Package | Description |
---|---|
com.opengamma.strata.pricer.capfloor |
Calculators for Ibor cap-floor.
|
com.opengamma.strata.pricer.impl.rate.model |
Internal implementations of analytic models.
|
com.opengamma.strata.pricer.impl.volatility.smile |
Internal implementations of volatility smile.
|
com.opengamma.strata.pricer.index |
Calculators for products based on rate indices, such as Short Term Interest Rate futures (STIRs).
|
com.opengamma.strata.pricer.model |
Common code for model pricing.
|
com.opengamma.strata.pricer.swaption |
Calculators for swaptions.
|
Class and Description |
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SabrParameters
The volatility surface description under SABR model.
|
SabrVolatilityFormula
Provides volatility and sensitivity in the SABR model.
|
Class and Description |
---|
HullWhiteOneFactorPiecewiseConstantParameters
Data bundle related to the Hull-White one factor (extended Vasicek) model with piecewise constant volatility.
|
Class and Description |
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SabrVolatilityFormula
Provides volatility and sensitivity in the SABR model.
|
Class and Description |
---|
HullWhiteOneFactorPiecewiseConstantParametersProvider
Hull-White one factor model with piecewise constant volatility.
|
Class and Description |
---|
HullWhiteOneFactorPiecewiseConstantParameters
Data bundle related to the Hull-White one factor (extended Vasicek) model with piecewise constant volatility.
|
HullWhiteOneFactorPiecewiseConstantParametersProvider
Hull-White one factor model with piecewise constant volatility.
|
HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta
The meta-bean for
HullWhiteOneFactorPiecewiseConstantParametersProvider . |
SabrInterestRateParameters
The volatility surface description under SABR model.
|
SabrParameters
The volatility surface description under SABR model.
|
SabrVolatilityFormula
Provides volatility and sensitivity in the SABR model.
|
Class and Description |
---|
HullWhiteOneFactorPiecewiseConstantParametersProvider
Hull-White one factor model with piecewise constant volatility.
|
SabrInterestRateParameters
The volatility surface description under SABR model.
|
SabrVolatilityFormula
Provides volatility and sensitivity in the SABR model.
|
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.