Package | Description |
---|---|
com.opengamma.strata.pricer.curve |
Provides the ability to calibrate curves.
|
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.
|
Modifier and Type | Method and Description |
---|---|
ImmutableRatesProvider |
RatesCurveCalibrator.calibrate(List<RatesCurveGroupDefinition> allGroupDefns,
ImmutableRatesProvider knownData,
MarketData marketData,
ReferenceData refData)
Calibrates a list of curve groups, each containing one or more curves.
|
ImmutableRatesProvider |
RatesCurveCalibrator.calibrate(RatesCurveGroupDefinition curveGroupDefn,
MarketData marketData,
ReferenceData refData)
Calibrates a single curve group, containing one or more curves.
|
ImmutableRatesProvider |
SyntheticRatesCurveCalibrator.calibrate(RatesCurveGroupDefinition group,
RatesProvider inputProvider,
ReferenceData refData)
Calibrates synthetic curves from the configuration of the new curves and an existing rates provider.
|
default ImmutableRatesProvider |
RatesProviderGenerator.generate(DoubleArray parameters)
Generates a rates provider from a set of parameters.
|
default ImmutableRatesProvider |
RatesProviderGenerator.generate(DoubleArray parameters,
Map<CurveName,JacobianCalibrationMatrix> jacobians)
Generates a rates provider from a set of parameters and calibration information.
|
ImmutableRatesProvider |
RatesProviderGenerator.generate(DoubleArray parameters,
Map<CurveName,JacobianCalibrationMatrix> jacobians,
Map<CurveName,DoubleArray> sensitivitiesMarketQuote)
Generates a rates provider from a set of parameters and calibration information.
|
ImmutableRatesProvider |
ImmutableRatesProviderGenerator.generate(DoubleArray parameters,
Map<CurveName,JacobianCalibrationMatrix> jacobians,
Map<CurveName,DoubleArray> sensitivitiesMarketQuote) |
Modifier and Type | Method and Description |
---|---|
ImmutableRatesProvider |
RatesCurveCalibrator.calibrate(List<RatesCurveGroupDefinition> allGroupDefns,
ImmutableRatesProvider knownData,
MarketData marketData,
ReferenceData refData)
Calibrates a list of curve groups, each containing one or more curves.
|
static ImmutableRatesProviderGenerator |
ImmutableRatesProviderGenerator.of(ImmutableRatesProvider knownProvider,
RatesCurveGroupDefinition groupDefn,
ReferenceData refData)
Obtains a generator from an existing provider and definition.
|
Modifier and Type | Method and Description |
---|---|
ImmutableRatesProvider |
ImmutableRatesProviderBuilder.build()
Completes the builder, returning the provider.
|
static ImmutableRatesProvider |
ImmutableRatesProvider.combined(FxRateProvider fx,
ImmutableRatesProvider... providers)
Combines a number of rates providers.
|
ImmutableRatesProvider |
ImmutableRatesProvider.combinedWith(ImmutableRatesProvider other,
FxRateProvider fxProvider)
Combines this provider with another.
|
ImmutableRatesProvider |
RatesProvider.toImmutableRatesProvider()
Converts this provider to an equivalent
ImmutableRatesProvider . |
ImmutableRatesProvider |
ImmutableRatesProvider.toImmutableRatesProvider() |
Modifier and Type | Method and Description |
---|---|
Class<? extends ImmutableRatesProvider> |
ImmutableRatesProvider.Meta.beanType() |
org.joda.beans.BeanBuilder<? extends ImmutableRatesProvider> |
ImmutableRatesProvider.Meta.builder() |
Modifier and Type | Method and Description |
---|---|
static ImmutableRatesProvider |
ImmutableRatesProvider.combined(FxRateProvider fx,
ImmutableRatesProvider... providers)
Combines a number of rates providers.
|
ImmutableRatesProvider |
ImmutableRatesProvider.combinedWith(ImmutableRatesProvider other,
FxRateProvider fxProvider)
Combines this provider with another.
|
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 |
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.
|
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.