Package | Description |
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com.opengamma.strata.pricer.rate |
Calculators for rates instruments, such as Forward Rate Agreement (FRA) and interest rate swap.
|
Modifier and Type | Class and Description |
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class |
DiscountOvernightIndexRates
An Overnight index curve providing rates from discount factors.
|
class |
HistoricOvernightIndexRates
Historic Overnight index rates, used for indices that are no longer active.
|
Modifier and Type | Method and Description |
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static OvernightIndexRates |
OvernightIndexRates.of(OvernightIndex index,
LocalDate valuationDate,
Curve forwardCurve)
Obtains an instance from a forward curve, with an empty time-series of fixings.
|
static OvernightIndexRates |
OvernightIndexRates.of(OvernightIndex index,
LocalDate valuationDate,
Curve forwardCurve,
LocalDateDoubleTimeSeries fixings)
Obtains an instance from a curve and time-series of fixings.
|
OvernightIndexRates |
RatesProvider.overnightIndexRates(OvernightIndex index)
Gets the rates for an Overnight index.
|
OvernightIndexRates |
ImmutableRatesProvider.overnightIndexRates(OvernightIndex index) |
OvernightIndexRates |
OvernightIndexRates.withParameter(int parameterIndex,
double newValue) |
OvernightIndexRates |
OvernightIndexRates.withPerturbation(ParameterPerturbation perturbation) |
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.