameters
```
  The SABR model parameters.
  Each model parameter of SABR model is a curve. The x-value of the curve is the expiry, as a year fraction.
- dataSensitivityAlpha
```
ImmutableList<E> dataSensitivityAlpha
```
  The sensitivity of the Alpha parameters to the raw data used for calibration.
  The order of the sensitivities have to be coherent with the curve parameter metadata.
- dataSensitivityBeta
```
ImmutableList<E> dataSensitivityBeta
```
  The sensitivity of the Beta parameters to the raw data used for calibration.
  The order of the sensitivities have to be coherent with the curve parameter metadata.
- dataSensitivityRho
```
ImmutableList<E> dataSensitivityRho
```
  The sensitivity of the Rho parameters to the raw data used for calibration.
  The order of the sensitivities have to be coherent with the curve parameter metadata.
- dataSensitivityNu
```
ImmutableList<E> dataSensitivityNu
```
  The sensitivity of the Nu parameters to the raw data used for calibration.
  The order of the sensitivities have to be coherent with the curve parameter metadata.

Class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities extends Object implements Serializable

serialVersionUID:: 1L

Serialization Methods
- readResolve
```
private Object readResolve()
```
Serialized Fields
- index
```
IborIndex index
```
  The Ibor index.
  The data must valid in terms of this Ibor index.
- valuationDateTime
```
ZonedDateTime valuationDateTime
```
  The valuation date-time.
  The volatilities are calibrated for this date-time.
- surface
```
Surface surface
```
  The Black volatility surface.
  The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the strike.
- shiftCurve
```
Curve shiftCurve
```
  The shift parameter of shifted Black model.
  The x value of the curve is the expiry. Use BlackIborCapletFloorletExpiryStrikeVolatilities for zero shift.

Class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition extends Object implements Serializable

serialVersionUID:: 1L

Serialized Fields
- name
```
IborCapletFloorletVolatilitiesName name
```
  The name of the volatilities.
- index
```
IborIndex index
```
  The Ibor index.
- dayCount
```
DayCount dayCount
```
  The day count to measure the time in the expiry dimension.
- interpolator
```
GridSurfaceInterpolator interpolator
```
  The interpolator for the caplet volatilities.
- shiftCurve
```
Curve shiftCurve
```
  The shift parameter of shifted Black model.
  The market volatilities are calibrated to shifted Black model if this field is not null.

Package com.opengamma.strata.pricer.common

Class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - period
```
Period period
```
    The period of the surface node.
    This is the period to expiry that the node on the surface is defined as. There is not necessarily a direct relationship with a date from an underlying instrument.
  - strike
```
Strike strike
```
    The strike of the surface node.
    This is the strike that the node on the surface is defined as.
  - label
```
String label
```
    The label that describes the node.
Class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - yearFraction
```
double yearFraction
```
    The year fraction of the surface node.
    This is the time to expiry that the node on the surface is defined as. There is not necessarily a direct relationship with a date from an underlying instrument.
  - yearFractionTenor
```
Tenor yearFractionTenor
```
    The tenor associated with the year fraction.
  - strike
```
Strike strike
```
    The strike of the surface node.
    This is the strike that the node on the surface is defined as.
  - label
```
String label
```
    The label that describes the node.

Package com.opengamma.strata.pricer.credit

Class com.opengamma.strata.pricer.credit.ConstantRecoveryRates extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - legalEntityId
```
StandardId legalEntityId
```
    The legal entity identifier.
    This identifier is used for the reference legal entity of a credit derivative.
  - valuationDate
```
LocalDate valuationDate
```
    The valuation date.
  - recoveryRate
```
double recoveryRate
```
    The recovery rate.
    The recovery rate is represented in decimal form, and must be between 0 and 1 inclusive.
Class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - legalEntityId
```
StandardId legalEntityId
```
    The legal entity identifier.
    This identifier is used for the reference legal entity of a credit derivative.
  - zeroRateSensitivity
```
ZeroRateSensitivity zeroRateSensitivity
```
    The zero rate sensitivity.
    This stores curve currency, year fraction, sensitivity currency and sensitivity value.
Class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - valuationDate
```
LocalDate valuationDate
```
    The valuation date.
    All curves and other data items in this provider are calibrated for this date.
  - creditCurves
```
ImmutableMap<K,V> creditCurves
```
    The credit curves.
    The curve data, predicting the survival probability, associated with each legal entity and currency.
  - discountCurves
```
ImmutableMap<K,V> discountCurves
```
    The discounting curves.
    The curve data, predicting the discount factor, associated with each currency.
  - recoveryRateCurves
```
ImmutableMap<K,V> recoveryRateCurves
```
    The credit rate curves.
    The curve date, predicting the recovery rate, associated with each legal entity.
Class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currency
```
Currency currency
```
    The currency that the discount factors are for.
  - valuationDate
```
LocalDate valuationDate
```
    The valuation date.
  - curve
```
NodalCurve curve
```
    The underlying curve.
    The metadata of the curve must define a day count.
  - dayCount
```
DayCount dayCount
```
    The day count convention of the curve.
Class com.opengamma.strata.pricer.credit.JumpToDefault extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currency
```
Currency currency
```
    The currency of the amounts.
  - amounts
```
ImmutableMap<K,V> amounts
```
    The amounts, identified by legal entity ID.
Class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - legalEntityId
```
StandardId legalEntityId
```
    The legal entity identifier.
    This identifier is used for the reference legal entity of a credit derivative.
  - survivalProbabilities
```
CreditDiscountFactors survivalProbabilities
```
    The underlying curve.
    The metadata of the curve must define a day count.
Class com.opengamma.strata.pricer.credit.NodalRecoveryRates extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - legalEntityId
```
StandardId legalEntityId
```
    The legal entity identifier.
    This identifier is used for the reference legal entity of a credit derivative.
  - valuationDate
```
LocalDate valuationDate
```
    The valuation date.
  - curve
```
NodalCurve curve
```
    The underlying curve.
    The metadata of the curve must define a day count.

Package com.opengamma.strata.pricer.fx

Class com.opengamma.strata.pricer.fx.DiscountFxForwardRates extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - currencyPair
```
CurrencyPair currencyPair
```
    The currency pair that the rates are for.
  - fxRateProvider
```
FxRateProvider fxRateProvider
```
    The provider of FX rates.
  - baseCurrencyDiscountFactors
```
DiscountFactors baseCurrencyDiscountFactors
```
    The discount factors for the base currency of the currency pair.
  - counterCurrencyDiscountFactors
```
DiscountFactors counterCurrencyDiscountFactors
```
    The discount factors for the counter currency of the currency pair.
Class com.opengamma.strata.pricer.fx.ForwardFxIndexRates extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - index
```
FxIndex index
```
    The index that the rates are for.
  - fxForwardRates
```
FxForwardRates fxForwardRates
```
    The underlying FX forward rates.
  - fixings
```
LocalDateDoubleTimeSeries fixings
```
    The time-series of fixings, defaulted to an empty time-series. This includes the known historical fixings and may be empty.
Class com.opengamma.strata.pricer.fx.FxForwardSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currencyPair
```
CurrencyPair currencyPair
```
    The currency pair for which the sensitivity is computed.
  - referenceCurrency
```
Currency referenceCurrency
```
    The reference currency.
    This is the base currency of the FX conversion that occurs using the currency pair. The reference currency must be one of the two currencies of the currency pair.
  - referenceDate
```
LocalDate referenceDate
```
    The date to query the rate for.
  - currency
```
Currency currency
```
    The currency of the sensitivity.
  - sensitivity
```
double sensitivity
```
    The value of the sensitivity. This is the amount that is converted from the base currency to the counter currency.
Class com.opengamma.strata.pricer.fx.FxIndexSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - observation
```
FxIndexObservation observation
```
    The FX rate observation.
    This includes the index and fixing date.
  - referenceCurrency
```
Currency referenceCurrency
```
    The reference currency.
    This is the base currency of the FX conversion that occurs using the index. The reference currency must be one of the two currencies of the index.
  - currency
```
Currency currency
```
    The currency of the sensitivity.
  - sensitivity
```
double sensitivity
```
    The value of the sensitivity.

Package com.opengamma.strata.pricer.fxopt

Class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - currencyPair
```
CurrencyPair currencyPair
```
    The currency pair that the volatilities are for.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time. All data items in this provider is calibrated for this date-time.
  - curve
```
Curve curve
```
    The Black volatility curve.
    The x-values represent the expiry year-fraction. The metadata of the curve must define a day count.
Class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - name
```
FxOptionVolatilitiesName name
```
    The name of the volatilities.
  - currencyPair
```
CurrencyPair currencyPair
```
    The currency pair that the volatilities are for.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time. All data items in this provider is calibrated for this date-time.
  - smile
```
SmileDeltaTermStructure smile
```
    The volatility model.
    This represents expiry dependent smile which consists of ATM, risk reversal and strangle as used in FX market.
Class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - name
```
FxOptionVolatilitiesName name
```
    The name of the volatilities.
  - currencyPair
```
CurrencyPair currencyPair
```
    The currency pair that the volatilities are for.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time. All data items in this provider is calibrated for this date-time.
  - surface
```
Surface surface
```
    The Black volatility surface.
    The x-values represent the expiry year-fraction. The y-values represent the strike. The metadata of the surface must define a day count.
Class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - volatilitiesName
```
FxOptionVolatilitiesName volatilitiesName
```
    The name of the volatilities.
  - currencyPair
```
CurrencyPair currencyPair
```
    The currency pair for which the sensitivity is presented.
  - expiry
```
double expiry
```
    The time to expiry of the option as a year fraction.
  - strike
```
double strike
```
    The strike rate.
  - forward
```
double forward
```
    The forward rate.
  - currency
```
Currency currency
```
    The currency of the sensitivity.
  - sensitivity
```
double sensitivity
```
    The value of the sensitivity.
Class com.opengamma.strata.pricer.fxopt.FxOptionVolatilitiesId extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - name
```
FxOptionVolatilitiesName name
```
    The name of the volatilities.
Class com.opengamma.strata.pricer.fxopt.FxOptionVolatilitiesName extends MarketDataName<FxOptionVolatilities> implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - name
```
String name
```
    The name.
Class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - yearFraction
```
double yearFraction
```
    The year fraction of the surface node.
    This is the time to expiry that the node on the surface is defined as. There is not necessarily a direct relationship with a date from an underlying instrument.
  - yearFractionTenor
```
Tenor yearFractionTenor
```
    The tenor associated with the year fraction.
  - strike
```
Strike strike
```
    The strike of the surface node.
    This is the strike that the node on the surface is defined as.
  - currencyPair
```
CurrencyPair currencyPair
```
    The currency pair that describes the node.
  - label
```
String label
```
    The label that describes the node.
Class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - volatilityTerm
```
ImmutableList<E> volatilityTerm
```
    The smile description at the different time to expiry. All item should have the same deltas.
  - dayCount
```
DayCount dayCount
```
    The day count convention used for the expiry.
  - timeInterpolator
```
CurveInterpolator timeInterpolator
```
    The interpolator used in the time dimension.
  - timeExtrapolatorLeft
```
CurveExtrapolator timeExtrapolatorLeft
```
    The left extrapolator used in the time dimension.
  - timeExtrapolatorRight
```
CurveExtrapolator timeExtrapolatorRight
```
    The right extrapolator used in the time dimension.
  - strikeInterpolator
```
CurveInterpolator strikeInterpolator
```
    The interpolator used in the strike dimension.
  - strikeExtrapolatorLeft
```
CurveExtrapolator strikeExtrapolatorLeft
```
    The left extrapolator used in the strike dimension.
  - strikeExtrapolatorRight
```
CurveExtrapolator strikeExtrapolatorRight
```
    The right extrapolator used in the strike dimension.
Class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - stateValue
```
DoubleMatrix stateValue
```
    The state value.
    The (i,j) component of this matrix represents the underlying asset price at the j-th lowest node at the i-th time layer.
  - transitionProbability
```
ImmutableList<E> transitionProbability
```
    The transition probability.
    The i-th element of the list represents the transition probability values for the nodes at the i-th time layer. The matrix is (2*i+1) times 3, and its j-th row involves [0] down probability, [1] middle probability and [2] up probability for the j-th lowest node.
  - discountFactor
```
DoubleArray discountFactor
```
    The discount factor.
    The i-th element is the discount factor between the i-th layer and the (i+1)-th layer.
  - time
```
DoubleArray time
```
    The time.
    The i-th element is the year fraction between the 0-th time layer and the i-th layer.
Class com.opengamma.strata.pricer.fxopt.SmileAndBucketedSensitivities extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - smile
```
SmileDeltaParameters smile
```
    The smile.
  - sensitivities
```
DoubleMatrix sensitivities
```
    The sensitivities.
Class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - expiry
```
double expiry
```
    The time to expiry associated with the data.
  - delta
```
DoubleArray delta
```
    The delta of the different data points. Must be positive and sorted in ascending order. The put will have as delta the opposite of the numbers. The array is typically [0.1, 0.25]. The at-the-money value of 0.5 is not included.
  - volatility
```
DoubleArray volatility
```
    The volatilities associated with the strikes. This will be of size (delta.size() * 2) + 1 with the put with lower delta (in absolute value) first, at-the-money and call with larger delta first.
  - parameterMetadata
```
ImmutableList<E> parameterMetadata
```
    The associated metadata. This will be of size (delta.size() * 2) + 1 with the put with lower delta (in absolute value) first, at-the-money and call with larger delta first.
Class com.opengamma.strata.pricer.fxopt.VolatilityAndBucketedSensitivities extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - volatility
```
double volatility
```
    The volatility.
  - sensitivities
```
DoubleMatrix sensitivities
```
    The sensitivities.

Package com.opengamma.strata.pricer.impl.rate.model

Class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel extends Object implements Serializable

serialVersionUID:

1L

Package com.opengamma.strata.pricer.impl.tree

Class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction extends com.opengamma.strata.pricer.impl.tree.SingleBarrierKnockoutFunction implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - strike
```
double strike
```
    The strike value.
  - timeToExpiry
```
double timeToExpiry
```
    The time to expiry.
  - sign
```
double sign
```
    The sign.
    The sign is +1 for call and -1 for put.
  - numberOfSteps
```
int numberOfSteps
```
    The number of time steps.
  - barrierType
```
BarrierType barrierType
```
    The barrier type.
  - barrierLevel
```
double barrierLevel
```
    The constant barrier level.
  - rebate
```
DoubleArray rebate
```
    The rebate.
    The rebate amounts for individual time layer. The size must be equal to numberOfSteps + 1
Class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - strike
```
double strike
```
    The strike value.
  - timeToExpiry
```
double timeToExpiry
```
    The time to expiry.
  - sign
```
double sign
```
    The sign.
    The sign is +1 for call and -1 for put.
  - numberOfSteps
```
int numberOfSteps
```
    The number of time steps.

Package com.opengamma.strata.pricer.impl.volatility.smile

Class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - parameters
```
DoubleArray parameters
```
    The model parameters.
    This must be an array of length 4. The parameters in the array are in the order of alpha, beta, rho and nu. The constraints for the parameters are defined in SabrFormulaData.isAllowed(int, double).
Class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProvider extends VolatilityFunctionProvider<SabrFormulaData> implements Serializable

serialVersionUID:

1L
Class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - q
```
double q
```
    The mean reversion related parameter.
Class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - parameters
```
DoubleArray parameters
```
    The model parameters.
    This must be an array of length 3. The parameters in the array are in the order of sigma (ATM volatility), rho and eta. The constraints for the parameters are defined in SsviFormulaData.isAllowed(int, double).
Class com.opengamma.strata.pricer.impl.volatility.smile.SsviVolatilityFunction extends VolatilityFunctionProvider<SsviFormulaData> implements Serializable

serialVersionUID:

1L

Package com.opengamma.strata.pricer.index

Class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - volatilitiesName
```
IborFutureOptionVolatilitiesName volatilitiesName
```
    The name of the volatilities.
  - expiry
```
double expiry
```
    The time to expiry of the option as a year fraction.
  - fixingDate
```
LocalDate fixingDate
```
    The fixing date of the underlying future.
  - strikePrice
```
double strikePrice
```
    The option strike price.
  - futurePrice
```
double futurePrice
```
    The underlying future price.
  - currency
```
Currency currency
```
    The currency of the sensitivity.
  - sensitivity
```
double sensitivity
```
    The value of the sensitivity.
Class com.opengamma.strata.pricer.index.IborFutureOptionVolatilitiesId extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - name
```
IborFutureOptionVolatilitiesName name
```
    The name of the volatilities.
Class com.opengamma.strata.pricer.index.IborFutureOptionVolatilitiesName extends MarketDataName<IborFutureOptionVolatilities> implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - name
```
String name
```
    The name.
Class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - index
```
IborIndex index
```
    The index of the underlying future.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time.
    The volatilities are calibrated for this date-time.
  - surface
```
Surface surface
```
    The normal volatility surface.
    The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the simple moneyness.
Class com.opengamma.strata.pricer.index.NormalOvernightFutureOptionExpirySimpleMoneynessVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - index
```
OvernightIndex index
```
    The index of the underlying future.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time.
    The volatilities are calibrated for this date-time.
  - surface
```
Surface surface
```
    The normal volatility surface.
    The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the simple moneyness.
Class com.opengamma.strata.pricer.index.OvernightFutureOptionSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - volatilitiesName
```
OvernightFutureOptionVolatilitiesName volatilitiesName
```
    The name of the volatilities.
  - expiry
```
double expiry
```
    The time to expiry of the option as a year fraction.
  - fixingDate
```
LocalDate fixingDate
```
    The fixing date of the underlying future.
  - strikePrice
```
double strikePrice
```
    The option strike price.
  - futurePrice
```
double futurePrice
```
    The underlying future price.
  - currency
```
Currency currency
```
    The currency of the sensitivity.
  - sensitivity
```
double sensitivity
```
    The value of the sensitivity.
Class com.opengamma.strata.pricer.index.OvernightFutureOptionVolatilitiesId extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - name
```
OvernightFutureOptionVolatilitiesName name
```
    The name of the volatilities.
Class com.opengamma.strata.pricer.index.OvernightFutureOptionVolatilitiesName extends MarketDataName<OvernightFutureOptionVolatilities> implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - name
```
String name
```
    The name.

Package com.opengamma.strata.pricer.model

Class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParameters extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - meanReversion
```
double meanReversion
```
    The mean reversion speed parameter.
  - volatility
```
DoubleArray volatility
```
    The volatility parameters.
    The volatility is constant between the volatility times, i.e., volatility value at t is volatility.get(i) for any t between volatilityTime.get(i) and volatilityTime.get(i+1).
  - volatilityTime
```
DoubleArray volatilityTime
```
    The times separating the constant volatility periods.
    The time should be sorted by increasing order. The first time is 0 and the last time is 1000 (represents infinity). These extra times are added in HullWhiteOneFactorPiecewiseConstantParameters.of(double, DoubleArray, DoubleArray).
Class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - parameters
```
HullWhiteOneFactorPiecewiseConstantParameters parameters
```
    The Hull-White model parameters.
  - dayCount
```
DayCount dayCount
```
    The day count applicable to the model.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date.
    The volatilities are calibrated for this date-time.
Class com.opengamma.strata.pricer.model.SabrInterestRateParameters extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - alphaSurface
```
Surface alphaSurface
```
    The alpha (volatility level) surface.
    The first dimension is the expiry and the second the tenor.
  - betaSurface
```
Surface betaSurface
```
    The beta (elasticity) surface.
    The first dimension is the expiry and the second the tenor.
  - rhoSurface
```
Surface rhoSurface
```
    The rho (correlation) surface.
    The first dimension is the expiry and the second the tenor.
  - nuSurface
```
Surface nuSurface
```
    The nu (volatility of volatility) surface.
    The first dimension is the expiry and the second the tenor.
  - shiftSurface
```
Surface shiftSurface
```
    The shift parameter of shifted SABR model.
    The first dimension is the expiry and the second the tenor. The shift is set to be 0 unless specified.
  - sabrVolatilityFormula
```
SabrVolatilityFormula sabrVolatilityFormula
```
    The SABR volatility formula.
Class com.opengamma.strata.pricer.model.SabrParameters extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - alphaCurve
```
Curve alphaCurve
```
    The alpha (volatility level) curve.
    The x value of the curve is the expiry.
  - betaCurve
```
Curve betaCurve
```
    The beta (elasticity) curve.
    The x value of the curve is the expiry.
  - rhoCurve
```
Curve rhoCurve
```
    The rho (correlation) curve.
    The x value of the curve is the expiry.
  - nuCurve
```
Curve nuCurve
```
    The nu (volatility of volatility) curve.
    The x value of the curve is the expiry.
  - shiftCurve
```
Curve shiftCurve
```
    The shift parameter of shifted SABR model.
    The x value of the curve is the expiry. The shift is set to be 0 unless specified.
  - sabrVolatilityFormula
```
SabrVolatilityFormula sabrVolatilityFormula
```
    The SABR volatility formula.

Package com.opengamma.strata.pricer.option

Class com.opengamma.strata.pricer.option.RawOptionData extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - expiries
```
ImmutableList<E> expiries
```
    The expiry values.
  - strikes
```
DoubleArray strikes
```
    The strike values. Can be directly strike or moneyness (simple or log)
  - strikeType
```
ValueType strikeType
```
    The value type of the strike-like dimension.
  - data
```
DoubleMatrix data
```
    The data. The values can be model parameters (like Black or normal volatilities) or direct option prices. The first (outer) dimension is the expiry, the second dimension is the strike. A 'NaN' value indicates that the data is not available.
  - error
```
DoubleMatrix error
```
    The measurement error of the option data.
    These will be used if the option data is calibrated by a least square method. data and error must have the same number of elements.
  - dataType
```
ValueType dataType
```
    The type of the raw data.
  - shift
```
Double shift
```
    The shift for which the raw data is valid. Used only if the dataType is 'BlackVolatility'.
Class com.opengamma.strata.pricer.option.TenorRawOptionData extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - data
```
ImmutableSortedMap<K,V> data
```
    The map of tenor to option data.

Package com.opengamma.strata.pricer.rate

Class com.opengamma.strata.pricer.rate.DiscountIborIndexRates extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - index
```
IborIndex index
```
    The index that the rates are for.
  - discountFactors
```
DiscountFactors discountFactors
```
    The underlying discount factor curve.
  - fixings
```
LocalDateDoubleTimeSeries fixings
```
    The time-series of fixings, defaulted to an empty time-series. This includes the known historical fixings and may be empty.
Class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - index
```
OvernightIndex index
```
    The index that the rates are for.
  - discountFactors
```
DiscountFactors discountFactors
```
    The underlying discount factor curve.
  - fixings
```
LocalDateDoubleTimeSeries fixings
```
    The time-series of fixings, defaulted to an empty time-series. This includes the known historical fixings and may be empty.
Class com.opengamma.strata.pricer.rate.HistoricIborIndexRates extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - index
```
IborIndex index
```
    The index that the rates are for.
  - valuationDate
```
LocalDate valuationDate
```
    The valuation date.
  - fixings
```
LocalDateDoubleTimeSeries fixings
```
    The time-series of fixings, defaulted to an empty time-series. This includes the known historical fixings and may be empty.
Class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - index
```
OvernightIndex index
```
    The index that the rates are for.
  - valuationDate
```
LocalDate valuationDate
```
    The valuation date.
  - fixings
```
LocalDateDoubleTimeSeries fixings
```
    The time-series of fixings, defaulted to an empty time-series. This includes the known historical fixings and may be empty.
Class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - index
```
PriceIndex index
```
    The index that the values are for.
  - valuationDate
```
LocalDate valuationDate
```
    The valuation date.
  - fixings
```
LocalDateDoubleTimeSeries fixings
```
    The monthly time-series of fixings. This includes the known historical fixings and must not be empty.
    Only one value is stored per month. The value is stored in the time-series on the last date of each month (which may be a non-working day).
Class com.opengamma.strata.pricer.rate.IborRateSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - observation
```
IborIndexObservation observation
```
    The Ibor index observation.
    This includes the index and fixing date.
  - currency
```
Currency currency
```
    The currency of the sensitivity.
  - sensitivity
```
double sensitivity
```
    The value of the sensitivity.
Class com.opengamma.strata.pricer.rate.ImmutableRatesProvider extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - valuationDate
```
LocalDate valuationDate
```
    The valuation date. All curves and other data items in this provider are calibrated for this date.
  - fxRateProvider
```
FxRateProvider fxRateProvider
```
    The provider of foreign exchange rates. Conversions where both currencies are the same always succeed.
  - discountCurves
```
ImmutableMap<K,V> discountCurves
```
    The discount curves, defaulted to an empty map. The curve data, predicting the future, associated with each currency.
  - indexCurves
```
ImmutableMap<K,V> indexCurves
```
    The forward curves, defaulted to an empty map. The curve data, predicting the future, associated with each index. This is used for Ibor, Overnight and Price indices.
  - timeSeries
```
ImmutableMap<K,V> timeSeries
```
    The time-series, defaulted to an empty map. The historic data associated with each index.
Class com.opengamma.strata.pricer.rate.InflationRateSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - observation
```
PriceIndexObservation observation
```
    The Price index observation.
    This includes the index and fixing month.
  - currency
```
Currency currency
```
    The currency of the sensitivity.
  - sensitivity
```
double sensitivity
```
    The value of the sensitivity.
Class com.opengamma.strata.pricer.rate.OvernightRateSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - observation
```
OvernightIndexObservation observation
```
    The Overnight rate observation.
    This includes the index and fixing date.
  - endDate
```
LocalDate endDate
```
    The end date of the period. This must be after the fixing date. It may be the maturity date implied by the fixing date, but it may also be later.
  - currency
```
Currency currency
```
    The currency of the sensitivity.
  - sensitivity
```
double sensitivity
```
    The value of the sensitivity.
Class com.opengamma.strata.pricer.rate.SimpleIborIndexRates extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - index
```
IborIndex index
```
    The index that the rates are for.
  - valuationDate
```
LocalDate valuationDate
```
    The valuation date.
  - curve
```
Curve curve
```
    The underlying forward curve.
  - fixings
```
LocalDateDoubleTimeSeries fixings
```
    The time-series of fixings, defaulted to an empty time-series. This includes the known historical fixings and may be empty.
Class com.opengamma.strata.pricer.rate.SimplePriceIndexValues extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - index
```
PriceIndex index
```
    The index that the values are for.
  - valuationDate
```
LocalDate valuationDate
```
    The valuation date.
  - curve
```
Curve curve
```
    The underlying curve. Each x-value on the curve is the number of months between the valuation month and the estimation month. For example, zero represents the valuation month, one the next month and so on.
  - fixings
```
LocalDateDoubleTimeSeries fixings
```
    The monthly time-series of fixings. This includes the known historical fixings and must not be empty.
    Only one value is stored per month. The value is stored in the time-series on the last date of each month (which may be a non-working day).

Package com.opengamma.strata.pricer.swaption

Class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - convention
```
FixedFloatSwapConvention convention
```
    The swap convention that the volatilities are to be used for.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time.
    The volatilities are calibrated for this date-time.
  - surface
```
Surface surface
```
    The Black volatility surface.
    The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the swap tenor, as a year fraction rounded to the month.
Class com.opengamma.strata.pricer.swaption.NormalSabrParametersSwaptionVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - name
```
SwaptionVolatilitiesName name
```
    The name.
  - convention
```
FixedFloatSwapConvention convention
```
    The swap convention that the volatilities are to be used for.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time.
    The volatilities are calibrated for this date-time.
  - parameters
```
SabrInterestRateParameters parameters
```
    The SABR model parameters.
    Each model parameter of SABR model is a surface. The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the swap tenor, as a year fraction rounded to the month.
  - dataSensitivityAlpha
```
ImmutableList<E> dataSensitivityAlpha
```
    The sensitivity of the Alpha parameters to the raw data used for calibration.
    The order of the sensitivities have to be coherent with the surface parameter metadata.
  - dataSensitivityBeta
```
ImmutableList<E> dataSensitivityBeta
```
    The sensitivity of the Beta parameters to the raw data used for calibration.
    The order of the sensitivities have to be coherent with the surface parameter metadata.
  - dataSensitivityRho
```
ImmutableList<E> dataSensitivityRho
```
    The sensitivity of the Rho parameters to the raw data used for calibration.
    The order of the sensitivities have to be coherent with the surface parameter metadata.
  - dataSensitivityNu
```
ImmutableList<E> dataSensitivityNu
```
    The sensitivity of the Nu parameters to the raw data used for calibration.
    The order of the sensitivities have to be coherent with the surface parameter metadata.
Class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - convention
```
FixedFloatSwapConvention convention
```
    The swap convention that the volatilities are to be used for.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time.
    The volatilities are calibrated for this date-time.
  - surface
```
Surface surface
```
    The normal volatility surface.
    The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the simple moneyness, i.e. strike - forward, as a rate.
Class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - convention
```
FixedFloatSwapConvention convention
```
    The swap convention that the volatilities are to be used for.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time.
    The volatilities are calibrated for this date-time.
  - surface
```
Surface surface
```
    The normal volatility surface.
    The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the strike, as a rate.
Class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - convention
```
FixedFloatSwapConvention convention
```
    The swap convention that the volatilities are to be used for.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time.
    The volatilities are calibrated for this date-time.
  - surface
```
Surface surface
```
    The normal volatility surface.
    The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the swap tenor, as a year fraction rounded to the month.
Class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - name
```
SwaptionVolatilitiesName name
```
    The name.
  - convention
```
FixedFloatSwapConvention convention
```
    The swap convention that the volatilities are to be used for.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time.
    The volatilities are calibrated for this date-time.
  - parameters
```
SabrInterestRateParameters parameters
```
    The SABR model parameters.
    Each model parameter of SABR model is a surface. The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the swap tenor, as a year fraction rounded to the month.
  - dataSensitivityAlpha
```
ImmutableList<E> dataSensitivityAlpha
```
    The sensitivity of the Alpha parameters to the raw data used for calibration.
    The order of the sensitivities have to be coherent with the surface parameter metadata.
  - dataSensitivityBeta
```
ImmutableList<E> dataSensitivityBeta
```
    The sensitivity of the Beta parameters to the raw data used for calibration.
    The order of the sensitivities have to be coherent with the surface parameter metadata.
  - dataSensitivityRho
```
ImmutableList<E> dataSensitivityRho
```
    The sensitivity of the Rho parameters to the raw data used for calibration.
    The order of the sensitivities have to be coherent with the surface parameter metadata.
  - dataSensitivityNu
```
ImmutableList<E> dataSensitivityNu
```
    The sensitivity of the Nu parameters to the raw data used for calibration.
    The order of the sensitivities have to be coherent with the surface parameter metadata.
Class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - name
```
SwaptionVolatilitiesName name
```
    The name of the volatilities.
  - convention
```
FixedFloatSwapConvention convention
```
    The swap convention that the volatilities are to be used for.
  - dayCount
```
DayCount dayCount
```
    The day count to use.
  - interpolator
```
SurfaceInterpolator interpolator
```
    The interpolator for the alpha, rho and nu surfaces.
Class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - volatilitiesName
```
SwaptionVolatilitiesName volatilitiesName
```
    The name of the volatilities.
  - expiry
```
double expiry
```
    The time to expiry of the option as a year fraction.
  - tenor
```
double tenor
```
    The underlying swap tenor.
  - sensitivityType
```
SabrParameterType sensitivityType
```
    The type of the sensitivity.
  - currency
```
Currency currency
```
    The currency of the sensitivity.
  - sensitivity
```
double sensitivity
```
    The value of the sensitivity.
Class com.opengamma.strata.pricer.swaption.SwaptionSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - volatilitiesName
```
SwaptionVolatilitiesName volatilitiesName
```
    The name of the volatilities.
  - expiry
```
double expiry
```
    The time to expiry of the option as a year fraction.
  - tenor
```
double tenor
```
    The underlying swap tenor.
  - strike
```
double strike
```
    The swaption strike rate.
  - forward
```
double forward
```
    The underlying swap forward rate.
  - currency
```
Currency currency
```
    The currency of the sensitivity.
  - sensitivity
```
double sensitivity
```
    The value of the sensitivity.
Class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - yearFraction
```
double yearFraction
```
    The year fraction of the surface node.
    This is the time to expiry that the node on the surface is defined as. There is not necessarily a direct relationship with a date from an underlying instrument.
  - simpleMoneyness
```
double simpleMoneyness
```
    The simple moneyness of the surface node.
    This is defined as strike - forward.
  - label
```
String label
```
    The label that describes the node.
Class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - yearFraction
```
double yearFraction
```
    The year fraction of the surface node.
    This is the time to expiry that the node on the surface is defined as. There is not necessarily a direct relationship with a date from an underlying instrument.
  - strike
```
double strike
```
    The strike of the surface node.
  - label
```
String label
```
    The label that describes the node.
Class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - yearFraction
```
double yearFraction
```
    The year fraction of the surface node.
    This is the time to expiry that the node on the surface is defined as. There is not necessarily a direct relationship with a date from an underlying instrument.
  - tenor
```
double tenor
```
    The tenor of the surface node.
    This is the tenor of the underlying swap that the node on the surface is defined as.
  - label
```
String label
```
    The label that describes the node.
Class com.opengamma.strata.pricer.swaption.SwaptionVolatilitiesId extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - name
```
SwaptionVolatilitiesName name
```
    The name of the volatilities.
Class com.opengamma.strata.pricer.swaption.SwaptionVolatilitiesName extends MarketDataName<SwaptionVolatilities> implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - name
```
String name
```
    The name.

Serialized Form

Package com.opengamma.strata.pricer

Class com.opengamma.strata.pricer.PricingException extends RuntimeException implements Serializable

Class com.opengamma.strata.pricer.SimpleDiscountFactors extends Object implements Serializable

Serialization Methods

readResolve

Serialized Fields

currency

valuationDate

curve

Class com.opengamma.strata.pricer.ZeroRateDiscountFactors extends Object implements Serializable

Serialization Methods

readResolve

Serialized Fields

currency

valuationDate

curve

Class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors extends Object implements Serializable

Serialization Methods

readResolve

Serialized Fields

currency

valuationDate

curve

Class com.opengamma.strata.pricer.ZeroRateSensitivity extends Object implements Serializable

Serialized Fields

curveCurrency

yearFraction

currency

sensitivity

Package com.opengamma.strata.pricer.bond

Class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities extends Object implements Serializable

Serialization Methods

readResolve

Serialized Fields

valuationDateTime

surface

Class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity extends Object implements Serializable

Serialized Fields

volatilitiesName

expiry

futureExpiryDate

strikePrice

futurePrice

currency

sensitivity

Class com.opengamma.strata.pricer.bond.BondFutureVolatilitiesId extends Object implements Serializable

Serialized Fields

name

Class com.opengamma.strata.pricer.bond.BondFutureVolatilitiesName extends MarketDataName<BondFutureVolatilities> implements Serializable

Serialized Fields

name

Class com.opengamma.strata.pricer.bond.BondVolatilitiesName extends MarketDataName<BondYieldVolatilities> implements Serializable

Serialized Fields

name

Class com.opengamma.strata.pricer.bond.BondYieldSensitivity extends Object implements Serializable

Serialized Fields

volatilitiesName

expiry

duration

strike

forward

currency

sensitivity

Class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider extends Object implements Serializable

Serialized Fields

valuationDate

repoCurveSecurityGroups

repoCurveGroups

repoCurves

issuerCurveGroups

issuerCurves

Class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors extends Object implements Serializable

Serialized Fields

discountFactors

legalEntityGroup

Class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity extends Object implements Serializable

Serialized Fields

curveCurrency

yearFraction