Index (OpenGamma Strata Pricer API)

A B C D E F G H I J K L M N O P Q R S T U V W Y Z

A

AccrualOnDefaultFormula - Enum in com.opengamma.strata.pricer.credit: The formula for accrual on default.
accruedInterest(ResolvedFixedCouponBond, LocalDate) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the accrued interest of the fixed coupon bond with the specified settlement date.
accruedInterest(KnownAmountSwapPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingKnownAmountPaymentPeriodPricer
accruedInterest(RatePaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingRatePaymentPeriodPricer
accruedInterest(SwapPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentPeriodPricer
accruedInterest(ResolvedSwapLeg, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Calculates the accrued interest since the last payment.
accruedInterest(ResolvedSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Calculates the accrued interest since the last payment.
accruedInterest(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer: Calculates the accrued interest since the last payment.
accruedInterest(T, RatesProvider) - Method in interface com.opengamma.strata.pricer.swap.SwapPaymentPeriodPricer: Calculates the accrued interest since the last payment.
accruedYearFraction(ResolvedFixedCouponBond, LocalDate) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the accrued year fraction of the fixed coupon bond with the specified settlement date.
adjustedForwardRate(CmsPeriod, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsPeriodPricer: Computes the adjusted forward rate for a CMS coupon.
adjustedVolatility(double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityOvernightInArrearsCapletFloorletPeriodPricer: Volatility adjusted for the decrease of forward rate volatility in the composition period.
adjustmentToForwardRate(CmsPeriod, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsPeriodPricer: Computes the adjustment to the forward rate for a CMS coupon.
alpha(double) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
alpha(double) - Method in interface com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilities: Calculates the alpha parameter for a pair of time to expiry.
alpha(double) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
alpha(HullWhiteOneFactorPiecewiseConstantParameters, double, double, double, double) - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: Calculates the (zero-coupon) bond volatility divided by a bond numeraire, i.e., alpha, for a given period.
alpha(LocalDate, LocalDate, LocalDate, LocalDate) - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider: Calculates the alpha value for the specified period with respect to the maturity date.
alpha(double, double) - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters: Calculates the alpha parameter for a pair of time to expiry and instrument tenor.
alpha(double) - Method in class com.opengamma.strata.pricer.model.SabrParameters: Calculates the alpha parameter for time to expiry.
alpha(double, double) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
alpha(double, double) - Method in interface com.opengamma.strata.pricer.swaption.SabrSwaptionVolatilities: Calculates the alpha parameter for a pair of time to expiry and instrument tenor.
alphaAdjoint(HullWhiteOneFactorPiecewiseConstantParameters, double, double, double, double) - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: Calculates the (zero-coupon) bond volatility divided by a bond numeraire, i.e., alpha, for a given period and its derivatives.
alphaAdjoint(LocalDate, LocalDate, LocalDate, LocalDate) - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider: Calculates the alpha and its derivative values for the specified period with respect to the maturity date.
amounts(Map<IborCapletFloorletPeriod, Double>) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts.Builder: Sets the map of Ibor caplet/floorlet periods to the double amount.
amounts() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts.Meta: The meta-property for the amounts property.
amounts(Map<IborCapletFloorletPeriod, CurrencyAmount>) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts.Builder: Sets the map of Ibor caplet/floorlet periods to the currency amount.
amounts() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts.Meta: The meta-property for the amounts property.
amounts() - Method in class com.opengamma.strata.pricer.credit.JumpToDefault.Meta: The meta-property for the amounts property.
AnalyticSpreadSensitivityCalculator - Class in com.opengamma.strata.pricer.credit: Analytic spread sensitivity calculator.
AnalyticSpreadSensitivityCalculator(AccrualOnDefaultFormula) - Constructor for class com.opengamma.strata.pricer.credit.AnalyticSpreadSensitivityCalculator: Constructor with the accrual-on-default formula specified.
annuityCash(ResolvedSwapLeg, double) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Computes the conventional cash annuity from a swap leg.
annuityCash(int, int, double) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Computes the conventional cash annuity for a given yield.
annuityCash1(int, int, double) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Computes the conventional cash annuity for a given yield and its first derivative with respect to the yield.
annuityCash2(int, int, double) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Computes the conventional cash annuity for a given yield and its first two derivatives with respect to the yield.
annuityCash3(int, int, double) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Computes the conventional cash annuity for a given yield and its first three derivatives with respect to the yield.
annuityCashDerivative(ResolvedSwapLeg, double) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Computes the derivative of the conventional cash annuity with respect to the yield from a swap leg.
ApproxForwardOvernightAveragedRateComputationFn - Class in com.opengamma.strata.pricer.impl.rate: Rate computation implementation for a rate based on a single overnight index that is arithmetically averaged.
ApproxForwardOvernightAveragedRateComputationFn() - Constructor for class com.opengamma.strata.pricer.impl.rate.ApproxForwardOvernightAveragedRateComputationFn: Creates an instance.
ArbitrageHandling - Enum in com.opengamma.strata.pricer.credit: The formula for accrual on default.
availableSmileAtExpiry(Period) - Method in class com.opengamma.strata.pricer.option.RawOptionData: For a given expiration returns all the data available.

B

barrierLevel() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction.Meta: The meta-property for the barrierLevel property.
barrierType() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction.Meta: The meta-property for the barrierType property.
baseCurrencyDiscountFactors() - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates.Meta: The meta-property for the baseCurrencyDiscountFactors property.
BaseProvider - Interface in com.opengamma.strata.pricer: A provider of data used for pricing.
beanType() - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities.Meta
beanType() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity.Meta
beanType() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity.Meta
beanType() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Meta
beanType() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors.Meta
beanType() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity.Meta
beanType() - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities.Meta
beanType() - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors.Meta
beanType() - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity.Meta
beanType() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities.Meta
beanType() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities.Meta
beanType() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Meta
beanType() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Meta
beanType() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts.Meta
beanType() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts.Meta
beanType() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity.Meta
beanType() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity.Meta
beanType() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityCalibrationResult.Meta
beanType() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities.Meta
beanType() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities.Meta
beanType() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities.Meta
beanType() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta
beanType() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta
beanType() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Meta
beanType() - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta
beanType() - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta
beanType() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata.Meta
beanType() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata.Meta
beanType() - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates.Meta
beanType() - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity.Meta
beanType() - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider.Meta
beanType() - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors.Meta
beanType() - Method in class com.opengamma.strata.pricer.credit.JumpToDefault.Meta
beanType() - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities.Meta
beanType() - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates.Meta
beanType() - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates.Meta
beanType() - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity.Meta
beanType() - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity.Meta
beanType() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities.Meta
beanType() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities.Meta
beanType() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities.Meta
beanType() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity.Meta
beanType() - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata.Meta
beanType() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure.Meta
beanType() - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData.Meta
beanType() - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters.Meta
beanType() - Method in class com.opengamma.strata.pricer.fxopt.VolatilityAndBucketedSensitivities.Meta
beanType() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction.Meta
beanType() - Method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction.Meta
beanType() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction.Meta
beanType() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity.Meta
beanType() - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Meta
beanType() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta
beanType() - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates.Meta
beanType() - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates.Meta
beanType() - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates.Meta
beanType() - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates.Meta
beanType() - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues.Meta
beanType() - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity.Meta
beanType() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider.Meta
beanType() - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity.Meta
beanType() - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity.Meta
beanType() - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates.Meta
beanType() - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues.Meta
beanType() - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors.Meta
beanType() - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities.Meta
beanType() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities.Meta
beanType() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities.Meta
beanType() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities.Meta
beanType() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Meta
beanType() - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition.Meta
beanType() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity.Meta
beanType() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity.Meta
beanType() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.Meta
beanType() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata.Meta
beanType() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata.Meta
beanType() - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors.Meta
beanType() - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors.Meta
beanType() - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity.Meta
beta(double) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
beta(double) - Method in interface com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilities: Calculates the beta parameter for a pair of time to expiry.
beta(double) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
beta(HullWhiteOneFactorPiecewiseConstantParameters, double, double) - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: Calculates the beta parameter.
beta(double, double) - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters: Calculates the beta parameter for a pair of time to expiry and instrument tenor.
beta(double) - Method in class com.opengamma.strata.pricer.model.SabrParameters: Calculates the beta parameter for time to expiry.
beta(double, double) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
beta(double, double) - Method in interface com.opengamma.strata.pricer.swaption.SabrSwaptionVolatilities: Calculates the beta parameter for a pair of time to expiry and instrument tenor.
betaCurve(Curve) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder: Sets the beta (elasticity) curve.
betaCurve() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta: The meta-property for the betaCurve property.
betaCurve(Curve) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder: Sets the beta (elasticity) curve.
betaCurve() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta: The meta-property for the betaCurve property.
BlackBarrierPriceFormulaRepository - Class in com.opengamma.strata.pricer.impl.option: The price function to compute the price of barrier option in the Black world.
BlackBarrierPriceFormulaRepository() - Constructor for class com.opengamma.strata.pricer.impl.option.BlackBarrierPriceFormulaRepository
BlackBondFutureExpiryLogMoneynessVolatilities - Class in com.opengamma.strata.pricer.bond: Data provider of volatility for bond future options in the log-normal or Black model.
BlackBondFutureExpiryLogMoneynessVolatilities.Builder - Class in com.opengamma.strata.pricer.bond: The bean-builder for BlackBondFutureExpiryLogMoneynessVolatilities.
BlackBondFutureExpiryLogMoneynessVolatilities.Meta - Class in com.opengamma.strata.pricer.bond: The meta-bean for BlackBondFutureExpiryLogMoneynessVolatilities.
BlackBondFutureOptionMarginedProductPricer - Class in com.opengamma.strata.pricer.bond: Pricer of options on bond future with a log-normal model on the underlying future price.
BlackBondFutureOptionMarginedProductPricer(DiscountingBondFutureProductPricer) - Constructor for class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedProductPricer: Creates an instance.
BlackBondFutureOptionMarginedTradePricer - Class in com.opengamma.strata.pricer.bond: Pricer implementation for bond future option.
BlackBondFutureOptionMarginedTradePricer(BlackBondFutureOptionMarginedProductPricer) - Constructor for class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedTradePricer: Creates an instance.
BlackBondFutureVolatilities - Interface in com.opengamma.strata.pricer.bond: Volatility for pricing bond futures and their options in the log-normal or Black model.
BlackFixedCouponBondOptionPricer - Class in com.opengamma.strata.pricer.bond: Pricer for fixed coupon bond options based on Black formula for the (dirty) bond price.
BlackFixedCouponBondOptionPricer(DiscountingFixedCouponBondProductPricer) - Constructor for class com.opengamma.strata.pricer.bond.BlackFixedCouponBondOptionPricer: Creates an instance.
BlackFlatCmsPeriodPricer - Class in com.opengamma.strata.pricer.impl.cms: Computes the price of a CMS coupon in a constant log-normal volatility set-up.
BlackFormulaRepository - Class in com.opengamma.strata.pricer.impl.option: The primary repository for Black formulas, including the price, common greeks and implied volatility.
BlackFxOptionFlatVolatilities - Class in com.opengamma.strata.pricer.fxopt: Volatility for FX options in the log-normal or Black model based on a curve.
BlackFxOptionFlatVolatilities.Builder - Class in com.opengamma.strata.pricer.fxopt: The bean-builder for BlackFxOptionFlatVolatilities.
BlackFxOptionFlatVolatilities.Meta - Class in com.opengamma.strata.pricer.fxopt: The meta-bean for BlackFxOptionFlatVolatilities.
BlackFxOptionSmileVolatilities - Class in com.opengamma.strata.pricer.fxopt: Data provider of volatility for FX options in the log-normal or Black-Scholes model.
BlackFxOptionSmileVolatilities.Builder - Class in com.opengamma.strata.pricer.fxopt: The bean-builder for BlackFxOptionSmileVolatilities.
BlackFxOptionSmileVolatilities.Meta - Class in com.opengamma.strata.pricer.fxopt: The meta-bean for BlackFxOptionSmileVolatilities.
BlackFxOptionSurfaceVolatilities - Class in com.opengamma.strata.pricer.fxopt: Volatility for FX options in the log-normal or Black model based on a surface.
BlackFxOptionSurfaceVolatilities.Builder - Class in com.opengamma.strata.pricer.fxopt: The bean-builder for BlackFxOptionSurfaceVolatilities.
BlackFxOptionSurfaceVolatilities.Meta - Class in com.opengamma.strata.pricer.fxopt: The meta-bean for BlackFxOptionSurfaceVolatilities.
BlackFxOptionVolatilities - Interface in com.opengamma.strata.pricer.fxopt: Volatility for FX option in the log-normal or Black model.
BlackFxSingleBarrierOptionProductPricer - Class in com.opengamma.strata.pricer.fxopt: Pricer for FX barrier option products in Black-Scholes world.
BlackFxSingleBarrierOptionProductPricer() - Constructor for class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionProductPricer: Creates an instance.
BlackFxSingleBarrierOptionTradePricer - Class in com.opengamma.strata.pricer.fxopt: Pricer for FX barrier option trades in Black-Scholes world.
BlackFxSingleBarrierOptionTradePricer(BlackFxSingleBarrierOptionProductPricer, DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionTradePricer: Creates an instance.
BlackFxVanillaOptionProductPricer - Class in com.opengamma.strata.pricer.fxopt: Pricer for foreign exchange vanilla option transaction products with a lognormal model.
BlackFxVanillaOptionProductPricer(DiscountingFxSingleProductPricer) - Constructor for class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionProductPricer: Creates an instance.
BlackFxVanillaOptionTradePricer - Class in com.opengamma.strata.pricer.fxopt: Pricer for FX vanilla option trades with a lognormal model.
BlackFxVanillaOptionTradePricer(BlackFxVanillaOptionProductPricer, DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionTradePricer: Creates an instance.
BlackIborCapFloorLegPricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for cap/floor legs in log-normal or Black model.
BlackIborCapFloorLegPricer(BlackIborCapletFloorletPeriodPricer) - Constructor for class com.opengamma.strata.pricer.capfloor.BlackIborCapFloorLegPricer: Creates an instance.
BlackIborCapFloorProductPricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for cap/floor products in log-normal or Black model.
BlackIborCapFloorProductPricer(BlackIborCapFloorLegPricer, DiscountingSwapLegPricer) - Constructor for class com.opengamma.strata.pricer.capfloor.BlackIborCapFloorProductPricer: Creates an instance.
BlackIborCapFloorTradePricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for cap/floor trades in log-normal or Black model.
BlackIborCapFloorTradePricer(BlackIborCapFloorProductPricer, DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.capfloor.BlackIborCapFloorTradePricer: Creates an instance.
BlackIborCapletFloorletExpiryFlatVolatilities - Class in com.opengamma.strata.pricer.capfloor: Volatility for Ibor caplet/floorlet in the log-normal or Black model based on a curve.
BlackIborCapletFloorletExpiryFlatVolatilities.Meta - Class in com.opengamma.strata.pricer.capfloor: The meta-bean for BlackIborCapletFloorletExpiryFlatVolatilities.
BlackIborCapletFloorletExpiryStrikeVolatilities - Class in com.opengamma.strata.pricer.capfloor: Volatility for Ibor caplet/floorlet in the log-normal or Black model based on a surface.
BlackIborCapletFloorletExpiryStrikeVolatilities.Meta - Class in com.opengamma.strata.pricer.capfloor: The meta-bean for BlackIborCapletFloorletExpiryStrikeVolatilities.
BlackIborCapletFloorletPeriodPricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for caplet/floorlet in a log-normal or Black model.
BlackIborCapletFloorletPeriodPricer() - Constructor for class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletPeriodPricer
BlackIborCapletFloorletVolatilities - Interface in com.opengamma.strata.pricer.capfloor: Volatility for Ibor caplet/floorlet in the log-normal or Black model.
BlackOneTouchAssetPriceFormulaRepository - Class in com.opengamma.strata.pricer.impl.option: The price function to compute the price of one-touch or no-touch (asset-or-nothing) option in the Black world.
BlackOneTouchAssetPriceFormulaRepository() - Constructor for class com.opengamma.strata.pricer.impl.option.BlackOneTouchAssetPriceFormulaRepository
BlackOneTouchCashPriceFormulaRepository - Class in com.opengamma.strata.pricer.impl.option: The price function to compute the price of one-touch or no-touch (cash-or-nothing) option in the Black world.
BlackOneTouchCashPriceFormulaRepository() - Constructor for class com.opengamma.strata.pricer.impl.option.BlackOneTouchCashPriceFormulaRepository
BlackSabrIborCapletFloorletVolatilities - Interface in com.opengamma.strata.pricer.capfloor: Volatility for Ibor caplet/floorlet in SABR model.
BlackScholesFormulaRepository - Class in com.opengamma.strata.pricer.impl.option: The primary repository for Black-Scholes formulas, including the price and greeks.
BlackSwaptionCashParYieldProductPricer - Class in com.opengamma.strata.pricer.swaption: Pricer for swaption with par yield curve method of cash settlement in a log-normal or Black model on the swap rate.
BlackSwaptionCashParYieldProductPricer(DiscountingSwapProductPricer) - Constructor for class com.opengamma.strata.pricer.swaption.BlackSwaptionCashParYieldProductPricer: Creates an instance.
BlackSwaptionExpiryTenorVolatilities - Class in com.opengamma.strata.pricer.swaption: Volatility for swaptions in the log-normal or Black model.
BlackSwaptionExpiryTenorVolatilities.Meta - Class in com.opengamma.strata.pricer.swaption: The meta-bean for BlackSwaptionExpiryTenorVolatilities.
BlackSwaptionPhysicalProductPricer - Class in com.opengamma.strata.pricer.swaption: Pricer for swaption with physical settlement in a log-normal or Black model on the swap rate.
BlackSwaptionPhysicalProductPricer(DiscountingSwapProductPricer) - Constructor for class com.opengamma.strata.pricer.swaption.BlackSwaptionPhysicalProductPricer: Creates an instance.
BlackSwaptionTradePricer - Class in com.opengamma.strata.pricer.swaption: Pricer for swaption trade in the log-normal or Black model on the swap rate.
BlackSwaptionTradePricer(BlackSwaptionCashParYieldProductPricer, BlackSwaptionPhysicalProductPricer, DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.swaption.BlackSwaptionTradePricer: Creates an instance.
BlackSwaptionVolatilities - Interface in com.opengamma.strata.pricer.swaption: Volatility for swaptions in the log-normal or Black model.
blackVolatilitiesShiftedFromBlackVolatilitiesShifted(double, double, double, DoubleArray, DoubleArray, double) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionCalibrator: Creates an array of shifted Black volatilities from shifted Black volatilities with a different shift and the sensitivities of the Black volatilities outputs with respect to the normal volatilities inputs.
blackVolatilitiesShiftedFromNormalVolatilities(double, double, double, DoubleArray, DoubleArray) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionCalibrator: Creates an array of shifted Black volatilities from Normal volatilities and the sensitivities of the Black volatilities with respect to the normal volatilities inputs.
blackVolatilitiesShiftedFromPrices(double, double, double, DoubleArray, DoubleArray) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionCalibrator: Creates an array of shifted Black volatilities from option prices and the sensitivities of the Black volatilities with respect to the price inputs.
BondFutureOptionSensitivity - Class in com.opengamma.strata.pricer.bond: Point sensitivity to an implied volatility for a bond future option model.
BondFutureOptionSensitivity.Meta - Class in com.opengamma.strata.pricer.bond: The meta-bean for BondFutureOptionSensitivity.
BondFutureVolatilities - Interface in com.opengamma.strata.pricer.bond: Volatilities for pricing bond futures and their options.
BondFutureVolatilitiesId - Class in com.opengamma.strata.pricer.bond: An identifier used to access bond future volatilities by name.
BondFutureVolatilitiesName - Class in com.opengamma.strata.pricer.bond: The name of a set of bond future volatilities.
BondVolatilitiesName - Class in com.opengamma.strata.pricer.bond: The name of a set of bond options volatilities.
BondYieldSensitivity - Class in com.opengamma.strata.pricer.bond: Point sensitivity to a bond yield implied parameter point.
BondYieldSensitivity.Meta - Class in com.opengamma.strata.pricer.bond: The meta-bean for BondYieldSensitivity.
BondYieldVolatilities - Interface in com.opengamma.strata.pricer.bond: Volatilities for bond options.
bucketedCs01(ResolvedCdsTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.SpreadSensitivityCalculator: Computes bucketed CS01 for CDS.
bucketedCs01(ResolvedCdsTrade, List<ResolvedCdsTrade>, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.SpreadSensitivityCalculator: Computes bucketed CS01 for CDS.
bucketedCs01(ResolvedCdsIndexTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.SpreadSensitivityCalculator: Computes bucketed CS01 for CDS index using a single credit curve.
bucketedCs01(ResolvedCdsIndexTrade, List<ResolvedCdsIndexTrade>, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.SpreadSensitivityCalculator: Computes bucketed CS01 for CDS index using a single credit curve.
build() - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities.Builder
build() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Builder
build() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Builder
build() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Builder
build() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts.Builder
build() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts.Builder
build() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder
build() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder
build() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Builder
build() - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider.Builder
build() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities.Builder
build() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities.Builder
build() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities.Builder
build() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction.Builder
build() - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Builder
build() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProviderBuilder: Completes the builder, returning the provider.
build() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Builder
builder() - Static method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities: Returns a builder used to create an instance of the bean.
builder() - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities.Meta
builder() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity.Meta
builder() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity.Meta
builder() - Static method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider: Returns a builder used to create an instance of the bean.
builder() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Meta
builder() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors.Meta
builder() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity.Meta
builder() - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities.Meta
builder() - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors.Meta
builder() - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity.Meta
builder() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities.Meta
builder() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities.Meta
builder() - Static method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition: Returns a builder used to create an instance of the bean.
builder() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Meta
builder() - Static method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition: Returns a builder used to create an instance of the bean.
builder() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Meta
builder() - Static method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts: Returns a builder used to create an instance of the bean.
builder() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts.Meta
builder() - Static method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts: Returns a builder used to create an instance of the bean.
builder() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts.Meta
builder() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity.Meta
builder() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity.Meta
builder() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityCalibrationResult.Meta
builder() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities.Meta
builder() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities.Meta
builder() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities.Meta
builder() - Static method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition: Returns a builder used to create an instance of the bean.
builder() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta
builder() - Static method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Returns a builder used to create an instance of the bean.
builder() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta
builder() - Static method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities: Returns a builder used to create an instance of the bean.
builder() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Meta
builder() - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta
builder() - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta
builder() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata.Meta
builder() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata.Meta
builder() - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates.Meta
builder() - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity.Meta
builder() - Static method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider: Returns a builder used to create an instance of the bean.
builder() - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider.Meta
builder() - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors.Meta
builder() - Method in class com.opengamma.strata.pricer.credit.JumpToDefault.Meta
builder() - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities.Meta
builder() - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates.Meta
builder() - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates.Meta
builder() - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity.Meta
builder() - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity.Meta
builder() - Static method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities: Returns a builder used to create an instance of the bean.
builder() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities.Meta
builder() - Static method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities: Returns a builder used to create an instance of the bean.
builder() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities.Meta
builder() - Static method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities: Returns a builder used to create an instance of the bean.
builder() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities.Meta
builder() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity.Meta
builder() - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata.Meta
builder() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure.Meta
builder() - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData.Meta
builder() - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters.Meta
builder() - Method in class com.opengamma.strata.pricer.fxopt.VolatilityAndBucketedSensitivities.Meta
builder() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction.Meta
builder() - Method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction.Meta
builder() - Static method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction: Returns a builder used to create an instance of the bean.
builder() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction.Meta
builder() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity.Meta
builder() - Static method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities: Returns a builder used to create an instance of the bean.
builder() - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Meta
builder() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta
builder() - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates.Meta
builder() - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates.Meta
builder() - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates.Meta
builder() - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates.Meta
builder() - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues.Meta
builder() - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity.Meta
builder(LocalDate) - Static method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider: Creates a builder specifying the valuation date.
builder() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider.Meta
builder() - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity.Meta
builder() - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity.Meta
builder() - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates.Meta
builder() - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues.Meta
builder() - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors.Meta
builder() - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities.Meta
builder() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities.Meta
builder() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities.Meta
builder() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities.Meta
builder() - Static method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities: Returns a builder used to create an instance of the bean.
builder() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Meta
builder() - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition.Meta
builder() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity.Meta
builder() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity.Meta
builder() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.Meta
builder() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata.Meta
builder() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata.Meta
builder() - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors.Meta
builder() - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors.Meta
builder() - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity.Meta
buildInto(MutablePointSensitivities) - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity
buildInto(MutablePointSensitivities) - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity
buildInto(MutablePointSensitivities) - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity
buildInto(MutablePointSensitivities) - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity
buildInto(MutablePointSensitivities) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity
buildInto(MutablePointSensitivities) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity
buildInto(MutablePointSensitivities) - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity
buildInto(MutablePointSensitivities) - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity
buildInto(MutablePointSensitivities) - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity
buildInto(MutablePointSensitivities) - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity
buildInto(MutablePointSensitivities) - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity
buildInto(MutablePointSensitivities) - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity
buildInto(MutablePointSensitivities) - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity
buildInto(MutablePointSensitivities) - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity
buildInto(MutablePointSensitivities) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity
buildInto(MutablePointSensitivities) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity
buildInto(MutablePointSensitivities) - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity

C

calculateCrossGammaCrossCurve(RatesProvider, Function<ImmutableRatesProvider, CurrencyParameterSensitivities>) - Method in class com.opengamma.strata.pricer.sensitivity.CurveGammaCalculator: Computes cross-curve gamma by applying finite difference method to curve delta.
calculateCrossGammaIntraCurve(RatesProvider, Function<ImmutableRatesProvider, CurrencyParameterSensitivities>) - Method in class com.opengamma.strata.pricer.sensitivity.CurveGammaCalculator: Computes intra-curve cross gamma by applying finite difference method to curve delta.
calculateCrossGammaIntraCurve(LegalEntityDiscountingProvider, Function<ImmutableLegalEntityDiscountingProvider, CurrencyParameterSensitivities>) - Method in class com.opengamma.strata.pricer.sensitivity.CurveGammaCalculator: Computes intra-curve cross gamma for bond curves by applying finite difference method to curve delta.
calculateNumeraire(ResolvedSwaption, ResolvedSwapLeg, double, RatesProvider) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer: Calculates the numeraire, used to multiply the results.
calculateSemiParallelGamma(Curve, Currency, Function<Curve, CurrencyParameterSensitivity>) - Method in class com.opengamma.strata.pricer.sensitivity.CurveGammaCalculator: Computes the "sum-of-column gamma" or "semi-parallel gamma" for a sensitivity function.
calculateStrike(ResolvedSwapLeg) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer: Calculates the strike.
calibrate(IborCapletFloorletVolatilityDefinition, ZonedDateTime, RawOptionData, RatesProvider) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityCalibrator
calibrate(IborCapletFloorletVolatilityDefinition, ZonedDateTime, RawOptionData, RatesProvider) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityCalibrator
calibrate(IborCapletFloorletVolatilityDefinition, ZonedDateTime, RawOptionData, RatesProvider) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapper
calibrate(IborCapletFloorletVolatilityDefinition, ZonedDateTime, RawOptionData, RatesProvider) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrator
calibrate(IborCapletFloorletVolatilityDefinition, ZonedDateTime, RawOptionData, RatesProvider) - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapper
calibrate(List<ResolvedCdsTrade>, DoubleArray, DoubleArray, CurveName, LocalDate, CreditDiscountFactors, RecoveryRates, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.FastCreditCurveCalibrator
calibrate(IsdaCreditCurveDefinition, MarketData, ImmutableCreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCompliantCreditCurveCalibrator: Calibrates the ISDA compliant credit curve to the market data.
calibrate(List<ResolvedCdsTrade>, DoubleArray, DoubleArray, CurveName, LocalDate, CreditDiscountFactors, RecoveryRates, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCompliantCreditCurveCalibrator: Calibrate the ISDA compliant credit curve to points upfront and fractional spread.
calibrate(IsdaCreditCurveDefinition, MarketData, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCompliantDiscountCurveCalibrator: Calibrates the ISDA compliant discount curve to the market data.
calibrate(IsdaCreditCurveDefinition, MarketData, ImmutableCreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCompliantIndexCurveCalibrator: Calibrates the index curve to the market data.
calibrate(List<ResolvedCdsTrade>, DoubleArray, DoubleArray, CurveName, LocalDate, CreditDiscountFactors, RecoveryRates, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.SimpleCreditCurveCalibrator
calibrate(RatesCurveGroupDefinition, MarketData, ReferenceData) - Method in class com.opengamma.strata.pricer.curve.RatesCurveCalibrator: Calibrates a single curve group, containing one or more curves.
calibrate(List<RatesCurveGroupDefinition>, ImmutableRatesProvider, MarketData, ReferenceData) - Method in class com.opengamma.strata.pricer.curve.RatesCurveCalibrator: Calibrates a list of curve groups, each containing one or more curves.
calibrate(RatesCurveGroupDefinition, RatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.curve.SyntheticRatesCurveCalibrator: Calibrates synthetic curves from the configuration of the new curves and an existing rates provider.
calibrateAlphaWithAtm(SwaptionVolatilitiesName, SabrParametersSwaptionVolatilities, RatesProvider, SwaptionVolatilities, List<Tenor>, List<Period>, SurfaceInterpolator) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionCalibrator: Calibrate SABR alpha parameters to a set of ATM swaption volatilities.
calibrateAtmShiftedFromBlackVolatilities(BusinessDayAdjustment, ZonedDateTime, DayCount, Period, double, double, double, DoubleArray, double) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionCalibrator: Calibrate the SABR alpha parameter to an ATM Black volatility and compute the derivative of the result with respect to the input volatility.
calibrateAtmShiftedFromNormalVolatilities(BusinessDayAdjustment, ZonedDateTime, DayCount, Period, double, double, DoubleArray, double) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionCalibrator: Calibrate the SABR alpha parameter to an ATM normal volatility and compute the derivative of the result with respect to the input volatility.
calibrateImpliedVolatility(Function<DoublesPair, Double>, double, Function<Double, Double>, Function<Double, Double>) - Method in class com.opengamma.strata.pricer.impl.volatility.local.ImpliedTrinomialTreeLocalVolatilityCalculator: Calibrate trinomial tree to implied volatility surface.
calibrateLsShiftedFromBlackVolatilities(BusinessDayAdjustment, ZonedDateTime, DayCount, Period, double, DoubleArray, ValueType, DoubleArray, double, DoubleArray, BitSet, double) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionCalibrator: Calibrate the SABR parameters to a set of Black volatilities at given moneyness by least square.
calibrateLsShiftedFromNormalVolatilities(BusinessDayAdjustment, ZonedDateTime, DayCount, Period, double, DoubleArray, ValueType, DoubleArray, DoubleArray, BitSet, double) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionCalibrator: Calibrate the SABR parameters to a set of normal volatilities at given moneyness.
calibrateLsShiftedFromPrices(BusinessDayAdjustment, ZonedDateTime, DayCount, Period, double, DoubleArray, ValueType, DoubleArray, DoubleArray, BitSet, double) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionCalibrator: Calibrate the SABR parameters to a set of option prices at given moneyness.
calibrateTrinomialTree(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxOptionCalibrator: Calibrate trinomial tree to Black volatilities by using a vanilla option.
calibrateTrinomialTree(double, CurrencyPair, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxOptionCalibrator: Calibrate trinomial tree to Black volatilities.
calibrateWithFixedBetaAndShift(SabrSwaptionDefinition, ZonedDateTime, TenorRawOptionData, RatesProvider, Surface, Surface) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionCalibrator: Calibrate SABR parameters to a set of raw swaption data.
calibrateWithFixedBetaAndShift(SabrSwaptionDefinition, ZonedDateTime, TenorRawOptionData, RatesProvider, Surface, Surface, boolean) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionCalibrator: Calibrate SABR parameters to a set of raw swaption data.
CalibrationMeasure<T extends ResolvedTrade> - Interface in com.opengamma.strata.pricer.curve: Provides access to the measures needed to perform curve calibration for a single type of trade.
CalibrationMeasures - Class in com.opengamma.strata.pricer.curve: Provides access to the measures needed to perform curve calibration.
carryRho(double, double, double, double, double, double, boolean) - Static method in class com.opengamma.strata.pricer.impl.option.BlackScholesFormulaRepository: Computes the carry rho.
cashFlowEquivalentAndSensitivityFixedLeg(ResolvedSwapLeg, RatesProvider) - Static method in class com.opengamma.strata.pricer.impl.rate.swap.CashFlowEquivalentCalculator: Computes cash flow equivalent and sensitivity of fixed leg.
cashFlowEquivalentAndSensitivityIborLeg(ResolvedSwapLeg, RatesProvider) - Static method in class com.opengamma.strata.pricer.impl.rate.swap.CashFlowEquivalentCalculator: Computes cash flow equivalent and sensitivity of Ibor leg.
cashFlowEquivalentAndSensitivityOnLeg(ResolvedSwapLeg, RatesProvider) - Static method in class com.opengamma.strata.pricer.impl.rate.swap.CashFlowEquivalentCalculator: Computes cash flow equivalent of and sensitivity overnight leg.
cashFlowEquivalentAndSensitivitySwap(ResolvedSwap, RatesProvider) - Static method in class com.opengamma.strata.pricer.impl.rate.swap.CashFlowEquivalentCalculator: Computes cash flow equivalent and sensitivity of swap.
CashFlowEquivalentCalculator - Class in com.opengamma.strata.pricer.impl.rate.swap: Computes cash flow equivalent of products.
cashFlowEquivalentFixedLeg(ResolvedSwapLeg, RatesProvider) - Static method in class com.opengamma.strata.pricer.impl.rate.swap.CashFlowEquivalentCalculator: Computes cash flow equivalent of fixed leg.
cashFlowEquivalentIborLeg(ResolvedSwapLeg, RatesProvider) - Static method in class com.opengamma.strata.pricer.impl.rate.swap.CashFlowEquivalentCalculator: Computes cash flow equivalent of Ibor leg.
cashFlowEquivalentOnLeg(ResolvedSwapLeg, RatesProvider) - Static method in class com.opengamma.strata.pricer.impl.rate.swap.CashFlowEquivalentCalculator: Computes cash flow equivalent of overnight leg.
cashFlowEquivalentSwap(ResolvedSwap, RatesProvider) - Static method in class com.opengamma.strata.pricer.impl.rate.swap.CashFlowEquivalentCalculator: Computes cash flow equivalent of swap.
cashFlows(Payment, BaseProvider) - Method in class com.opengamma.strata.pricer.DiscountingPaymentPricer: Calculates the future cash flow of the payment.
cashFlows(ResolvedFra, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraProductPricer: Calculates the future cash flow of the FRA product.
cashFlows(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraTradePricer: Calculates the future cash flow of the FRA trade.
cashFlows(ResolvedBulletPaymentTrade, BaseProvider) - Method in class com.opengamma.strata.pricer.payment.DiscountingBulletPaymentTradePricer: Calculates the future cash flow of the bullet payment trade.
cashFlows(ResolvedSwapLeg, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Calculates the future cash flows of the swap leg.
cashFlows(ResolvedSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Calculates the future cash flows of the swap product.
cashFlows(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer: Calculates the future cash flows of the swap trade.
CdsMarketQuoteConverter - Class in com.opengamma.strata.pricer.credit: The market quote converter for credit default swaps.
CdsMarketQuoteConverter() - Constructor for class com.opengamma.strata.pricer.credit.CdsMarketQuoteConverter: The default constructor.
CdsMarketQuoteConverter(AccrualOnDefaultFormula) - Constructor for class com.opengamma.strata.pricer.credit.CdsMarketQuoteConverter: The constructor with the accrual-on-default formula specified.
charm(double, double, double, double, double, double, boolean) - Static method in class com.opengamma.strata.pricer.impl.option.BlackScholesFormulaRepository: Computes the charm.
checkCdsBucket(ResolvedCdsTrade, List<ResolvedCdsTrade>) - Method in class com.opengamma.strata.pricer.credit.SpreadSensitivityCalculator
chiSquare() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityCalibrationResult.Meta: The meta-property for the chiSquare property.
cleanNominalPriceFromDirtyNominalPrice(ResolvedCapitalIndexedBond, RatesProvider, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the clean nominal price of the bond from its settlement date and dirty nominal price.
cleanPrice(ResolvedCdsTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.CdsMarketQuoteConverter: Computes the market clean price.
cleanPriceFromDirtyPrice(ResolvedFixedCouponBond, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the clean price of the fixed coupon bond from its settlement date and dirty price.
cleanPriceFromPointsUpfront(double) - Method in class com.opengamma.strata.pricer.credit.CdsMarketQuoteConverter: Computes market clean price from points upfront.
cleanPriceFromRealYield(ResolvedCapitalIndexedBond, RatesProvider, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Computes the clean price from the conventional real yield.
cleanRealPriceFromDirtyRealPrice(ResolvedCapitalIndexedBond, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the clean real price of the bond from its settlement date and dirty real price.
cloned() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity
cloned() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity
cloned() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity
cloned() - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity
cloned() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity
cloned() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity
cloned() - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity
cloned() - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity
cloned() - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity
cloned() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity
cloned() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity
cloned() - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity
cloned() - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity
cloned() - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity
cloned() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity
cloned() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity
cloned() - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity
com.opengamma.strata.pricer - package com.opengamma.strata.pricer: Calculators for financial instruments.
com.opengamma.strata.pricer.bond - package com.opengamma.strata.pricer.bond: Calculators for bonds.
com.opengamma.strata.pricer.capfloor - package com.opengamma.strata.pricer.capfloor: Calculators for Ibor cap-floor.
com.opengamma.strata.pricer.cms - package com.opengamma.strata.pricer.cms: Calculators for CMS.
com.opengamma.strata.pricer.common - package com.opengamma.strata.pricer.common: Common code for pricing.
com.opengamma.strata.pricer.credit - package com.opengamma.strata.pricer.credit: Calculators for credit instruments, such as Credit Default Swap (CDS).
com.opengamma.strata.pricer.curve - package com.opengamma.strata.pricer.curve: Provides the ability to calibrate curves.
com.opengamma.strata.pricer.deposit - package com.opengamma.strata.pricer.deposit: Calculators for rate deposit instruments, such as term deposit.
com.opengamma.strata.pricer.dsf - package com.opengamma.strata.pricer.dsf: Calculators for Deliverable Swap Futures (DSFs).
com.opengamma.strata.pricer.fra - package com.opengamma.strata.pricer.fra: Calculators for Forward Rate Agreement (FRA) instruments.
com.opengamma.strata.pricer.fx - package com.opengamma.strata.pricer.fx: Calculators for FX instruments, such as FX forward and FX swap.
com.opengamma.strata.pricer.fxopt - package com.opengamma.strata.pricer.fxopt: Calculators for FX options.
com.opengamma.strata.pricer.impl - package com.opengamma.strata.pricer.impl: Internal implementations.
com.opengamma.strata.pricer.impl.cms - package com.opengamma.strata.pricer.impl.cms
com.opengamma.strata.pricer.impl.option - package com.opengamma.strata.pricer.impl.option: Internal implementations of option pricing.
com.opengamma.strata.pricer.impl.rate - package com.opengamma.strata.pricer.impl.rate: Internal implementations of rate calculations.
com.opengamma.strata.pricer.impl.rate.model - package com.opengamma.strata.pricer.impl.rate.model: Internal implementations of analytic models.
com.opengamma.strata.pricer.impl.rate.swap - package com.opengamma.strata.pricer.impl.rate.swap
com.opengamma.strata.pricer.impl.swap - package com.opengamma.strata.pricer.impl.swap: Internal implementations of rate swap calculations.
com.opengamma.strata.pricer.impl.tree - package com.opengamma.strata.pricer.impl.tree
com.opengamma.strata.pricer.impl.volatility.local - package com.opengamma.strata.pricer.impl.volatility.local
com.opengamma.strata.pricer.impl.volatility.smile - package com.opengamma.strata.pricer.impl.volatility.smile: Internal implementations of volatility smile.
com.opengamma.strata.pricer.index - package 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 - package com.opengamma.strata.pricer.model: Common code for model pricing.
com.opengamma.strata.pricer.option - package com.opengamma.strata.pricer.option: Pricer support classes for options.
com.opengamma.strata.pricer.payment - package com.opengamma.strata.pricer.payment: Calculators for payment instruments.
com.opengamma.strata.pricer.rate - package com.opengamma.strata.pricer.rate: Calculators for rates instruments, such as Forward Rate Agreement (FRA) and interest rate swap.
com.opengamma.strata.pricer.sensitivity - package com.opengamma.strata.pricer.sensitivity: Calculators for sensitivities.
com.opengamma.strata.pricer.swap - package com.opengamma.strata.pricer.swap: Calculators for interest rate swaps.
com.opengamma.strata.pricer.swaption - package com.opengamma.strata.pricer.swaption: Calculators for swaptions.
combined(FxRateProvider, ImmutableRatesProvider...) - Static method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider: Combines a number of rates providers.
combinedWith(ImmutableRatesProvider, FxRateProvider) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider: Combines this provider with another.
compareKey(PointSensitivity) - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity
compareKey(PointSensitivity) - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity
compareKey(PointSensitivity) - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity
compareKey(PointSensitivity) - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity
compareKey(PointSensitivity) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity
compareKey(PointSensitivity) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity
compareKey(PointSensitivity) - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity
compareKey(PointSensitivity) - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity
compareKey(PointSensitivity) - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity
compareKey(PointSensitivity) - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity
compareKey(PointSensitivity) - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity
compareKey(PointSensitivity) - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity
compareKey(PointSensitivity) - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity
compareKey(PointSensitivity) - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity
compareKey(PointSensitivity) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity
compareKey(PointSensitivity) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity
compareKey(PointSensitivity) - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity
CompoundedRateType - Enum in com.opengamma.strata.pricer: A compounded rate type.
computePenaltyMatrix(DoubleArray) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition: Computes penalty matrix.
computePenaltyMatrix(DoubleArray, DoubleArray) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition: Computes penalty matrix.
ConstantContinuousSingleBarrierKnockoutFunction - Class in com.opengamma.strata.pricer.impl.tree: Single barrier knock-out option function.
ConstantContinuousSingleBarrierKnockoutFunction.Meta - Class in com.opengamma.strata.pricer.impl.tree: The meta-bean for ConstantContinuousSingleBarrierKnockoutFunction.
ConstantRecoveryRates - Class in com.opengamma.strata.pricer.credit: The constant recovery rate.
ConstantRecoveryRates.Meta - Class in com.opengamma.strata.pricer.credit: The meta-bean for ConstantRecoveryRates.
convention() - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities.Meta: The meta-property for the convention property.
convention() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities.Meta: The meta-property for the convention property.
convention() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities.Meta: The meta-property for the convention property.
convention() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities.Meta: The meta-property for the convention property.
convention(FixedFloatSwapConvention) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Builder: Sets the swap convention that the volatilities are to be used for.
convention() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Meta: The meta-property for the convention property.
convention() - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition.Meta: The meta-property for the convention property.
convertedTo(Currency, FxRateProvider) - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity
convertedTo(Currency, FxRateProvider) - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity
convertedTo(Currency, FxRateProvider) - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity
convertedTo(Currency, FxRateProvider) - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity
convertedTo(Currency, FxRateProvider) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity
convertedTo(Currency, FxRateProvider) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity
convertedTo(Currency, FxRateProvider) - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity
convertedTo(Currency, FxRateProvider) - Method in class com.opengamma.strata.pricer.credit.JumpToDefault
convertedTo(Currency, FxRateProvider) - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity
convertedTo(Currency, FxRateProvider) - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity
convertedTo(Currency, FxRateProvider) - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity
convertedTo(Currency, FxRateProvider) - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity
convertedTo(Currency, FxRateProvider) - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity
convertedTo(Currency, FxRateProvider) - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity
convertedTo(Currency, FxRateProvider) - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity
convertedTo(Currency, FxRateProvider) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity
convertedTo(Currency, FxRateProvider) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity
convertedTo(Currency, FxRateProvider) - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity
convertSwaptionSensitivity(SwaptionSensitivity) - Method in interface com.opengamma.strata.pricer.swaption.SabrSwaptionVolatilities: Convert a SwaptionSensitivity for a expiry, tenor and strike in the associated SABR parameter sensitivities.
convexityAdjustment(ResolvedIborFuture, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider) - Method in class com.opengamma.strata.pricer.index.HullWhiteIborFutureProductPricer: Calculates the convexity adjustment (to the price) of the Ibor future product.
convexityFromRealYieldFiniteDifference(ResolvedCapitalIndexedBond, RatesProvider, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the convexity from the conventional real yield using finite difference approximation.
convexityFromStandardYield(ResolvedCapitalIndexedBond, RatesProvider, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Computes the covexity from the standard yield.
convexityFromYield(ResolvedFixedCouponBond, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the convexity of the fixed coupon bond product from yield.
counterCurrencyDiscountFactors() - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates.Meta: The meta-property for the counterCurrencyDiscountFactors property.
couponEquivalent(ResolvedSwapLeg, RatesProvider, double) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Calculates the coupon equivalent of a swap leg.
CoxRossRubinsteinLatticeSpecification - Class in com.opengamma.strata.pricer.impl.tree: Cox-Ross-Rubinstein lattice specification.
CoxRossRubinsteinLatticeSpecification() - Constructor for class com.opengamma.strata.pricer.impl.tree.CoxRossRubinsteinLatticeSpecification
createCap(LocalDate, LocalDate, double) - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityDefinition: Creates a standard cap from start date, end date and strike.
createCurveMetadata(RawOptionData) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition: Creates curve metadata.
createFullInitialValues() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Create initial values for all the curve parameters.
createFullTransform(ParameterLimitsTransform[]) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Creates the transformation definition for all the curve parameters.
createMetadata(RawOptionData) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition
createMetadata(RawOptionData) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition
createMetadata(RawOptionData) - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityDefinition: Creates surface metadata.
createMetadata(RawOptionData) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition
createMetadata(RawOptionData) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition
createMetadata(RawOptionData) - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition
createParameterSensitivity(Currency, DoubleArray) - Method in interface com.opengamma.strata.pricer.credit.CreditDiscountFactors: Creates the parameter sensitivity when the sensitivity values are known.
createParameterSensitivity(Currency, DoubleArray) - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
createParameterSensitivity(Currency, DoubleArray) - Method in interface com.opengamma.strata.pricer.DiscountFactors: Creates the parameter sensitivity when the sensitivity values are known.
createParameterSensitivity(Currency, DoubleArray) - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates
createParameterSensitivity(Currency, DoubleArray) - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
createParameterSensitivity(Currency, DoubleArray) - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates
createParameterSensitivity(Currency, DoubleArray) - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates
createParameterSensitivity(Currency, DoubleArray) - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues
createParameterSensitivity(Currency, DoubleArray) - Method in interface com.opengamma.strata.pricer.rate.IborIndexRates: Creates the parameter sensitivity when the sensitivity values are known.
createParameterSensitivity(Currency, DoubleArray) - Method in interface com.opengamma.strata.pricer.rate.OvernightIndexRates: Creates the parameter sensitivity when the sensitivity values are known.
createParameterSensitivity(Currency, DoubleArray) - Method in interface com.opengamma.strata.pricer.rate.PriceIndexValues: Creates the parameter sensitivity when the sensitivity values are known.
createParameterSensitivity(Currency, DoubleArray) - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates
createParameterSensitivity(Currency, DoubleArray) - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues
createParameterSensitivity(Currency, DoubleArray) - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors
createParameterSensitivity(Currency, DoubleArray) - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors
createParameterSensitivity(Currency, DoubleArray) - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
createSabrParameterCurve(List<CurveMetadata>, DoubleArray) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Creates the parameter curves with parameter node values.
createSabrParameterMetadata() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition: Creates curve metadata for SABR parameters.
createSabrParameterMetadata() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Creates curve metadata for SABR parameters.
createZeroRateSensitivity() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity: Obtains the underlying ZeroRateSensitivity.
createZeroRateSensitivity() - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity: Obtains the underlying ZeroRateSensitivity.
creditCurves(Map<Pair<StandardId, Currency>, LegalEntitySurvivalProbabilities>) - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider.Builder: Sets the credit curves.
creditCurves() - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider.Meta: The meta-property for the creditCurves property.
CreditCurveZeroRateSensitivity - Class in com.opengamma.strata.pricer.credit: Point sensitivity to the zero hazard rate curve.
CreditCurveZeroRateSensitivity.Meta - Class in com.opengamma.strata.pricer.credit: The meta-bean for CreditCurveZeroRateSensitivity.
CreditDiscountFactors - Interface in com.opengamma.strata.pricer.credit: Provides access to discount factors for a single currency.
CreditRatesProvider - Interface in com.opengamma.strata.pricer.credit: The rates provider, used to calculate analytic measures.
crossGamma(double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the driftless cross gamma.
crossGamma(double, double, double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackScholesFormulaRepository: Computes the cross gamma.
currency() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.credit.JumpToDefault.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors.Meta: The meta-property for the currency property.
currency() - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity.Meta: The meta-property for the currency property.
currencyExposure(ResolvedBondFutureOptionTrade, LegalEntityDiscountingProvider, BondFutureVolatilities, double) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedTradePricer: Calculates the currency exposure of the bond future option trade.
currencyExposure(ResolvedBondFutureOptionTrade, LocalDate, double, double) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedTradePricer: Calculates the currency exposure of the bond future option trade from the current option price.
currencyExposure(ResolvedBillTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingBillTradePricer: Calculates the currency exposure of a bill trade.
currencyExposure(ResolvedBondFutureTrade, LegalEntityDiscountingProvider, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingBondFutureTradePricer: Calculates the currency exposure of the bond future trade.
currencyExposure(ResolvedCapitalIndexedBond, RatesProvider, LegalEntityDiscountingProvider, LocalDate) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the currency exposure of the bond product.
currencyExposure(ResolvedCapitalIndexedBondTrade, RatesProvider, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondTradePricer: Calculates the currency exposure of the bond trade.
currencyExposure(ResolvedFixedCouponBondTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondTradePricer: Calculates the currency exposure of the fixed coupon bond trade.
currencyExposure(ResolvedIborCapFloor, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorProductPricer: Calculates the currency exposure of the Ibor cap/floor product.
currencyExposure(ResolvedIborCapFloorTrade, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorTradePricer: Calculates the currency exposure of the Ibor cap/floor trade.
currencyExposure(ResolvedCms, RatesProvider) - Method in class com.opengamma.strata.pricer.cms.DiscountingCmsProductPricer: Calculates the currency exposure of the product.
currencyExposure(ResolvedCmsTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.cms.DiscountingCmsTradePricer: Calculates the currency exposure of the trade.
currencyExposure(ResolvedCms, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsProductPricer: Calculates the currency exposure of the product.
currencyExposure(ResolvedCmsTrade, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsTradePricer: Calculates the currency exposure of the trade.
currencyExposure(ResolvedTermDepositTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingTermDepositTradePricer: Calculates the currency exposure.
currencyExposure(Payment, BaseProvider) - Method in class com.opengamma.strata.pricer.DiscountingPaymentPricer: Calculates the currency exposure.
currencyExposure(ResolvedDsfTrade, RatesProvider, double) - Method in class com.opengamma.strata.pricer.dsf.DiscountingDsfTradePricer: Calculates the currency exposure of the deliverable swap futures trade.
currencyExposure(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraTradePricer: Calculates the currency exposure of the FRA trade.
currencyExposure(FxForwardSensitivity) - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates
currencyExposure(ResolvedFxNdf, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxNdfProductPricer: Calculates the currency exposure by discounting each payment in its own currency.
currencyExposure(ResolvedFxNdfTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxNdfTradePricer: Calculates the currency exposure by discounting each payment in its own currency.
currencyExposure(ResolvedFxSingle, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSingleProductPricer: Calculates the currency exposure by discounting each payment in its own currency.
currencyExposure(ResolvedFxSingleTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSingleTradePricer: Calculates the currency exposure by discounting each payment in its own currency.
currencyExposure(ResolvedFxSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSwapProductPricer: Calculates the currency exposure of the FX swap product.
currencyExposure(ResolvedFxSwapTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSwapTradePricer: Calculates the currency exposure by discounting each payment in its own currency.
currencyExposure(FxIndexSensitivity) - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates
currencyExposure(FxForwardSensitivity) - Method in interface com.opengamma.strata.pricer.fx.FxForwardRates: Calculates the currency exposure from the point sensitivity.
currencyExposure(FxIndexSensitivity) - Method in interface com.opengamma.strata.pricer.fx.FxIndexRates: Calculates the currency exposure from the point sensitivity.
currencyExposure(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionProductPricer: Calculates the currency exposure of the FX barrier option product.
currencyExposure(ResolvedFxSingleBarrierOptionTrade, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionTradePricer: Calculates the currency exposure of the FX barrier option trade.
currencyExposure(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionProductPricer: Calculates the currency exposure of the foreign exchange vanilla option product.
currencyExposure(ResolvedFxVanillaOptionTrade, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionTradePricer: Calculates the currency exposure of the FX vanilla option trade.
currencyExposure(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer: Calculates the currency exposure of the FX barrier option product.
currencyExposure(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities, RecombiningTrinomialTreeData) - Method in class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer: Calculates the currency exposure of the FX barrier option product.
currencyExposure(ResolvedFxSingleBarrierOptionTrade, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer: Calculates the currency exposure of the FX barrier option trade.
currencyExposure(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionSmileVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.VannaVolgaFxVanillaOptionProductPricer: Calculates the currency exposure of the foreign exchange vanilla option product.
currencyExposure(ResolvedFxVanillaOptionTrade, RatesProvider, BlackFxOptionSmileVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.VannaVolgaFxVanillaOptionTradePricer: Calculates the currency exposure of the FX vanilla option trade.
currencyExposure(FxResetNotionalExchange, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingFxResetNotionalExchangePricer
currencyExposure(KnownAmountSwapPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingKnownAmountPaymentPeriodPricer
currencyExposure(NotionalExchange, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingNotionalExchangePricer
currencyExposure(RatePaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingRatePaymentPeriodPricer
currencyExposure(SwapPaymentEvent, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentEventPricer
currencyExposure(SwapPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentPeriodPricer
currencyExposure(ResolvedIborFutureTrade, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider, double) - Method in class com.opengamma.strata.pricer.index.HullWhiteIborFutureTradePricer: Calculates the currency exposure of the Ibor future trade.
currencyExposure(ResolvedBulletPaymentTrade, BaseProvider) - Method in class com.opengamma.strata.pricer.payment.DiscountingBulletPaymentTradePricer: Calculates the currency exposure of the bullet payment trade.
currencyExposure(PointSensitivities) - Method in interface com.opengamma.strata.pricer.rate.RatesProvider: Computes the currency exposure.
currencyExposure(ResolvedSwapLeg, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Calculates the currency exposure of the swap leg.
currencyExposure(ResolvedSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Calculates the currency exposure of the swap product.
currencyExposure(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer: Calculates the currency exposure of the swap trade.
currencyExposure(T, RatesProvider) - Method in interface com.opengamma.strata.pricer.swap.SwapPaymentEventPricer: Calculates the currency exposure of a single payment event.
currencyExposure(T, RatesProvider) - Method in interface com.opengamma.strata.pricer.swap.SwapPaymentPeriodPricer: Calculates the currency exposure of a single payment period.
currencyExposure(ResolvedSwaptionTrade, RatesProvider, BlackSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionTradePricer: Computes the currency exposure of the swaption trade.
currencyExposure(ResolvedSwaption, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider) - Method in class com.opengamma.strata.pricer.swaption.HullWhiteSwaptionPhysicalProductPricer: Calculates the currency exposure of the swaption product.
currencyExposure(ResolvedSwaptionTrade, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider) - Method in class com.opengamma.strata.pricer.swaption.HullWhiteSwaptionPhysicalTradePricer: Computes the currency exposure of the swaption trade.
currencyExposure(ResolvedSwaptionTrade, RatesProvider, NormalSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionTradePricer: Computes the currency exposure of the swaption trade.
currencyExposure(ResolvedSwaptionTrade, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionTradePricer: Computes the currency exposure of the swaption trade.
currencyExposure(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer: Computes the currency exposure of the swaption.
currencyExposure(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionPhysicalProductPricer: Computes the currency exposure of the swaption.
currencyExposure(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionProductPricer: Computes the currency exposure of the swaption.
currencyExposure(ResolvedSwaptionTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionTradePricer: Computes the currency exposure of the swaption trade.
currencyExposureFromCleanPrice(ResolvedCapitalIndexedBondTrade, RatesProvider, LegalEntityDiscountingProvider, ReferenceData, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondTradePricer: Calculates the currency exposure of the bond trade.
currencyExposureFromCleanPriceWithZSpread(ResolvedCapitalIndexedBondTrade, RatesProvider, LegalEntityDiscountingProvider, ReferenceData, double, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondTradePricer: Calculates the currency exposure of the bond trade with z-spread.
currencyExposureWithZSpread(ResolvedBillTrade, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingBillTradePricer: Calculates the currency exposure of a bill trade with z-spread.
currencyExposureWithZSpread(ResolvedBondFutureTrade, LegalEntityDiscountingProvider, double, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingBondFutureTradePricer: Calculates the currency exposure of the bond future trade with z-spread.
currencyExposureWithZSpread(ResolvedCapitalIndexedBond, RatesProvider, LegalEntityDiscountingProvider, LocalDate, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the currency exposure of the bond product with z-spread.
currencyExposureWithZSpread(ResolvedCapitalIndexedBondTrade, RatesProvider, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondTradePricer: Calculates the currency exposure of the bond trade with z-spread.
currencyExposureWithZSpread(ResolvedFixedCouponBondTrade, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondTradePricer: Calculates the currency exposure of the fixed coupon bond trade with z-spread.
currencyPair() - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates.Meta: The meta-property for the currencyPair property.
currencyPair() - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity.Meta: The meta-property for the currencyPair property.
currencyPair(CurrencyPair) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities.Builder: Sets the currency pair that the volatilities are for.
currencyPair() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities.Meta: The meta-property for the currencyPair property.
currencyPair(CurrencyPair) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities.Builder: Sets the currency pair that the volatilities are for.
currencyPair() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities.Meta: The meta-property for the currencyPair property.
currencyPair(CurrencyPair) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities.Builder: Sets the currency pair that the volatilities are for.
currencyPair() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities.Meta: The meta-property for the currencyPair property.
currencyPair() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity.Meta: The meta-property for the currencyPair property.
currencyPair() - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata.Meta: The meta-property for the currencyPair property.
currentCash(ResolvedBillTrade, LocalDate) - Method in class com.opengamma.strata.pricer.bond.DiscountingBillTradePricer: Calculates the current cash of a bill trade.
currentCash(ResolvedCapitalIndexedBond, RatesProvider, LocalDate) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the current cash of the bond product.
currentCash(ResolvedCapitalIndexedBondTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondTradePricer: Calculates the current cash of the bond trade.
currentCash(ResolvedFixedCouponBondTrade, LocalDate) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondTradePricer: Calculates the current cash of the fixed coupon bond trade.
currentCash(ResolvedIborCapFloorLeg, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorLegPricer: Calculates the current cash of the Ibor cap/floor leg.
currentCash(ResolvedIborCapFloor, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorProductPricer: Calculates the current cash of the Ibor cap/floor product.
currentCash(ResolvedIborCapFloorTrade, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorTradePricer: Calculates the current cash of the Ibor cap/floor trade.
currentCash(ResolvedCmsLeg, RatesProvider) - Method in class com.opengamma.strata.pricer.cms.DiscountingCmsLegPricer: Calculates the current cash of the leg.
currentCash(ResolvedCms, RatesProvider) - Method in class com.opengamma.strata.pricer.cms.DiscountingCmsProductPricer: Calculates the current cash of the product.
currentCash(ResolvedCmsTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.cms.DiscountingCmsTradePricer: Calculates the current cash of the trade.
currentCash(ResolvedCmsLeg, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsLegPricer: Calculates the current cash of the leg.
currentCash(ResolvedCms, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsProductPricer: Calculates the current cash of the product.
currentCash(ResolvedCmsTrade, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsTradePricer: Calculates the current cash of the trade.
currentCash(ResolvedTermDepositTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingTermDepositTradePricer: Calculates the current cash.
currentCash(Payment, BaseProvider) - Method in class com.opengamma.strata.pricer.DiscountingPaymentPricer: Calculates the current cash.
currentCash(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraTradePricer: Calculates the current cash of the FRA trade.
currentCash(ResolvedFxNdf, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxNdfProductPricer: Calculates the current cash of the NDF product.
currentCash(ResolvedFxNdfTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxNdfTradePricer: Calculates the current cash of the trade.
currentCash(ResolvedFxSingle, LocalDate) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSingleProductPricer: Calculates the current cash.
currentCash(ResolvedFxSingleTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSingleTradePricer: Calculates the current cash of the trade.
currentCash(ResolvedFxSwap, LocalDate) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSwapProductPricer: Calculates the current cash of the FX swap product.
currentCash(ResolvedFxSwapTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSwapTradePricer: Calculates the current cash of the trade.
currentCash(ResolvedFxSingleBarrierOptionTrade, LocalDate) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionTradePricer: Calculates the current of the FX barrier option trade.
currentCash(ResolvedFxVanillaOptionTrade, LocalDate) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionTradePricer: Calculates the current of the FX vanilla option trade.
currentCash(ResolvedFxSingleBarrierOptionTrade, LocalDate) - Method in class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer: Calculates the current of the FX barrier option trade.
currentCash(ResolvedFxVanillaOptionTrade, LocalDate) - Method in class com.opengamma.strata.pricer.fxopt.VannaVolgaFxVanillaOptionTradePricer: Calculates the current of the FX vanilla option trade.
currentCash(FxResetNotionalExchange, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingFxResetNotionalExchangePricer
currentCash(KnownAmountSwapPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingKnownAmountPaymentPeriodPricer
currentCash(NotionalExchange, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingNotionalExchangePricer
currentCash(RatePaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingRatePaymentPeriodPricer
currentCash(SwapPaymentEvent, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentEventPricer
currentCash(SwapPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentPeriodPricer
currentCash(ResolvedBulletPaymentTrade, BaseProvider) - Method in class com.opengamma.strata.pricer.payment.DiscountingBulletPaymentTradePricer: Calculates the current cash of the bullet payment trade.
currentCash(ResolvedSwapLeg, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Calculates the current cash of the swap leg.
currentCash(ResolvedSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Calculates the current cash of the swap product.
currentCash(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer: Calculates the current cash of the swap trade.
currentCash(T, RatesProvider) - Method in interface com.opengamma.strata.pricer.swap.SwapPaymentEventPricer: Calculates the current cash of a single payment event.
currentCash(T, RatesProvider) - Method in interface com.opengamma.strata.pricer.swap.SwapPaymentPeriodPricer: Calculates the current cash of a single payment period.
currentCash(ResolvedSwaptionTrade, LocalDate) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionTradePricer: Calculates the current cash of the swaption trade.
currentCash(ResolvedSwaptionTrade, LocalDate) - Method in class com.opengamma.strata.pricer.swaption.HullWhiteSwaptionPhysicalTradePricer: Calculates the current cash of the swaption trade.
currentCash(ResolvedSwaptionTrade, LocalDate) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionTradePricer: Calculates the current cash of the swaption trade.
currentCash(ResolvedSwaptionTrade, LocalDate) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionTradePricer: Calculates the current cash of the swaption trade.
currentCash(ResolvedSwaptionTrade, LocalDate) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionTradePricer: Calculates the current cash of the swaption trade.
curve() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities.Meta: The meta-property for the curve property.
curve() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities.Meta: The meta-property for the curve property.
curve() - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors.Meta: The meta-property for the curve property.
curve(Curve) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities.Builder: Sets the Black volatility curve.
curve() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities.Meta: The meta-property for the curve property.
curve() - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates.Meta: The meta-property for the curve property.
curve() - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues.Meta: The meta-property for the curve property.
curve() - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors.Meta: The meta-property for the curve property.
curve() - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors.Meta: The meta-property for the curve property.
curve() - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors.Meta: The meta-property for the curve property.
curveCurrency() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity.Meta: The meta-property for the curveCurrency property.
curveCurrency() - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity.Meta: The meta-property for the curveCurrency property.
curveCurrency() - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity.Meta: The meta-property for the curveCurrency property.
CurveGammaCalculator - Class in com.opengamma.strata.pricer.sensitivity: Computes the gamma-related values for the rates curve parameters.
CurveSensitivityUtils - Class in com.opengamma.strata.pricer.sensitivity: Utilities to transform sensitivities.

D

data(MarketDataId<T>) - Method in interface com.opengamma.strata.pricer.BaseProvider: Gets market data of a specific type.
data(MarketDataId<T>) - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider
data(MarketDataId<T>) - Method in interface com.opengamma.strata.pricer.bond.LegalEntityDiscountingProvider: Gets market data of a specific type.
data(MarketDataId<T>) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
dataSensitivityAlpha() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities.Meta: The meta-property for the dataSensitivityAlpha property.
dataSensitivityAlpha(List<DoubleArray>) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Builder: Sets the sensitivity of the Alpha parameters to the raw data used for calibration.
dataSensitivityAlpha(DoubleArray...) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Builder: Sets the dataSensitivityAlpha property in the builder from an array of objects.
dataSensitivityAlpha() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Meta: The meta-property for the dataSensitivityAlpha property.
dataSensitivityAlpha(List<DoubleArray>) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Builder: Sets the sensitivity of the Alpha parameters to the raw data used for calibration.
dataSensitivityAlpha(DoubleArray...) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Builder: Sets the dataSensitivityAlpha property in the builder from an array of objects.
dataSensitivityAlpha() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Meta: The meta-property for the dataSensitivityAlpha property.
dataSensitivityBeta() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities.Meta: The meta-property for the dataSensitivityBeta property.
dataSensitivityBeta(List<DoubleArray>) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Builder: Sets the sensitivity of the Beta parameters to the raw data used for calibration.
dataSensitivityBeta(DoubleArray...) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Builder: Sets the dataSensitivityBeta property in the builder from an array of objects.
dataSensitivityBeta() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Meta: The meta-property for the dataSensitivityBeta property.
dataSensitivityBeta(List<DoubleArray>) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Builder: Sets the sensitivity of the Beta parameters to the raw data used for calibration.
dataSensitivityBeta(DoubleArray...) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Builder: Sets the dataSensitivityBeta property in the builder from an array of objects.
dataSensitivityBeta() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Meta: The meta-property for the dataSensitivityBeta property.
dataSensitivityNu() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities.Meta: The meta-property for the dataSensitivityNu property.
dataSensitivityNu(List<DoubleArray>) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Builder: Sets the sensitivity of the Nu parameters to the raw data used for calibration.
dataSensitivityNu(DoubleArray...) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Builder: Sets the dataSensitivityNu property in the builder from an array of objects.
dataSensitivityNu() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Meta: The meta-property for the dataSensitivityNu property.
dataSensitivityNu(List<DoubleArray>) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Builder: Sets the sensitivity of the Nu parameters to the raw data used for calibration.
dataSensitivityNu(DoubleArray...) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Builder: Sets the dataSensitivityNu property in the builder from an array of objects.
dataSensitivityNu() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Meta: The meta-property for the dataSensitivityNu property.
dataSensitivityRho() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities.Meta: The meta-property for the dataSensitivityRho property.
dataSensitivityRho(List<DoubleArray>) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Builder: Sets the sensitivity of the Rho parameters to the raw data used for calibration.
dataSensitivityRho(DoubleArray...) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Builder: Sets the dataSensitivityRho property in the builder from an array of objects.
dataSensitivityRho() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Meta: The meta-property for the dataSensitivityRho property.
dataSensitivityRho(List<DoubleArray>) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Builder: Sets the sensitivity of the Rho parameters to the raw data used for calibration.
dataSensitivityRho(DoubleArray...) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Builder: Sets the dataSensitivityRho property in the builder from an array of objects.
dataSensitivityRho() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Meta: The meta-property for the dataSensitivityRho property.
dayCount(DayCount) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Builder: Sets the day count to measure the time.
dayCount() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Meta: The meta-property for the dayCount property.
dayCount(DayCount) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Builder: Sets the day count to measure the time in the expiry dimension.
dayCount() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Meta: The meta-property for the dayCount property.
dayCount(DayCount) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder: Sets the day count to measure the time in the expiry dimension.
dayCount() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta: The meta-property for the dayCount property.
dayCount(DayCount) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder: Sets the day count to measure the time in the expiry dimension.
dayCount() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta: The meta-property for the dayCount property.
dayCount() - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta: The meta-property for the dayCount property.
dayCount() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure.Meta: The meta-property for the dayCount property.
dayCount() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta: The meta-property for the dayCount property.
dayCount() - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition.Meta: The meta-property for the dayCount property.
DEFAULT - Static variable in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.bond.BlackFixedCouponBondOptionPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.bond.DiscountingBillProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.bond.DiscountingBillTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.bond.DiscountingBondFutureProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.bond.DiscountingBondFutureTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondPaymentPeriodPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondPaymentPeriodPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.BlackIborCapFloorLegPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.BlackIborCapFloorProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.BlackIborCapFloorTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletPeriodPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.NormalIborCapFloorLegPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.NormalIborCapFloorProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.NormalIborCapFloorTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletPeriodPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.SabrIborCapFloorLegPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.SabrIborCapFloorProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.SabrIborCapFloorTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletPeriodPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapper: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrator: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.SabrOvernightInArrearsCapletFloorletPeriodPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapper: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.VerticalSpreadVolatilityIborCapletFloorletBinaryPeriodPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorLegPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapletFloorletPeriodPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.capfloor.VolatilityOvernightInArrearsCapletFloorletPeriodPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.cms.DiscountingCmsProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.cms.DiscountingCmsTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.credit.AnalyticSpreadSensitivityCalculator: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.credit.CdsMarketQuoteConverter: The default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.credit.FiniteDifferenceSpreadSensitivityCalculator: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.credit.IsdaCdsProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.credit.IsdaCdsTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.deposit.DiscountingTermDepositProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.deposit.DiscountingTermDepositTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.DiscountingPaymentPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.dsf.DiscountingDsfProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.dsf.DiscountingDsfTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.fra.DiscountingFraProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.fra.DiscountingFraTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.fx.DiscountingFxNdfProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.fx.DiscountingFxNdfTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.fx.DiscountingFxSingleProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.fx.DiscountingFxSingleTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.fx.DiscountingFxSwapProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.fx.DiscountingFxSwapTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.fxopt.VannaVolgaFxVanillaOptionProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.fxopt.VannaVolgaFxVanillaOptionTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.cms.DiscountingCmsPeriodPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.rate.ApproxForwardOvernightAveragedRateComputationFn: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.rate.DispatchingRateComputationFn: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.rate.ForwardIborAveragedRateComputationFn: Default instance.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.rate.ForwardIborInterpolatedRateComputationFn: Default instance.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.rate.ForwardIborRateComputationFn: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.rate.ForwardInflationEndInterpolatedRateComputationFn: Default instance.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.rate.ForwardInflationEndMonthRateComputationFn: Default instance.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.rate.ForwardInflationInterpolatedRateComputationFn: Default instance.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.rate.ForwardInflationMonthlyRateComputationFn: Default instance.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.rate.ForwardOvernightAveragedDailyRateComputationFn: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.rate.ForwardOvernightAveragedRateComputationFn: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.rate.ForwardOvernightCompoundedAnnualRateComputationFn: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.rate.ForwardOvernightCompoundedRateComputationFn: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: Default instance.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.swap.DiscountingFxResetNotionalExchangePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.swap.DiscountingKnownAmountPaymentPeriodPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.swap.DiscountingNotionalExchangePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.swap.DiscountingRatePaymentPeriodPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentEventPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentPeriodPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganNormalVolatilityFormula: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProvider: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction: Default implementation with q = 1;
DEFAULT - Static variable in class com.opengamma.strata.pricer.impl.volatility.smile.SsviVolatilityFunction: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.index.DiscountingIborFutureProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.index.DiscountingIborFutureTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.index.DiscountingOvernightFutureProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.index.DiscountingOvernightFutureTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.index.HullWhiteIborFutureProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.index.HullWhiteIborFutureTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.payment.DiscountingBulletPaymentTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.sensitivity.CurveGammaCalculator: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.sensitivity.MarketQuoteSensitivityCalculator: The default instance.
DEFAULT - Static variable in class com.opengamma.strata.pricer.sensitivity.NotionalEquivalentCalculator: The default instance.
DEFAULT - Static variable in class com.opengamma.strata.pricer.sensitivity.RatesFiniteDifferenceSensitivityCalculator: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swaption.BlackSwaptionCashParYieldProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swaption.BlackSwaptionPhysicalProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swaption.BlackSwaptionTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swaption.HullWhiteSwaptionPhysicalProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swaption.HullWhiteSwaptionPhysicalTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swaption.NormalSwaptionCashParYieldProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swaption.NormalSwaptionPhysicalProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swaption.NormalSwaptionTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swaption.SabrSwaptionCalibrator: The default instance of the class.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swaption.SabrSwaptionCashParYieldProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swaption.SabrSwaptionPhysicalProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swaption.SabrSwaptionRawDataSensitivityCalculator: The default instance.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swaption.SabrSwaptionTradePricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionPhysicalProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionProductPricer: Default implementation.
DEFAULT - Static variable in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionTradePricer: Default implementation.
delta(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionProductPricer: Calculates the delta of the FX barrier option product.
delta(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionProductPricer: Calculates the delta of the foreign exchange vanilla option product.
delta() - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters.Meta: The meta-property for the delta property.
delta(double, double, double, double, boolean) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the forward driftless delta.
delta(double, double, double, double, double, double, boolean) - Static method in class com.opengamma.strata.pricer.impl.option.BlackScholesFormulaRepository: Computes the spot delta.
delta(double, double, double, double, PutCall) - Static method in class com.opengamma.strata.pricer.impl.option.NormalFormulaRepository: Computes the delta.
deltaStickyStrike(ResolvedBondFutureOption, LegalEntityDiscountingProvider, BlackBondFutureVolatilities) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedProductPricer: Calculates the delta of the bond future option product.
deltaStickyStrike(ResolvedBondFutureOption, LegalEntityDiscountingProvider, BlackBondFutureVolatilities, double) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedProductPricer: Calculates the delta of the bond future option product based on the price of the underlying future.
deltaStickyStrike(ResolvedIborFutureOption, RatesProvider, NormalIborFutureOptionVolatilities) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedProductPricer: Calculates the delta of the Ibor future option product.
deltaStickyStrike(ResolvedIborFutureOption, RatesProvider, NormalIborFutureOptionVolatilities, double) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedProductPricer: Calculates the delta of the Ibor future option product based on the price of the underlying future.
derivative(ResolvedTrade, RatesProvider, List<CurveParameterSize>) - Method in class com.opengamma.strata.pricer.curve.CalibrationMeasures: Calculates the sensitivity with respect to the rates provider.
DirectIborCapletFloorletFlatVolatilityCalibrator - Class in com.opengamma.strata.pricer.capfloor: Caplet volatilities calibration to cap volatilities.
DirectIborCapletFloorletFlatVolatilityDefinition - Class in com.opengamma.strata.pricer.capfloor: Definition of caplet volatilities calibration.
DirectIborCapletFloorletFlatVolatilityDefinition.Builder - Class in com.opengamma.strata.pricer.capfloor: The bean-builder for DirectIborCapletFloorletFlatVolatilityDefinition.
DirectIborCapletFloorletFlatVolatilityDefinition.Meta - Class in com.opengamma.strata.pricer.capfloor: The meta-bean for DirectIborCapletFloorletFlatVolatilityDefinition.
DirectIborCapletFloorletVolatilityCalibrator - Class in com.opengamma.strata.pricer.capfloor: Caplet volatilities calibration to cap volatilities.
DirectIborCapletFloorletVolatilityDefinition - Class in com.opengamma.strata.pricer.capfloor: Definition of caplet volatilities calibration.
DirectIborCapletFloorletVolatilityDefinition.Builder - Class in com.opengamma.strata.pricer.capfloor: The bean-builder for DirectIborCapletFloorletVolatilityDefinition.
DirectIborCapletFloorletVolatilityDefinition.Meta - Class in com.opengamma.strata.pricer.capfloor: The meta-bean for DirectIborCapletFloorletVolatilityDefinition.
dirtyNominalPriceFromCleanNominalPrice(ResolvedCapitalIndexedBond, RatesProvider, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the dirty nominal price of the bond from its settlement date and clean nominal price.
dirtyNominalPriceFromCurves(ResolvedCapitalIndexedBond, RatesProvider, LegalEntityDiscountingProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the dirty price of the bond security.
dirtyNominalPriceFromCurvesWithZSpread(ResolvedCapitalIndexedBond, RatesProvider, LegalEntityDiscountingProvider, ReferenceData, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the dirty price of the bond security with z-spread.
dirtyNominalPriceSensitivity(ResolvedCapitalIndexedBond, RatesProvider, LegalEntityDiscountingProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the dirty price sensitivity of the bond security.
dirtyNominalPriceSensitivityWithZSpread(ResolvedCapitalIndexedBond, RatesProvider, LegalEntityDiscountingProvider, ReferenceData, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the dirty price sensitivity of the bond security with z-spread.
dirtyPriceFromCleanPrice(ResolvedFixedCouponBond, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the dirty price of the fixed coupon bond from its settlement date and clean price.
dirtyPriceFromCurves(ResolvedFixedCouponBond, LegalEntityDiscountingProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the dirty price of the fixed coupon bond.
dirtyPriceFromCurves(ResolvedFixedCouponBond, LegalEntityDiscountingProvider, LocalDate) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the dirty price of the fixed coupon bond under the specified settlement date.
dirtyPriceFromCurvesWithZSpread(ResolvedFixedCouponBond, LegalEntityDiscountingProvider, ReferenceData, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the dirty price of the fixed coupon bond with z-spread.
dirtyPriceFromCurvesWithZSpread(ResolvedFixedCouponBond, LegalEntityDiscountingProvider, double, CompoundedRateType, int, LocalDate) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the dirty price of the fixed coupon bond under the specified settlement date with z-spread.
dirtyPriceFromRealYield(ResolvedCapitalIndexedBond, RatesProvider, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Computes the dirty price from the conventional real yield.
dirtyPriceFromStandardYield(ResolvedCapitalIndexedBond, RatesProvider, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Computes the dirty price from the standard yield.
dirtyPriceFromYield(ResolvedFixedCouponBond, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the dirty price of the fixed coupon bond from yield.
dirtyPriceFromYieldAd(ResolvedFixedCouponBond, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the dirty price of the fixed coupon bond from yield and its derivative wrt to the yield.
dirtyPriceSensitivity(ResolvedFixedCouponBond, LegalEntityDiscountingProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the dirty price sensitivity of the fixed coupon bond product.
dirtyPriceSensitivityWithZspread(ResolvedFixedCouponBond, LegalEntityDiscountingProvider, ReferenceData, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the dirty price sensitivity of the fixed coupon bond with z-spread.
dirtyRealPriceFromCleanRealPrice(ResolvedCapitalIndexedBond, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the dirty real price of the bond from its settlement date and clean real price.
discountCurve(Currency, Curve) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProviderBuilder: Adds a discount curve to the provider.
discountCurves(Map<Currency, CreditDiscountFactors>) - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider.Builder: Sets the discounting curves.
discountCurves() - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider.Meta: The meta-property for the discountCurves property.
discountCurves() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider.Meta: The meta-property for the discountCurves property.
discountCurves(Map<Currency, ? extends Curve>) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProviderBuilder: Adds discount curves to the provider.
discountFactor(Currency, LocalDate) - Method in interface com.opengamma.strata.pricer.BaseProvider: Gets the discount factor applicable for a currency.
discountFactor(LocalDate) - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors: Gets the discount factor.
discountFactor(LocalDate) - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors: Gets the discount factor.
discountFactor(LocalDate) - Method in interface com.opengamma.strata.pricer.credit.CreditDiscountFactors: Gets the discount factor for the specified date.
discountFactor(double) - Method in interface com.opengamma.strata.pricer.credit.CreditDiscountFactors: Gets the discount factor for specified year fraction.
discountFactor(double) - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
discountFactor(LocalDate) - Method in interface com.opengamma.strata.pricer.DiscountFactors: Gets the discount factor for the specified date.
discountFactor(double) - Method in interface com.opengamma.strata.pricer.DiscountFactors: Gets the discount factor for specified year fraction.
discountFactor() - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData.Meta: The meta-property for the discountFactor property.
discountFactor(double) - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors
discountFactor(double) - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors
discountFactor(double) - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
discountFactors(Currency) - Method in interface com.opengamma.strata.pricer.BaseProvider: Gets the discount factors for a currency.
discountFactors() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors.Meta: The meta-property for the discountFactors property.
discountFactors() - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors.Meta: The meta-property for the discountFactors property.
discountFactors(Currency) - Method in interface com.opengamma.strata.pricer.credit.CreditRatesProvider: Gets the discount factors for a currency.
discountFactors(Currency) - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider
DiscountFactors - Interface in com.opengamma.strata.pricer: Provides access to discount factors for a single currency.
discountFactors() - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates.Meta: The meta-property for the discountFactors property.
discountFactors() - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates.Meta: The meta-property for the discountFactors property.
discountFactors(Currency) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
discountFactorTimeDerivative(double) - Method in interface com.opengamma.strata.pricer.DiscountFactors: Returns the discount factor derivative with respect to the year fraction or time.
discountFactorTimeDerivative(double) - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors
discountFactorTimeDerivative(double) - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors
discountFactorTimeDerivative(double) - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
discountFactorWithSpread(LocalDate, double, CompoundedRateType, int) - Method in interface com.opengamma.strata.pricer.DiscountFactors: Gets the discount factor for the specified date with z-spread.
discountFactorWithSpread(double, double, CompoundedRateType, int) - Method in interface com.opengamma.strata.pricer.DiscountFactors: Gets the discount factor for the specified year fraction with z-spread.
DiscountFxForwardRates - Class in com.opengamma.strata.pricer.fx: Provides access to discount factors for currencies.
DiscountFxForwardRates.Meta - Class in com.opengamma.strata.pricer.fx: The meta-bean for DiscountFxForwardRates.
DiscountIborIndexRates - Class in com.opengamma.strata.pricer.rate: An Ibor index curve providing rates from discount factors.
DiscountIborIndexRates.Meta - Class in com.opengamma.strata.pricer.rate: The meta-bean for DiscountIborIndexRates.
DiscountingBillProductPricer - Class in com.opengamma.strata.pricer.bond: Pricer for bill products.
DiscountingBillProductPricer() - Constructor for class com.opengamma.strata.pricer.bond.DiscountingBillProductPricer
DiscountingBillTradePricer - Class in com.opengamma.strata.pricer.bond: Pricer for bill trades.
DiscountingBillTradePricer(DiscountingBillProductPricer, DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.bond.DiscountingBillTradePricer: Creates an instance.
DiscountingBondFutureProductPricer - Class in com.opengamma.strata.pricer.bond: Pricer for for bond future products.
DiscountingBondFutureProductPricer(DiscountingFixedCouponBondProductPricer) - Constructor for class com.opengamma.strata.pricer.bond.DiscountingBondFutureProductPricer: Creates an instance.
DiscountingBondFutureTradePricer - Class in com.opengamma.strata.pricer.bond: Pricer implementation for bond future trades.
DiscountingBondFutureTradePricer(DiscountingBondFutureProductPricer) - Constructor for class com.opengamma.strata.pricer.bond.DiscountingBondFutureTradePricer: Creates an instance.
DiscountingBulletPaymentTradePricer - Class in com.opengamma.strata.pricer.payment: Pricer for for bullet payment trades.
DiscountingBulletPaymentTradePricer(DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.payment.DiscountingBulletPaymentTradePricer: Creates an instance.
DiscountingCapitalIndexedBondPaymentPeriodPricer - Class in com.opengamma.strata.pricer.bond: Pricer implementation for bond payment periods based on a capital indexed coupon.
DiscountingCapitalIndexedBondPaymentPeriodPricer(RateComputationFn<RateComputation>) - Constructor for class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondPaymentPeriodPricer: Creates an instance.
DiscountingCapitalIndexedBondProductPricer - Class in com.opengamma.strata.pricer.bond: Pricer for capital indexed bond products.
DiscountingCapitalIndexedBondProductPricer(DiscountingCapitalIndexedBondPaymentPeriodPricer) - Constructor for class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Creates an instance.
DiscountingCapitalIndexedBondTradePricer - Class in com.opengamma.strata.pricer.bond: Pricer for for capital index bond trades.
DiscountingCapitalIndexedBondTradePricer(DiscountingCapitalIndexedBondProductPricer) - Constructor for class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondTradePricer: Creates an instance.
DiscountingCmsLegPricer - Class in com.opengamma.strata.pricer.cms: Pricer for CMS legs by simple forward estimation.
DiscountingCmsLegPricer(DiscountingCmsPeriodPricer) - Constructor for class com.opengamma.strata.pricer.cms.DiscountingCmsLegPricer: Creates an instance.
DiscountingCmsPeriodPricer - Class in com.opengamma.strata.pricer.impl.cms: Computes the price of a CMS coupon by simple forward estimation.
DiscountingCmsPeriodPricer(DiscountingSwapProductPricer) - Constructor for class com.opengamma.strata.pricer.impl.cms.DiscountingCmsPeriodPricer: Creates an instance.
DiscountingCmsProductPricer - Class in com.opengamma.strata.pricer.cms: Computes the price of a CMS product by simple forward estimation.
DiscountingCmsProductPricer(DiscountingSwapProductPricer) - Constructor for class com.opengamma.strata.pricer.cms.DiscountingCmsProductPricer: Creates an instance.
DiscountingCmsTradePricer - Class in com.opengamma.strata.pricer.cms: Pricer for CMS trade by simple forward estimation.
DiscountingCmsTradePricer(DiscountingSwapProductPricer, DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.cms.DiscountingCmsTradePricer: Creates an instance.
DiscountingDsfProductPricer - Class in com.opengamma.strata.pricer.dsf: Pricer for for Deliverable Swap Futures (DSFs).
DiscountingDsfProductPricer(DiscountingSwapProductPricer) - Constructor for class com.opengamma.strata.pricer.dsf.DiscountingDsfProductPricer: Creates an instance.
DiscountingDsfTradePricer - Class in com.opengamma.strata.pricer.dsf: Pricer implementation for Deliverable Swap Futures (DSFs).
DiscountingDsfTradePricer(DiscountingDsfProductPricer) - Constructor for class com.opengamma.strata.pricer.dsf.DiscountingDsfTradePricer: Creates an instance.
DiscountingFixedCouponBondPaymentPeriodPricer - Class in com.opengamma.strata.pricer.bond: Pricer implementation for bond payment periods based on a fixed coupon.
DiscountingFixedCouponBondPaymentPeriodPricer() - Constructor for class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondPaymentPeriodPricer: Creates an instance.
DiscountingFixedCouponBondProductPricer - Class in com.opengamma.strata.pricer.bond: Pricer for fixed coupon bond products.
DiscountingFixedCouponBondProductPricer(DiscountingFixedCouponBondPaymentPeriodPricer, DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Creates an instance.
DiscountingFixedCouponBondTradePricer - Class in com.opengamma.strata.pricer.bond: Pricer for fixed coupon bond trades.
DiscountingFixedCouponBondTradePricer(DiscountingFixedCouponBondProductPricer, DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondTradePricer: Creates an instance.
DiscountingFraProductPricer - Class in com.opengamma.strata.pricer.fra: Pricer for for forward rate agreement (FRA) products.
DiscountingFraProductPricer(RateComputationFn<RateComputation>) - Constructor for class com.opengamma.strata.pricer.fra.DiscountingFraProductPricer: Creates an instance.
DiscountingFraTradePricer - Class in com.opengamma.strata.pricer.fra: Pricer for for forward rate agreement (FRA) trades.
DiscountingFraTradePricer(DiscountingFraProductPricer) - Constructor for class com.opengamma.strata.pricer.fra.DiscountingFraTradePricer: Creates an instance.
DiscountingFxNdfProductPricer - Class in com.opengamma.strata.pricer.fx: Pricer for FX non-deliverable forward (NDF) products.
DiscountingFxNdfProductPricer() - Constructor for class com.opengamma.strata.pricer.fx.DiscountingFxNdfProductPricer: Creates an instance.
DiscountingFxNdfTradePricer - Class in com.opengamma.strata.pricer.fx: Pricer for FX non-deliverable forward (NDF) trades.
DiscountingFxNdfTradePricer(DiscountingFxNdfProductPricer) - Constructor for class com.opengamma.strata.pricer.fx.DiscountingFxNdfTradePricer: Creates an instance.
DiscountingFxResetNotionalExchangePricer - Class in com.opengamma.strata.pricer.impl.swap: Pricer implementation for the exchange of FX reset notionals.
DiscountingFxResetNotionalExchangePricer() - Constructor for class com.opengamma.strata.pricer.impl.swap.DiscountingFxResetNotionalExchangePricer: Creates an instance.
DiscountingFxSingleProductPricer - Class in com.opengamma.strata.pricer.fx: Pricer for foreign exchange transaction products.
DiscountingFxSingleProductPricer(DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.fx.DiscountingFxSingleProductPricer: Creates an instance.
DiscountingFxSingleTradePricer - Class in com.opengamma.strata.pricer.fx: Pricer for foreign exchange transaction trades.
DiscountingFxSingleTradePricer(DiscountingFxSingleProductPricer) - Constructor for class com.opengamma.strata.pricer.fx.DiscountingFxSingleTradePricer: Creates an instance.
DiscountingFxSwapProductPricer - Class in com.opengamma.strata.pricer.fx: Pricer for foreign exchange swap transaction products.
DiscountingFxSwapProductPricer(DiscountingFxSingleProductPricer) - Constructor for class com.opengamma.strata.pricer.fx.DiscountingFxSwapProductPricer: Creates an instance.
DiscountingFxSwapTradePricer - Class in com.opengamma.strata.pricer.fx: Pricer for foreign exchange swap transaction trades.
DiscountingFxSwapTradePricer(DiscountingFxSwapProductPricer) - Constructor for class com.opengamma.strata.pricer.fx.DiscountingFxSwapTradePricer: Creates an instance.
DiscountingIborFixingDepositProductPricer - Class in com.opengamma.strata.pricer.deposit: The methods associated to the pricing of Ibor fixing deposit by discounting.
DiscountingIborFixingDepositProductPricer() - Constructor for class com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositProductPricer: Creates an instance.
DiscountingIborFixingDepositTradePricer - Class in com.opengamma.strata.pricer.deposit: The methods associated to the pricing of Ibor fixing deposit trades by discounting.
DiscountingIborFixingDepositTradePricer(DiscountingIborFixingDepositProductPricer) - Constructor for class com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositTradePricer: Creates an instance.
DiscountingIborFutureProductPricer - Class in com.opengamma.strata.pricer.index: Pricer for for Ibor future products.
DiscountingIborFutureProductPricer() - Constructor for class com.opengamma.strata.pricer.index.DiscountingIborFutureProductPricer: Creates an instance.
DiscountingIborFutureTradePricer - Class in com.opengamma.strata.pricer.index: Pricer implementation for Ibor future trades.
DiscountingIborFutureTradePricer(DiscountingIborFutureProductPricer) - Constructor for class com.opengamma.strata.pricer.index.DiscountingIborFutureTradePricer: Creates an instance.
DiscountingKnownAmountPaymentPeriodPricer - Class in com.opengamma.strata.pricer.impl.swap: Pricer implementation for swap payment periods based on a known amount.
DiscountingKnownAmountPaymentPeriodPricer(DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.impl.swap.DiscountingKnownAmountPaymentPeriodPricer: Creates an instance.
DiscountingNotionalExchangePricer - Class in com.opengamma.strata.pricer.impl.swap: Pricer implementation for the exchange of notionals.
DiscountingNotionalExchangePricer(DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.impl.swap.DiscountingNotionalExchangePricer: Creates an instance.
DiscountingOvernightFutureProductPricer - Class in com.opengamma.strata.pricer.index: Pricer for for Overnight rate future products.
DiscountingOvernightFutureProductPricer(RateComputationFn<RateComputation>) - Constructor for class com.opengamma.strata.pricer.index.DiscountingOvernightFutureProductPricer: Creates an instance.
DiscountingOvernightFutureTradePricer - Class in com.opengamma.strata.pricer.index: Pricer implementation for Overnight rate future trades.
DiscountingOvernightFutureTradePricer(DiscountingOvernightFutureProductPricer) - Constructor for class com.opengamma.strata.pricer.index.DiscountingOvernightFutureTradePricer: Creates an instance.
DiscountingPaymentPricer - Class in com.opengamma.strata.pricer: Pricer for simple payments.
DiscountingPaymentPricer() - Constructor for class com.opengamma.strata.pricer.DiscountingPaymentPricer: Creates an instance.
DiscountingRatePaymentPeriodPricer - Class in com.opengamma.strata.pricer.impl.swap: Pricer implementation for swap payment periods based on a rate.
DiscountingRatePaymentPeriodPricer(RateComputationFn<RateComputation>) - Constructor for class com.opengamma.strata.pricer.impl.swap.DiscountingRatePaymentPeriodPricer: Creates an instance.
DiscountingSwapLegPricer - Class in com.opengamma.strata.pricer.swap: Pricer for for rate swap legs.
DiscountingSwapLegPricer(SwapPaymentPeriodPricer<SwapPaymentPeriod>, SwapPaymentEventPricer<SwapPaymentEvent>) - Constructor for class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Creates an instance.
DiscountingSwapProductPricer - Class in com.opengamma.strata.pricer.swap: Pricer for for rate swap products.
DiscountingSwapProductPricer(DiscountingSwapLegPricer) - Constructor for class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Creates an instance.
DiscountingSwapTradePricer - Class in com.opengamma.strata.pricer.swap: Pricer for for rate swap trades.
DiscountingSwapTradePricer(DiscountingSwapProductPricer) - Constructor for class com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer: Creates an instance.
DiscountingTermDepositProductPricer - Class in com.opengamma.strata.pricer.deposit: The methods associated to the pricing of term deposit by discounting.
DiscountingTermDepositProductPricer() - Constructor for class com.opengamma.strata.pricer.deposit.DiscountingTermDepositProductPricer: Creates an instance.
DiscountingTermDepositTradePricer - Class in com.opengamma.strata.pricer.deposit: The methods associated to the pricing of term deposit by discounting.
DiscountingTermDepositTradePricer(DiscountingTermDepositProductPricer) - Constructor for class com.opengamma.strata.pricer.deposit.DiscountingTermDepositTradePricer: Creates an instance.
DiscountOvernightIndexRates - Class in com.opengamma.strata.pricer.rate: An Overnight index curve providing rates from discount factors.
DiscountOvernightIndexRates.Meta - Class in com.opengamma.strata.pricer.rate: The meta-bean for DiscountOvernightIndexRates.
DispatchingRateComputationFn - Class in com.opengamma.strata.pricer.impl.rate: Rate computation implementation using multiple dispatch.
DispatchingRateComputationFn(RateComputationFn<IborRateComputation>, RateComputationFn<IborInterpolatedRateComputation>, RateComputationFn<IborAveragedRateComputation>, RateComputationFn<OvernightCompoundedRateComputation>, RateComputationFn<OvernightCompoundedAnnualRateComputation>, RateComputationFn<OvernightAveragedRateComputation>, RateComputationFn<OvernightAveragedDailyRateComputation>, RateComputationFn<InflationMonthlyRateComputation>, RateComputationFn<InflationInterpolatedRateComputation>, RateComputationFn<InflationEndMonthRateComputation>, RateComputationFn<InflationEndInterpolatedRateComputation>) - Constructor for class com.opengamma.strata.pricer.impl.rate.DispatchingRateComputationFn: Creates an instance.
DispatchingSwapPaymentEventPricer - Class in com.opengamma.strata.pricer.impl.swap: Pricer implementation for payment events using multiple dispatch.
DispatchingSwapPaymentEventPricer(SwapPaymentEventPricer<NotionalExchange>, SwapPaymentEventPricer<FxResetNotionalExchange>) - Constructor for class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentEventPricer: Creates an instance.
DispatchingSwapPaymentPeriodPricer - Class in com.opengamma.strata.pricer.impl.swap: Pricer implementation for payment periods using multiple dispatch.
DispatchingSwapPaymentPeriodPricer(SwapPaymentPeriodPricer<RatePaymentPeriod>, SwapPaymentPeriodPricer<KnownAmountSwapPaymentPeriod>) - Constructor for class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentPeriodPricer: Creates an instance.
DoublesScheduleGenerator - Class in com.opengamma.strata.pricer.credit: The Doubles schedule generator.
driftlessTheta(double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the forward driftless theta.
dualCharm(double, double, double, double, double, double, boolean) - Static method in class com.opengamma.strata.pricer.impl.option.BlackScholesFormulaRepository: Computes the dual charm.
dualDelta(double, double, double, double, boolean) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the driftless dual delta.
dualDelta(double, double, double, double, double, double, boolean) - Static method in class com.opengamma.strata.pricer.impl.option.BlackScholesFormulaRepository: Computes the dual delta.
dualGamma(double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the driftless dual gamma.
dualGamma(double, double, double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackScholesFormulaRepository: Computes the dual gamma.
dualVanna(double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the driftless dual vanna.
dualVanna(double, double, double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackScholesFormulaRepository: Computes the dual vanna.
DupireLocalVolatilityCalculator - Class in com.opengamma.strata.pricer.impl.volatility.local: Local volatility computation based on the exact formula.
DupireLocalVolatilityCalculator() - Constructor for class com.opengamma.strata.pricer.impl.volatility.local.DupireLocalVolatilityCalculator
duration() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity.Meta: The meta-property for the duration property.

E

effectiveSabr(SabrFormulaData, double, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction: The effective SABR parameters from the raw SABR parameters and the times.
effectiveSabrAd(SabrFormulaData, double, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction: The effective SABR parameters from the raw SABR parameters and the times.
effectiveSabrAfterStart(SabrFormulaData, double, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction: The effective SABR parameters from the raw SABR parameters and the times.
effectiveSabrAfterStartAd(SabrFormulaData, double, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction: The effective SABR parameters and their derivatives from the raw SABR parameters and the times.
effectiveSabrBeforeStart(SabrFormulaData, double, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction: The effective SABR parameters from the raw SABR parameters and the times.
effectiveSabrBeforeStartAd(SabrFormulaData, double, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction: The effective SABR parameters and their derivatives from the raw SABR parameters and the times.
endDate() - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity.Meta: The meta-property for the endDate property.
equals(Object) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities
equals(Object) - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity
equals(Object) - Method in class com.opengamma.strata.pricer.bond.BondFutureVolatilitiesId
equals(Object) - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity
equals(Object) - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider
equals(Object) - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors
equals(Object) - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity
equals(Object) - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities
equals(Object) - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors
equals(Object) - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity
equals(Object) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
equals(Object) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
equals(Object) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition
equals(Object) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition
equals(Object) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts
equals(Object) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts
equals(Object) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity
equals(Object) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity
equals(Object) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilitiesId
equals(Object) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityCalibrationResult
equals(Object) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
equals(Object) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
equals(Object) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
equals(Object) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition
equals(Object) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition
equals(Object) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
equals(Object) - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
equals(Object) - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition
equals(Object) - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata
equals(Object) - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata
equals(Object) - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates
equals(Object) - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity
equals(Object) - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider
equals(Object) - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
equals(Object) - Method in class com.opengamma.strata.pricer.credit.JumpToDefault
equals(Object) - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities
equals(Object) - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates
equals(Object) - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates
equals(Object) - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity
equals(Object) - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity
equals(Object) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities
equals(Object) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities
equals(Object) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities
equals(Object) - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity
equals(Object) - Method in class com.opengamma.strata.pricer.fxopt.FxOptionVolatilitiesId
equals(Object) - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata
equals(Object) - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure
equals(Object) - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData
equals(Object) - Method in class com.opengamma.strata.pricer.fxopt.SmileAndBucketedSensitivities
equals(Object) - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters
equals(Object) - Method in class com.opengamma.strata.pricer.fxopt.VolatilityAndBucketedSensitivities
equals(Object) - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel
equals(Object) - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction
equals(Object) - Method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction
equals(Object) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData
equals(Object) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProvider
equals(Object) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction
equals(Object) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData
equals(Object) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviVolatilityFunction
equals(Object) - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity
equals(Object) - Method in class com.opengamma.strata.pricer.index.IborFutureOptionVolatilitiesId
equals(Object) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities
equals(Object) - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParameters
equals(Object) - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider
equals(Object) - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters
equals(Object) - Method in class com.opengamma.strata.pricer.model.SabrParameters
equals(Object) - Method in class com.opengamma.strata.pricer.option.RawOptionData
equals(Object) - Method in class com.opengamma.strata.pricer.option.TenorRawOptionData
equals(Object) - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates
equals(Object) - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
equals(Object) - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates
equals(Object) - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates
equals(Object) - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues
equals(Object) - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity
equals(Object) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
equals(Object) - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity
equals(Object) - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity
equals(Object) - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates
equals(Object) - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues
equals(Object) - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors
equals(Object) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
equals(Object) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
equals(Object) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
equals(Object) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
equals(Object) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
equals(Object) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition
equals(Object) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity
equals(Object) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity
equals(Object) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata
equals(Object) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata
equals(Object) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata
equals(Object) - Method in class com.opengamma.strata.pricer.swaption.SwaptionVolatilitiesId
equals(Object) - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors
equals(Object) - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
equals(Object) - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity
EuropeanVanillaOptionFunction - Class in com.opengamma.strata.pricer.impl.tree: European vanilla option function.
EuropeanVanillaOptionFunction.Meta - Class in com.opengamma.strata.pricer.impl.tree: The meta-bean for EuropeanVanillaOptionFunction.
expectedLoss(ResolvedCds, CreditRatesProvider) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsProductPricer: Calculates the expected loss of the CDS product.
expectedLoss(ResolvedCdsTrade, CreditRatesProvider) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsTradePricer: Calculates the expected loss of the underlying product.
expectedLoss(ResolvedCdsIndex, CreditRatesProvider) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexProductPricer: Calculates the expected loss of the CDS index product.
expectedLoss(ResolvedCdsIndexTrade, CreditRatesProvider) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexTradePricer: Calculates the expected loss of the underlying product.
expiry() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity.Meta: The meta-property for the expiry property.
expiry() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity.Meta: The meta-property for the expiry property.
expiry() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity.Meta: The meta-property for the expiry property.
expiry() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity.Meta: The meta-property for the expiry property.
expiry() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity.Meta: The meta-property for the expiry property.
expiry() - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters.Meta: The meta-property for the expiry property.
expiry() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity.Meta: The meta-property for the expiry property.
expiry() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity.Meta: The meta-property for the expiry property.
expiry() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity.Meta: The meta-property for the expiry property.
explainPresentValue(CapitalIndexedBondPaymentPeriod, RatesProvider, IssuerCurveDiscountFactors, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondPaymentPeriodPricer: Explains the present value of a single payment period.
explainPresentValue(FixedCouponBondPaymentPeriod, IssuerCurveDiscountFactors, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondPaymentPeriodPricer: Explains the present value of a single fixed coupon payment period.
explainPresentValue(ResolvedCmsLeg, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsLegPricer: Explains the present value of a CMS leg.
explainPresentValue(CmsPeriod, RatesProvider, SabrSwaptionVolatilities, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsPeriodPricer: Explains the present value of the CMS period.
explainPresentValue(ResolvedCms, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsProductPricer: Explains the present value of the CMS product.
explainPresentValue(ResolvedCms, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsTradePricer: Explains the present value of the CMS trade.
explainPresentValue(Payment, BaseProvider) - Method in class com.opengamma.strata.pricer.DiscountingPaymentPricer: Explains the present value of the payment.
explainPresentValue(ResolvedFra, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraProductPricer: Explains the present value of the FRA product.
explainPresentValue(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraTradePricer: Explains the present value of the FRA product.
explainPresentValue(FxResetNotionalExchange, RatesProvider, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingFxResetNotionalExchangePricer
explainPresentValue(KnownAmountSwapPaymentPeriod, RatesProvider, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingKnownAmountPaymentPeriodPricer
explainPresentValue(NotionalExchange, RatesProvider, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingNotionalExchangePricer
explainPresentValue(RatePaymentPeriod, RatesProvider, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingRatePaymentPeriodPricer
explainPresentValue(SwapPaymentEvent, RatesProvider, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentEventPricer
explainPresentValue(SwapPaymentPeriod, RatesProvider, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentPeriodPricer
explainPresentValue(ResolvedBulletPaymentTrade, BaseProvider) - Method in class com.opengamma.strata.pricer.payment.DiscountingBulletPaymentTradePricer: Explains the present value of the bullet payment product.
explainPresentValue(ResolvedSwapLeg, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Explain present value for a swap leg.
explainPresentValue(ResolvedSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Explains the present value of the swap product.
explainPresentValue(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer: Explains the present value of the swap trade.
explainPresentValue(T, RatesProvider, ExplainMapBuilder) - Method in interface com.opengamma.strata.pricer.swap.SwapPaymentEventPricer: Explains the present value of a single payment event.
explainPresentValue(T, RatesProvider, ExplainMapBuilder) - Method in interface com.opengamma.strata.pricer.swap.SwapPaymentPeriodPricer: Explains the present value of a single payment period.
explainPresentValueWithSpread(FixedCouponBondPaymentPeriod, IssuerCurveDiscountFactors, ExplainMapBuilder, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondPaymentPeriodPricer: Explains the present value of a single fixed coupon payment period with z-spread.
explainPresentValueWithZSpread(CapitalIndexedBondPaymentPeriod, RatesProvider, IssuerCurveDiscountFactors, ExplainMapBuilder, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondPaymentPeriodPricer: Explains the present value of a single payment period with z-spread.
explainRate(OvernightAveragedRateComputation, LocalDate, LocalDate, RatesProvider, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.impl.rate.ApproxForwardOvernightAveragedRateComputationFn
explainRate(RateComputation, LocalDate, LocalDate, RatesProvider, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.impl.rate.DispatchingRateComputationFn
explainRate(IborAveragedRateComputation, LocalDate, LocalDate, RatesProvider, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardIborAveragedRateComputationFn
explainRate(IborInterpolatedRateComputation, LocalDate, LocalDate, RatesProvider, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardIborInterpolatedRateComputationFn
explainRate(IborRateComputation, LocalDate, LocalDate, RatesProvider, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardIborRateComputationFn
explainRate(InflationEndInterpolatedRateComputation, LocalDate, LocalDate, RatesProvider, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardInflationEndInterpolatedRateComputationFn
explainRate(InflationEndMonthRateComputation, LocalDate, LocalDate, RatesProvider, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardInflationEndMonthRateComputationFn
explainRate(InflationInterpolatedRateComputation, LocalDate, LocalDate, RatesProvider, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardInflationInterpolatedRateComputationFn
explainRate(InflationMonthlyRateComputation, LocalDate, LocalDate, RatesProvider, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardInflationMonthlyRateComputationFn
explainRate(OvernightAveragedDailyRateComputation, LocalDate, LocalDate, RatesProvider, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardOvernightAveragedDailyRateComputationFn
explainRate(OvernightAveragedRateComputation, LocalDate, LocalDate, RatesProvider, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardOvernightAveragedRateComputationFn
explainRate(OvernightCompoundedAnnualRateComputation, LocalDate, LocalDate, RatesProvider, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardOvernightCompoundedAnnualRateComputationFn
explainRate(OvernightCompoundedRateComputation, LocalDate, LocalDate, RatesProvider, ExplainMapBuilder) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardOvernightCompoundedRateComputationFn
explainRate(IborIndexObservation, ExplainMapBuilder, Consumer<ExplainMapBuilder>) - Method in interface com.opengamma.strata.pricer.rate.IborIndexRates: Explains the calculation of the historic or forward rate at the specified fixing date.
explainRate(T, LocalDate, LocalDate, RatesProvider, ExplainMapBuilder) - Method in interface com.opengamma.strata.pricer.rate.RateComputationFn: Explains the calculation of the applicable rate.
extrapolatorLeft(CurveExtrapolator) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Builder: Sets the extrapolator for the caplet volatilities on the left.
extrapolatorLeft() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Meta: The meta-property for the extrapolatorLeft property.
extrapolatorLeft(CurveExtrapolator) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder: Sets the left extrapolator for the SABR parameter curves.
extrapolatorLeft() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta: The meta-property for the extrapolatorLeft property.
extrapolatorLeft(CurveExtrapolator) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder: Sets the left extrapolator for the SABR parameters.
extrapolatorLeft() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta: The meta-property for the extrapolatorLeft property.
extrapolatorRight(CurveExtrapolator) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Builder: Sets the extrapolator for the caplet volatilities on the right.
extrapolatorRight() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Meta: The meta-property for the extrapolatorRight property.
extrapolatorRight(CurveExtrapolator) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder: Sets the right extrapolator for the SABR parameter curves.
extrapolatorRight() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta: The meta-property for the extrapolatorRight property.
extrapolatorRight(CurveExtrapolator) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder: Sets the right extrapolator for the SABR parameters.
extrapolatorRight() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta: The meta-property for the extrapolatorRight property.

F

FastCreditCurveCalibrator - Class in com.opengamma.strata.pricer.credit: Fast credit curve calibrator.
FastCreditCurveCalibrator(AccrualOnDefaultFormula) - Constructor for class com.opengamma.strata.pricer.credit.FastCreditCurveCalibrator: Constructs a credit curve builder with the accrual-on-default formula specified.
FastCreditCurveCalibrator(AccrualOnDefaultFormula, ArbitrageHandling) - Constructor for class com.opengamma.strata.pricer.credit.FastCreditCurveCalibrator: Constructs a credit curve builder with accrual-on-default formula and arbitrage handing specified.
findAmount(IborCapletFloorletPeriod) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts: Gets a double amount for the provided Ibor caplet/floorlet.
findAmount(IborCapletFloorletPeriod) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts: Gets a currency amount for the provided Ibor caplet/floorlet.
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider
findData(MarketDataName<T>) - Method in interface com.opengamma.strata.pricer.bond.LegalEntityDiscountingProvider: Finds the market data with the specified name.
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates
findData(MarketDataName<T>) - Method in interface com.opengamma.strata.pricer.credit.CreditRatesProvider: Finds the market data with the specified name.
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
findData(MarketDataName<T>) - Method in interface com.opengamma.strata.pricer.rate.RatesProvider: Finds the market data with the specified name.
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors
findData(MarketDataName<T>) - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors
findParameterIndex(ParameterMetadata) - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
FiniteDifferenceSpreadSensitivityCalculator - Class in com.opengamma.strata.pricer.credit: Finite difference spread sensitivity calculator.
FiniteDifferenceSpreadSensitivityCalculator(AccrualOnDefaultFormula, double) - Constructor for class com.opengamma.strata.pricer.credit.FiniteDifferenceSpreadSensitivityCalculator: Constructor with accrual-on-default formula and bump amount specified.
firstPartialDerivatives(CurrencyPair, double, double, double) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities
firstPartialDerivatives(CurrencyPair, double, double, double) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities
firstPartialDerivatives(CurrencyPair, double, double, double) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities
firstPartialDerivatives(CurrencyPair, double, double, double) - Method in interface com.opengamma.strata.pricer.fxopt.FxOptionVolatilities: Computes the partial derivatives of the volatilities.
fixedLeg(ResolvedSwap) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer: Checks that there is exactly one fixed leg and returns it.
fixedLeg(ResolvedSwap) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionPhysicalProductPricer: Checks that there is exactly one fixed leg and returns it.
fixingDate() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity.Meta: The meta-property for the fixingDate property.
fixings() - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates.Meta: The meta-property for the fixings property.
fixings() - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates.Meta: The meta-property for the fixings property.
fixings() - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates.Meta: The meta-property for the fixings property.
fixings() - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates.Meta: The meta-property for the fixings property.
fixings() - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates.Meta: The meta-property for the fixings property.
fixings() - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues.Meta: The meta-property for the fixings property.
fixings() - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates.Meta: The meta-property for the fixings property.
fixings() - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues.Meta: The meta-property for the fixings property.
forecastValue(CapitalIndexedBondPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondPaymentPeriodPricer: Calculates the forecast value of a single payment period.
forecastValue(FixedCouponBondPaymentPeriod, IssuerCurveDiscountFactors) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondPaymentPeriodPricer: Calculates the forecast value of a single fixed coupon payment period.
forecastValue(Payment, BaseProvider) - Method in class com.opengamma.strata.pricer.DiscountingPaymentPricer: Computes the forecast value of the payment.
forecastValue(ResolvedFra, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraProductPricer: Calculates the forecast value of the FRA product.
forecastValue(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraTradePricer: Calculates the forecast value of the FRA trade.
forecastValue(FxResetNotionalExchange, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingFxResetNotionalExchangePricer
forecastValue(KnownAmountSwapPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingKnownAmountPaymentPeriodPricer
forecastValue(NotionalExchange, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingNotionalExchangePricer
forecastValue(RatePaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingRatePaymentPeriodPricer
forecastValue(SwapPaymentEvent, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentEventPricer
forecastValue(SwapPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentPeriodPricer
forecastValue(ResolvedSwapLeg, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Calculates the forecast value of the swap leg.
forecastValue(ResolvedSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Calculates the forecast value of the swap product.
forecastValue(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer: Calculates the forecast value of the swap trade.
forecastValue(T, RatesProvider) - Method in interface com.opengamma.strata.pricer.swap.SwapPaymentEventPricer: Calculates the forecast value of a single payment event.
forecastValue(T, RatesProvider) - Method in interface com.opengamma.strata.pricer.swap.SwapPaymentPeriodPricer: Calculates the forecast value of a single payment period.
forecastValueAmount(Payment, BaseProvider) - Method in class com.opengamma.strata.pricer.DiscountingPaymentPricer: Computes the forecast value of the payment.
forecastValueSensitivity(CapitalIndexedBondPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondPaymentPeriodPricer: Calculates the forecast value sensitivity of a single payment period.
forecastValueSensitivity(FixedCouponBondPaymentPeriod, IssuerCurveDiscountFactors) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondPaymentPeriodPricer: Calculates the forecast value sensitivity of a single fixed coupon payment period.
forecastValueSensitivity(ResolvedFra, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraProductPricer: Calculates the forecast value sensitivity of the FRA product.
forecastValueSensitivity(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraTradePricer: Calculates the forecast value sensitivity of the FRA trade.
forecastValueSensitivity(FxResetNotionalExchange, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingFxResetNotionalExchangePricer
forecastValueSensitivity(KnownAmountSwapPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingKnownAmountPaymentPeriodPricer
forecastValueSensitivity(NotionalExchange, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingNotionalExchangePricer
forecastValueSensitivity(RatePaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingRatePaymentPeriodPricer
forecastValueSensitivity(SwapPaymentEvent, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentEventPricer
forecastValueSensitivity(SwapPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentPeriodPricer
forecastValueSensitivity(ResolvedSwapLeg, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Calculates the forecast value sensitivity of the swap leg.
forecastValueSensitivity(ResolvedSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Calculates the forecast value sensitivity of the swap product.
forecastValueSensitivity(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer: Calculates the forecast value sensitivity of the swap trade.
forecastValueSensitivity(T, RatesProvider) - Method in interface com.opengamma.strata.pricer.swap.SwapPaymentEventPricer: Calculates the forecast value sensitivity of a single payment event.
forecastValueSensitivity(T, RatesProvider) - Method in interface com.opengamma.strata.pricer.swap.SwapPaymentPeriodPricer: Calculates the forecast value sensitivity of a single payment period.
forward() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity.Meta: The meta-property for the forward property.
forward() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity.Meta: The meta-property for the forward property.
forward() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity.Meta: The meta-property for the forward property.
forward() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity.Meta: The meta-property for the forward property.
ForwardFxIndexRates - Class in com.opengamma.strata.pricer.fx: Provides access to rates for an FX index.
ForwardFxIndexRates.Meta - Class in com.opengamma.strata.pricer.fx: The meta-bean for ForwardFxIndexRates.
forwardFxRate(ResolvedFxNdf, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxNdfProductPricer: Calculates the forward exchange rate.
forwardFxRate(ResolvedFxNdfTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxNdfTradePricer: Calculates the forward exchange rate.
forwardFxRate(ResolvedFxSingle, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSingleProductPricer: Calculates the forward exchange rate.
forwardFxRate(ResolvedFxSingleTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSingleTradePricer: Calculates the forward exchange rate.
forwardFxRate(ResolvedFxSingleBarrierOption, RatesProvider) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionProductPricer: Calculates the forward exchange rate.
forwardFxRate(ResolvedFxSingleBarrierOptionTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionTradePricer: Calculates the forward exchange rate.
forwardFxRate(ResolvedFxVanillaOption, RatesProvider) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionProductPricer: Calculates the forward exchange rate.
forwardFxRate(ResolvedFxVanillaOptionTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionTradePricer: Calculates the forward exchange rate.
forwardFxRatePointSensitivity(ResolvedFxSingle, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSingleProductPricer: Calculates the forward exchange rate point sensitivity.
forwardFxRatePointSensitivity(ResolvedFxSingleTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSingleTradePricer: Calculates the forward exchange rate point sensitivity.
forwardFxRateSpotSensitivity(ResolvedFxSingle, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSingleProductPricer: Calculates the sensitivity of the forward exchange rate to the spot rate.
forwardFxRateSpotSensitivity(ResolvedFxSingleTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSingleTradePricer: Calculates the sensitivity of the forward exchange rate to the spot rate.
ForwardIborAveragedRateComputationFn - Class in com.opengamma.strata.pricer.impl.rate: Rate computation implementation for a rate based on the average of multiple fixings of a single Ibor floating rate index.
ForwardIborAveragedRateComputationFn() - Constructor for class com.opengamma.strata.pricer.impl.rate.ForwardIborAveragedRateComputationFn: Creates an instance.
ForwardIborInterpolatedRateComputationFn - Class in com.opengamma.strata.pricer.impl.rate: Rate computation implementation for rate based on the weighted average of the fixing on a single date of two Ibor indices.
ForwardIborInterpolatedRateComputationFn() - Constructor for class com.opengamma.strata.pricer.impl.rate.ForwardIborInterpolatedRateComputationFn: Creates an instance.
ForwardIborRateComputationFn - Class in com.opengamma.strata.pricer.impl.rate: Rate computation implementation for an Ibor index.
ForwardIborRateComputationFn() - Constructor for class com.opengamma.strata.pricer.impl.rate.ForwardIborRateComputationFn: Creates an instance.
ForwardInflationEndInterpolatedRateComputationFn - Class in com.opengamma.strata.pricer.impl.rate: Rate computation implementation for rate based on the weighted average of fixings of a single price index.
ForwardInflationEndInterpolatedRateComputationFn() - Constructor for class com.opengamma.strata.pricer.impl.rate.ForwardInflationEndInterpolatedRateComputationFn: Creates an instance.
ForwardInflationEndMonthRateComputationFn - Class in com.opengamma.strata.pricer.impl.rate: Rate computation implementation for a price index.
ForwardInflationEndMonthRateComputationFn() - Constructor for class com.opengamma.strata.pricer.impl.rate.ForwardInflationEndMonthRateComputationFn: Creates an instance.
ForwardInflationInterpolatedRateComputationFn - Class in com.opengamma.strata.pricer.impl.rate: Rate computation implementation for rate based on the weighted average of fixings of a single price index.
ForwardInflationInterpolatedRateComputationFn() - Constructor for class com.opengamma.strata.pricer.impl.rate.ForwardInflationInterpolatedRateComputationFn: Creates an instance.
ForwardInflationMonthlyRateComputationFn - Class in com.opengamma.strata.pricer.impl.rate: Rate computation implementation for a price index.
ForwardInflationMonthlyRateComputationFn() - Constructor for class com.opengamma.strata.pricer.impl.rate.ForwardInflationMonthlyRateComputationFn: Creates an instance.
ForwardOvernightAveragedDailyRateComputationFn - Class in com.opengamma.strata.pricer.impl.rate: Rate computation implementation for an averaged daily rate for a single Overnight index.
ForwardOvernightAveragedDailyRateComputationFn() - Constructor for class com.opengamma.strata.pricer.impl.rate.ForwardOvernightAveragedDailyRateComputationFn: Creates an instance.
ForwardOvernightAveragedRateComputationFn - Class in com.opengamma.strata.pricer.impl.rate: Rate computation implementation for a rate based on a single overnight index that is arithmetically averaged.
ForwardOvernightAveragedRateComputationFn() - Constructor for class com.opengamma.strata.pricer.impl.rate.ForwardOvernightAveragedRateComputationFn: Creates an instance.
ForwardOvernightCompoundedAnnualRateComputationFn - Class in com.opengamma.strata.pricer.impl.rate: Rate computation implementation for a rate based on a single overnight index that is compounded using an annual rate.
ForwardOvernightCompoundedAnnualRateComputationFn() - Constructor for class com.opengamma.strata.pricer.impl.rate.ForwardOvernightCompoundedAnnualRateComputationFn: Creates an instance.
ForwardOvernightCompoundedRateComputationFn - Class in com.opengamma.strata.pricer.impl.rate: Rate computation implementation for a rate based on a single overnight index that is compounded.
ForwardOvernightCompoundedRateComputationFn() - Constructor for class com.opengamma.strata.pricer.impl.rate.ForwardOvernightCompoundedRateComputationFn: Creates an instance.
forwardRate(IborCapletFloorletPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapletFloorletPeriodPricer: Computes the forward rate for the Ibor caplet/floorlet.
forwardRate(CmsPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.cms.DiscountingCmsPeriodPricer: Computes the forward rate associated to the swap underlying the CMS period.
forwardRate(ResolvedSwaptionTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionTradePricer: Provides the forward rate.
forwardRate(ResolvedSwaptionTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionTradePricer: Provides the forward rate.
forwardRate(ResolvedSwaptionTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionTradePricer: Provides the forward rate.
forwardRate(ResolvedSwaption, RatesProvider) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer: Provides the forward rate.
forwardRate(ResolvedSwaption, RatesProvider) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionPhysicalProductPricer: Provides the forward rate.
forwardRate(ResolvedSwaption, RatesProvider) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionProductPricer: Provides the forward rate.
forwardRate(ResolvedSwaptionTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionTradePricer: Provides the forward rate.
forwardRates(ResolvedIborCapFloorLeg, RatesProvider) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorLegPricer: Calculates the forward rates for each caplet/floorlet of the Ibor cap/floor leg.
forwardRates(ResolvedIborCapFloor, RatesProvider) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorProductPricer: Calculates the forward rates for each caplet/floorlet of the Ibor cap/floor.
forwardRates(ResolvedIborCapFloorTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorTradePricer: Calculates the forward rates for each caplet/floorlet of the Ibor cap/floor trade.
FRA_MQ - Static variable in class com.opengamma.strata.pricer.curve.MarketQuoteMeasure: The measure for ResolvedFraTrade using par rate discounting.
FRA_PAR_SPREAD - Static variable in class com.opengamma.strata.pricer.curve.TradeCalibrationMeasure: The calibrator for ResolvedFraTrade using par spread discounting.
FRA_PV - Static variable in class com.opengamma.strata.pricer.curve.PresentValueCalibrationMeasure: The measure for FraTrade using present value discounting.
futureExpiryDate() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity.Meta: The meta-property for the futureExpiryDate property.
futurePrice() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity.Meta: The meta-property for the futurePrice property.
futurePrice() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity.Meta: The meta-property for the futurePrice property.
futuresConvexityFactor(HullWhiteOneFactorPiecewiseConstantParameters, double, double, double) - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: Calculates the future convexity factor used in future pricing.
futuresConvexityFactor(LocalDate, LocalDate, LocalDate) - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider: Calculates the future convexity factor for the specified period at the future reference date.
futuresConvexityFactorAdjoint(HullWhiteOneFactorPiecewiseConstantParameters, double, double, double) - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: Calculates the future convexity factor and its derivatives with respect to the model volatilities.
futuresConvexityFactorAdjoint(LocalDate, LocalDate, LocalDate) - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider: Calculates the future convexity factor and its derivative for the specified period at the future reference date.
FX_SWAP_PAR_SPREAD - Static variable in class com.opengamma.strata.pricer.curve.TradeCalibrationMeasure: The calibrator for ResolvedFxSwapTrade using par spread discounting.
fxForwardRates() - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates.Meta: The meta-property for the fxForwardRates property.
FxForwardRates - Interface in com.opengamma.strata.pricer.fx: Provides access to rates for a currency pair.
fxForwardRates(CurrencyPair) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
fxForwardRates(CurrencyPair) - Method in interface com.opengamma.strata.pricer.rate.RatesProvider: Gets the forward FX rates for a currency pair.
FxForwardSensitivity - Class in com.opengamma.strata.pricer.fx: Point sensitivity to a forward rate of an FX rate for a currency pair.
FxForwardSensitivity.Meta - Class in com.opengamma.strata.pricer.fx: The meta-bean for FxForwardSensitivity.
FxIndexRates - Interface in com.opengamma.strata.pricer.fx: Provides access to rates for an FX index.
fxIndexRates(FxIndex) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
fxIndexRates(FxIndex) - Method in interface com.opengamma.strata.pricer.rate.RatesProvider: Gets the rates for an FX index.
FxIndexSensitivity - Class in com.opengamma.strata.pricer.fx: Point sensitivity to a forward rate of an FX rate for an FX index.
FxIndexSensitivity.Meta - Class in com.opengamma.strata.pricer.fx: The meta-bean for FxIndexSensitivity.
FxOptionSensitivity - Class in com.opengamma.strata.pricer.fxopt: Point sensitivity to an implied volatility for a FX option model.
FxOptionSensitivity.Meta - Class in com.opengamma.strata.pricer.fxopt: The meta-bean for FxOptionSensitivity.
FxOptionVolatilities - Interface in com.opengamma.strata.pricer.fxopt: Volatilities for pricing FX options.
FxOptionVolatilitiesId - Class in com.opengamma.strata.pricer.fxopt: An identifier used to access FX option volatilities by name.
FxOptionVolatilitiesName - Class in com.opengamma.strata.pricer.fxopt: The name of a set of FX option volatilities.
fxRate(Currency, Currency) - Method in interface com.opengamma.strata.pricer.BaseProvider: Gets the FX rate for the specified currency pair on the valuation date.
fxRate(CurrencyPair) - Method in interface com.opengamma.strata.pricer.BaseProvider: Gets the FX rate for the specified currency pair on the valuation date.
fxRate(Currency, Currency) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
fxRateProvider() - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates.Meta: The meta-property for the fxRateProvider property.
fxRateProvider() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider.Meta: The meta-property for the fxRateProvider property.
fxRateProvider(FxRateProvider) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProviderBuilder: Sets the FX rate provider.
FxVolatilitySurfaceYearFractionParameterMetadata - Class in com.opengamma.strata.pricer.fxopt: Surface node metadata for a surface node with a specific time to expiry and strike.
FxVolatilitySurfaceYearFractionParameterMetadata.Meta - Class in com.opengamma.strata.pricer.fxopt: The meta-bean for FxVolatilitySurfaceYearFractionParameterMetadata.

G

gamma(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionProductPricer: Calculates the gamma of the FX barrier option product.
gamma(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionProductPricer: Calculates the gamma of the foreign exchange vanilla option product.
gamma(double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the forward driftless gamma.
gamma(double, double, double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackScholesFormulaRepository: Computes the spot gamma.
gamma(double, double, double, double, PutCall) - Static method in class com.opengamma.strata.pricer.impl.option.NormalFormulaRepository: Computes the gamma.
gammaStickyStrike(ResolvedBondFutureOption, LegalEntityDiscountingProvider, BlackBondFutureVolatilities) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedProductPricer: Calculates the gamma of the bond future option product.
gammaStickyStrike(ResolvedBondFutureOption, LegalEntityDiscountingProvider, BlackBondFutureVolatilities, double) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedProductPricer: Calculates the gamma of the bond future option product based on the price of the underlying future.
generate(DoubleArray, Map<CurveName, JacobianCalibrationMatrix>, Map<CurveName, DoubleArray>) - Method in class com.opengamma.strata.pricer.curve.ImmutableRatesProviderGenerator
generate(DoubleArray) - Method in interface com.opengamma.strata.pricer.curve.RatesProviderGenerator: Generates a rates provider from a set of parameters.
generate(DoubleArray, Map<CurveName, JacobianCalibrationMatrix>) - Method in interface com.opengamma.strata.pricer.curve.RatesProviderGenerator: Generates a rates provider from a set of parameters and calibration information.
generate(DoubleArray, Map<CurveName, JacobianCalibrationMatrix>, Map<CurveName, DoubleArray>) - Method in interface com.opengamma.strata.pricer.curve.RatesProviderGenerator: Generates a rates provider from a set of parameters and calibration information.
GenericImpliedVolatiltySolver - Class in com.opengamma.strata.pricer.impl.option: Finds an implied volatility (a parameter that put into a model gives the market pirce of an option) for any option pricing model that has a 'volatility' parameter.
GenericImpliedVolatiltySolver(Function<Double, double[]>) - Constructor for class com.opengamma.strata.pricer.impl.option.GenericImpliedVolatiltySolver: Creates an instance.
GenericImpliedVolatiltySolver(Function<Double, Double>, Function<Double, Double>) - Constructor for class com.opengamma.strata.pricer.impl.option.GenericImpliedVolatiltySolver: Creates an instance.
GenericVolatilitySurfacePeriodParameterMetadata - Class in com.opengamma.strata.pricer.common: Surface node metadata for a generic volatility surface node with a specific period to expiry and strike.
GenericVolatilitySurfacePeriodParameterMetadata.Meta - Class in com.opengamma.strata.pricer.common: The meta-bean for GenericVolatilitySurfacePeriodParameterMetadata.
GenericVolatilitySurfaceYearFractionParameterMetadata - Class in com.opengamma.strata.pricer.common: Surface node metadata for a generic volatility surface node with a specific time to expiry and strike.
GenericVolatilitySurfaceYearFractionParameterMetadata.Meta - Class in com.opengamma.strata.pricer.common: The meta-bean for GenericVolatilitySurfaceYearFractionParameterMetadata.
get(String) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities.Builder
get(String) - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Builder
get(String) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Builder
get(String) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Builder
get(String) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts.Builder
get(String) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts.Builder
get(String) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder
get(String) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder
get(String) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Builder
get(String) - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider.Builder
get(String) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities.Builder
get(String) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities.Builder
get(String) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities.Builder
get(String) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction.Builder
get(String) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Builder
get(String) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Builder
getAccrualOnDefaultFormula() - Method in class com.opengamma.strata.pricer.credit.IsdaCdsProductPricer: Gets the accrual-on-default formula used in this pricer.
getAccrualOnDefaultFormula() - Method in class com.opengamma.strata.pricer.credit.IsdaCdsTradePricer: Gets the accrual-on-default formula used in this pricer.
getAccrualOnDefaultFormula() - Method in class com.opengamma.strata.pricer.credit.IsdaCompliantCreditCurveCalibrator: Obtains the accrual-on-default formula.
getAccrualOnDefaultFormula() - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexProductPricer: Gets the accrual-on-default formula used in this pricer.
getAccrualOnDefaultFormula() - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexTradePricer: Gets the accrual-on-default formula used in this pricer.
getAlpha() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData: Gets the alpha parameter.
getAlphaCurve() - Method in class com.opengamma.strata.pricer.model.SabrParameters: Gets the alpha (volatility level) curve.
getAlphaSurface() - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters: Gets the alpha (volatility level) surface.
getAmount(IborCapletFloorletPeriod) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts: Gets a double amount for the provided Ibor caplet/floorlet.
getAmount(IborCapletFloorletPeriod) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts: Gets a currency amount for the provided Ibor caplet/floorlet.
getAmounts() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts: Gets the map of Ibor caplet/floorlet periods to the double amount.
getAmounts() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts: Gets the map of Ibor caplet/floorlet periods to the currency amount.
getAmounts() - Method in class com.opengamma.strata.pricer.credit.JumpToDefault: Gets the amounts, identified by legal entity ID.
getArbitrageHandling() - Method in class com.opengamma.strata.pricer.credit.IsdaCompliantCreditCurveCalibrator: Obtains the arbitrage handling.
getBarrierLevel(int) - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction
getBarrierLevel() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction: Gets the constant barrier level.
getBarrierType() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction: Gets the barrier type.
getBaseCurrencyDiscountFactors() - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates: Gets the discount factors for the base currency of the currency pair.
getBeta() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData: Gets the beta parameter.
getBetaCurve() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition: Gets the beta (elasticity) curve.
getBetaCurve() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Gets the beta (elasticity) curve.
getBetaCurve() - Method in class com.opengamma.strata.pricer.model.SabrParameters: Gets the beta (elasticity) curve.
getBetaSurface() - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters: Gets the beta (elasticity) surface.
getBondPricer() - Method in class com.opengamma.strata.pricer.bond.BlackFixedCouponBondOptionPricer: Gets the bond pricer.
getCalibrator() - Method in class com.opengamma.strata.pricer.credit.SpreadSensitivityCalculator: Gets the calibrator.
getCalibrator() - Method in class com.opengamma.strata.pricer.curve.SyntheticRatesCurveCalibrator: Gets the curve calibrator.
getCalibrator() - Method in class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer: Obtains the calibrator.
getChiSquare() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityCalibrationResult: Gets the chi-square value.
getConstraintFunction(NonLinearParameterTransforms) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SmileModelFitter: Obtains the constraint function.
getConvention() - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities: Gets the swap convention that the volatilities are to be used for.
getConvention() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities: Gets the swap convention that the volatilities are to be used for.
getConvention() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities: Gets the swap convention that the volatilities are to be used for.
getConvention() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities: Gets the swap convention that the volatilities are to be used for.
getConvention() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities: Gets the swap convention that the volatilities are to be used for.
getConvention() - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition: Gets the swap convention that the volatilities are to be used for.
getConvention() - Method in interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities: Gets the convention of the swap for which the data is valid.
getCounterCurrencyDiscountFactors() - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates: Gets the discount factors for the counter currency of the currency pair.
getCurrency() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity: Gets the currency of the sensitivity.
getCurrency() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity: Gets the currency of the sensitivity.
getCurrency() - Method in interface com.opengamma.strata.pricer.bond.BondYieldVolatilities: Gets the currency for which the data is valid.
getCurrency() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors: Gets the currency.
getCurrency() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity: Gets the currency of the sensitivity.
getCurrency() - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities: Gets the currency.
getCurrency() - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors: Gets the currency.
getCurrency() - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity: Gets the currency of the sensitivity.
getCurrency() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity: Gets the currency of the sensitivity.
getCurrency() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity: Gets the currency of the sensitivity.
getCurrency() - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity
getCurrency() - Method in interface com.opengamma.strata.pricer.credit.CreditDiscountFactors: Gets the currency.
getCurrency() - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors: Gets the currency that the discount factors are for.
getCurrency() - Method in class com.opengamma.strata.pricer.credit.JumpToDefault: Gets the currency of the amounts.
getCurrency() - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities: Gets the currency.
getCurrency() - Method in interface com.opengamma.strata.pricer.DiscountFactors: Gets the currency.
getCurrency() - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity: Gets the currency of the sensitivity.
getCurrency() - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity: Gets the currency of the sensitivity.
getCurrency() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity: Gets the currency of the sensitivity.
getCurrency() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity: Gets the currency of the sensitivity.
getCurrency() - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity: Gets the currency of the sensitivity.
getCurrency() - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity: Gets the currency of the sensitivity.
getCurrency() - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity: Gets the currency of the sensitivity.
getCurrency() - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors: Gets the currency that the discount factors are for.
getCurrency() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity: Gets the currency of the sensitivity.
getCurrency() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity: Gets the currency of the sensitivity.
getCurrency() - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors: Gets the currency that the discount factors are for.
getCurrency() - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors: Gets the currency that the discount factors are for.
getCurrency() - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity: Gets the currency of the sensitivity.
getCurrencyPair() - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates: Gets the currency pair that the rates are for.
getCurrencyPair() - Method in interface com.opengamma.strata.pricer.fx.FxForwardRates: Gets the currency pair.
getCurrencyPair() - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity: Gets the currency pair for which the sensitivity is computed.
getCurrencyPair() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities: Gets the currency pair that the volatilities are for.
getCurrencyPair() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities: Gets the currency pair that the volatilities are for.
getCurrencyPair() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities: Gets the currency pair that the volatilities are for.
getCurrencyPair() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity: Gets the currency pair for which the sensitivity is presented.
getCurrencyPair() - Method in interface com.opengamma.strata.pricer.fxopt.FxOptionVolatilities: Gets the currency pair for which the data is valid.
getCurrencyPair() - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata: Gets the currency pair that describes the node.
getCurve() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities: Gets the Black volatility curve.
getCurve() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities: Gets the normal volatility curve.
getCurve() - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors: Gets the underlying curve.
getCurve() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities: Gets the Black volatility curve.
getCurve() - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates: Gets the underlying forward curve.
getCurve() - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues: Gets the underlying curve.
getCurve() - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors: Gets the underlying curve.
getCurve() - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors: Gets the underlying curve.
getCurve() - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors: Gets the underlying curve.
getCurveCurrency() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity: Gets the currency of the curve for which the sensitivity is computed.
getCurveCurrency() - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity: Gets the currency of the curve for which the sensitivity is computed.
getCurveCurrency() - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity: Gets the currency of the curve for which the sensitivity is computed.
getCurveCurrency() - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity: Gets the currency of the curve for which the sensitivity is computed.
getCurves() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider: Returns a map containing all the curves, keyed by curve name.
getCurves(CurveGroupName) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider: Returns a map containing all the curves, keyed by curve identifier.
getCutOffStrike() - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsPeriodPricer: Returns the cut-off strike.
getCutOffStrike() - Method in class com.opengamma.strata.pricer.impl.option.SabrExtrapolationRightFunction: Gets the cut-off strike.
getData() - Method in class com.opengamma.strata.pricer.option.RawOptionData: Gets the data.
getData(Tenor) - Method in class com.opengamma.strata.pricer.option.TenorRawOptionData: Gets the raw option data for a given tenor.
getData() - Method in class com.opengamma.strata.pricer.option.TenorRawOptionData: Gets the map of tenor to option data.
getDataSensitivityAlpha() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities: Gets the sensitivity of the Alpha parameters to the raw data used for calibration.
getDataSensitivityAlpha() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities: Gets the sensitivity of the Alpha parameters to the raw data used for calibration.
getDataSensitivityAlpha() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities: Gets the sensitivity of the Alpha parameters to the raw data used for calibration.
getDataSensitivityBeta() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities: Gets the sensitivity of the Beta parameters to the raw data used for calibration.
getDataSensitivityBeta() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities: Gets the sensitivity of the Beta parameters to the raw data used for calibration.
getDataSensitivityBeta() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities: Gets the sensitivity of the Beta parameters to the raw data used for calibration.
getDataSensitivityNu() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities: Gets the sensitivity of the Nu parameters to the raw data used for calibration.
getDataSensitivityNu() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities: Gets the sensitivity of the Nu parameters to the raw data used for calibration.
getDataSensitivityNu() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities: Gets the sensitivity of the Nu parameters to the raw data used for calibration.
getDataSensitivityRho() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities: Gets the sensitivity of the Rho parameters to the raw data used for calibration.
getDataSensitivityRho() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities: Gets the sensitivity of the Rho parameters to the raw data used for calibration.
getDataSensitivityRho() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities: Gets the sensitivity of the Rho parameters to the raw data used for calibration.
getDataType() - Method in class com.opengamma.strata.pricer.option.RawOptionData: Gets the type of the raw data.
getDayCount() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition: Gets the day count to measure the time.
getDayCount() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition: Gets the day count to measure the time in the expiry dimension.
getDayCount() - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityDefinition: Gets the day count to use.
getDayCount() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities: Gets the day count used to calculate the expiry year fraction.
getDayCount() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition: Gets the day count to measure the time in the expiry dimension.
getDayCount() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Gets the day count to measure the time in the expiry dimension.
getDayCount() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities: Gets the day count used to calculate the expiry year fraction.
getDayCount() - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition: Gets the day count to measure the time in the expiry dimension.
getDayCount() - Method in interface com.opengamma.strata.pricer.credit.CreditDiscountFactors: Obtains day count convention.
getDayCount() - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
getDayCount() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure: Gets the day count convention used for the expiry.
getDayCount() - Method in interface com.opengamma.strata.pricer.fxopt.SmileDeltaTermStructure: Gets the day count convention used for the expiry.
getDayCount() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider: Gets the day count applicable to the model.
getDayCount() - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters: Gets the day count used to calculate the expiry year fraction.
getDayCount() - Method in class com.opengamma.strata.pricer.model.SabrParameters: Gets the day count used to calculate the expiry year fraction.
getDayCount() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities: Gets the day count used to calculate the expiry year fraction.
getDayCount() - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition: Gets the day count to use.
getDelta() - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters: Gets the delta of the different data points.
getDelta() - Method in interface com.opengamma.strata.pricer.fxopt.SmileDeltaTermStructure: Gets delta values.
getDeltaFull() - Method in interface com.opengamma.strata.pricer.fxopt.SmileDeltaTermStructure: Computes full delta for all strikes including put delta absolute value.
getDiscountCurrencies() - Method in interface com.opengamma.strata.pricer.BaseProvider: Gets the set of currencies that discount factors are provided for.
getDiscountCurrencies() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
getDiscountCurves() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider: Gets the discount curves, defaulted to an empty map.
getDiscountFactor() - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData: Gets the discount factor.
getDiscountFactorAtLayer(int) - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData: Obtains discount factor between the i-th layer to the (i+1)-th layer.
getDiscountFactors() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors: Gets the underlying discount factors for a single currency.
getDiscountFactors() - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors: Gets the underlying discount factors for a single currency.
getDiscountFactors() - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates: Gets the underlying discount factor curve.
getDiscountFactors() - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates: Gets the underlying discount factor curve.
getDuration() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity: Gets the underlying duration.
getEndDate() - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity: Gets the end date of the period.
getError() - Method in class com.opengamma.strata.pricer.option.RawOptionData: Gets the measurement error of the option data.
getEta() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData: Gets the eta parameters.
getEventPricer() - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Gets the underlying leg pricer.
getExpiries() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure
getExpiries() - Method in interface com.opengamma.strata.pricer.fxopt.SmileDeltaTermStructure: Gets the expiries associated with the volatility term.
getExpiries() - Method in class com.opengamma.strata.pricer.option.RawOptionData: Gets the expiry values.
getExpiry() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity: Gets the expiry date-time of the option.
getExpiry() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity: Gets the time to expiry of the option as a year fraction.
getExpiry() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity: Gets the time to expiry of the option as a year fraction.
getExpiry() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity: Gets the time to expiry of the option as a year fraction.
getExpiry() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity: Gets the time to expiry of the option as a year fraction.
getExpiry() - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters: Gets the time to expiry associated with the data.
getExpiry() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity: Gets the time to expiry of the option as a year fraction.
getExpiry() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity: Gets the time to expiry of the option as a year fraction.
getExpiry() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity: Gets the time to expiry of the option as a year fraction.
getExpiryTenor() - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters: Gets the tenor associated with the time to expiry, optional.
getExpiryTenors() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure
getExpiryTenors() - Method in interface com.opengamma.strata.pricer.fxopt.SmileDeltaTermStructure: Gets the tenor associated with each expiry in the volatility term.
getExtrapolatorLeft() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition: Gets the extrapolator for the caplet volatilities on the left.
getExtrapolatorLeft() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition: Gets the left extrapolator for the SABR parameter curves.
getExtrapolatorLeft() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Gets the left extrapolator for the SABR parameters.
getExtrapolatorRight() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition: Gets the extrapolator for the caplet volatilities on the right.
getExtrapolatorRight() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition: Gets the right extrapolator for the SABR parameter curves.
getExtrapolatorRight() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Gets the right extrapolator for the SABR parameters.
getFixingDate() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity: Gets the fixing date of the underlying future.
getFixings() - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates: Gets the time-series of fixings, defaulted to an empty time-series.
getFixings() - Method in interface com.opengamma.strata.pricer.fx.FxIndexRates: Gets the time-series of fixings for the index.
getFixings() - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates: Gets the time-series of fixings, defaulted to an empty time-series.
getFixings() - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates: Gets the time-series of fixings, defaulted to an empty time-series.
getFixings() - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates: Gets the time-series of fixings, defaulted to an empty time-series.
getFixings() - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates: Gets the time-series of fixings, defaulted to an empty time-series.
getFixings() - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues: Gets the monthly time-series of fixings.
getFixings() - Method in interface com.opengamma.strata.pricer.rate.IborIndexRates: Gets the time-series of fixings for the index.
getFixings() - Method in interface com.opengamma.strata.pricer.rate.OvernightIndexRates: Gets the time-series of fixings for the index.
getFixings() - Method in interface com.opengamma.strata.pricer.rate.PriceIndexValues: Gets the time-series of fixings for the index.
getFixings() - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates: Gets the time-series of fixings, defaulted to an empty time-series.
getFixings() - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues: Gets the monthly time-series of fixings.
getForward() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity: Gets the underlying bond forward yield.
getForward() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity: Gets the forward rate.
getForward() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity: Gets the forward rate.
getForward() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity: Gets the underlying swap forward rate.
getFutureExpiryDate() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity: Gets the expiry date of the underlying future.
getFuturePrice() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity: Gets the underlying future price.
getFuturePrice() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity: Gets the underlying future price.
getFxForwardRates() - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates: Gets the underlying FX forward rates.
getFxForwardRates() - Method in interface com.opengamma.strata.pricer.fx.FxIndexRates: Gets the underlying FX forward rates.
getFxRateProvider() - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates: Gets the provider of FX rates.
getFxRateProvider() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider: Gets the provider of foreign exchange rates.
getIborIndices() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
getIborIndices() - Method in interface com.opengamma.strata.pricer.rate.RatesProvider: Gets the set of Ibor indices that are available.
getIdentifier() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata
getIdentifier() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata
getIdentifier() - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata
getIdentifier() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata
getIdentifier() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata
getIdentifier() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata
getIndex() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities: Gets the Ibor index.
getIndex() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities: Gets the Ibor index.
getIndex() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition: Gets the Ibor index for which the data is valid.
getIndex() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition: Gets the Ibor index for which the data is valid.
getIndex() - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities: Gets the Ibor index for which the data is valid.
getIndex() - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityDefinition: Gets the Ibor index for which the data is valid.
getIndex() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities: Gets the Ibor index.
getIndex() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities: Gets the Ibor index.
getIndex() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities: Gets the Ibor index.
getIndex() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition: Gets the Ibor index for which the data is valid.
getIndex() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Gets the Ibor index for which the data is valid.
getIndex() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities: Gets the Ibor index.
getIndex() - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities: Gets the Ibor index.
getIndex() - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition: Gets the Ibor index.
getIndex() - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates: Gets the index that the rates are for.
getIndex() - Method in interface com.opengamma.strata.pricer.fx.FxIndexRates: Gets the FX index.
getIndex() - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity: Gets the FX index that the sensitivity refers to.
getIndex() - Method in interface com.opengamma.strata.pricer.index.IborFutureOptionVolatilities: Gets the index of the underlying future for which the data is valid.
getIndex() - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities: Gets the index of the underlying future.
getIndex() - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates: Gets the index that the rates are for.
getIndex() - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates: Gets the index that the rates are for.
getIndex() - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates: Gets the index that the rates are for.
getIndex() - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates: Gets the index that the rates are for.
getIndex() - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues: Gets the index that the values are for.
getIndex() - Method in interface com.opengamma.strata.pricer.rate.IborIndexRates: Gets the Ibor index.
getIndex() - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity: Gets the Ibor index that the sensitivity refers to.
getIndex() - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity: Gets the Ibor index that the sensitivity refers to.
getIndex() - Method in interface com.opengamma.strata.pricer.rate.OvernightIndexRates: Gets the Overnight index.
getIndex() - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity: Gets the Overnight index that the sensitivity refers to.
getIndex() - Method in interface com.opengamma.strata.pricer.rate.PriceIndexValues: Gets the Price index.
getIndex() - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates: Gets the index that the rates are for.
getIndex() - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues: Gets the index that the values are for.
getIndexCurves() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider: Gets the forward curves, defaulted to an empty map.
getInitialParameters() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Gets the initial parameter values used in calibration.
getIntegrationsPoints(double, double, DoubleArray, DoubleArray) - Static method in class com.opengamma.strata.pricer.credit.DoublesScheduleGenerator: Combines the discount curve nodes and credit curve nodes.
getInterpolator() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition: Gets the interpolator for the caplet volatilities.
getInterpolator() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition: Gets the interpolator for the caplet volatilities.
getInterpolator() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition: Gets the interpolator for the SABR parameter curves.
getInterpolator() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Gets the interpolator for the SABR parameters.
getInterpolator() - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition: Gets the interpolator for the caplet volatilities.
getInterpolator() - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition: Gets the interpolator for the alpha, rho and nu surfaces.
getIssuerCurveGroups() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider: Gets the groups used to find an issuer curve by legal entity.
getIssuerCurves() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider: Gets the issuer curves, keyed by group and currency.
getLabel() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata: Gets the label that describes the node.
getLabel() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata: Gets the label that describes the node.
getLabel() - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata: Gets the label that describes the node.
getLabel() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata: Gets the label that describes the node.
getLabel() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata: Gets the label that describes the node.
getLabel() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata: Gets the label that describes the node.
getLambda() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition: Gets penalty intensity parameter.
getLambdaExpiry() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition: Gets penalty intensity parameter for expiry dimension.
getLambdaStrike() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition: Gets penalty intensity parameter for strike dimension.
getLastVolatility() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParameters: Gets the last volatility of the volatility parameters.
getLegalEntityGroup() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors: Gets the legal entity group.
getLegalEntityGroup() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity: Gets the legal entity group.
getLegalEntityId() - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates: Gets the legal entity identifier.
getLegalEntityId() - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity: Gets the legal entity identifier.
getLegalEntityId() - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities: Gets the legal entity identifier.
getLegalEntityId() - Method in interface com.opengamma.strata.pricer.credit.RecoveryRates: Gets the standard identifier of a legal entity.
getLegPricer() - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Gets the underlying leg pricer.
getMarketDataName() - Method in class com.opengamma.strata.pricer.bond.BondFutureVolatilitiesId
getMarketDataName() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilitiesId
getMarketDataName() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionVolatilitiesId
getMarketDataName() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionVolatilitiesId
getMarketDataName() - Method in class com.opengamma.strata.pricer.swaption.SwaptionVolatilitiesId
getMarketDataType() - Method in class com.opengamma.strata.pricer.bond.BondFutureVolatilitiesId
getMarketDataType() - Method in class com.opengamma.strata.pricer.bond.BondFutureVolatilitiesName
getMarketDataType() - Method in class com.opengamma.strata.pricer.bond.BondVolatilitiesName
getMarketDataType() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilitiesId
getMarketDataType() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilitiesName
getMarketDataType() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionVolatilitiesId
getMarketDataType() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionVolatilitiesName
getMarketDataType() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionVolatilitiesId
getMarketDataType() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionVolatilitiesName
getMarketDataType() - Method in class com.opengamma.strata.pricer.swaption.SwaptionVolatilitiesId
getMarketDataType() - Method in class com.opengamma.strata.pricer.swaption.SwaptionVolatilitiesName
getMaximumStep() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrModelFitter
getMaximumStep() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SmileModelFitter: Obtains the maximum number of iterations.
getMeanReversion() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParameters: Gets the mean reversion speed parameter.
getMeasures() - Method in class com.opengamma.strata.pricer.curve.RatesCurveCalibrator: Gets the measures.
getMeasures() - Method in class com.opengamma.strata.pricer.curve.SyntheticRatesCurveCalibrator: Gets the market quote measures.
getModel() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SmileModelFitter: Obtains the volatility function provider.
getModel() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider: Returns a Hull-White one-factor model.
getModelJacobianFunction() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SmileModelFitter: Obtains Jacobian function of the smile model.
getModelValueFunction() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SmileModelFitter: Obtains volatility function of the smile model.
getMu() - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsPeriodPricer: Returns the tail thickness parameter.
getMu() - Method in class com.opengamma.strata.pricer.impl.option.SabrExtrapolationRightFunction: Gets the tail thickness parameter.
getName() - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities
getName() - Method in interface com.opengamma.strata.pricer.bond.BondFutureVolatilities: Gets the name of these volatilities.
getName() - Method in class com.opengamma.strata.pricer.bond.BondFutureVolatilitiesId: Gets the name of the volatilities.
getName() - Method in class com.opengamma.strata.pricer.bond.BondFutureVolatilitiesName
getName() - Method in class com.opengamma.strata.pricer.bond.BondVolatilitiesName
getName() - Method in interface com.opengamma.strata.pricer.bond.BondYieldVolatilities: Gets the name of these volatilities.
getName() - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities
getName() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
getName() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
getName() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition: Gets the name of the volatilities.
getName() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition: Gets the name of the volatilities.
getName() - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities: Gets the name of these volatilities.
getName() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilitiesId: Gets the name of the volatilities.
getName() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilitiesName
getName() - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityDefinition: Gets the name of these volatilities.
getName() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
getName() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
getName() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities: Gets the name.
getName() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition: Gets the name of the volatilities.
getName() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Gets the name of the volatilities.
getName() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities: Gets the name.
getName() - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
getName() - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition: Gets the name of the volatilities.
getName() - Method in class com.opengamma.strata.pricer.curve.CalibrationMeasures: Gets the name of the set of measures.
getName() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities
getName() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities: Gets the name of the volatilities.
getName() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities: Gets the name of the volatilities.
getName() - Method in interface com.opengamma.strata.pricer.fxopt.FxOptionVolatilities: Gets the name of these volatilities.
getName() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionVolatilitiesId: Gets the name of the volatilities.
getName() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionVolatilitiesName
getName() - Method in interface com.opengamma.strata.pricer.index.IborFutureOptionVolatilities: Gets the name of these volatilities.
getName() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionVolatilitiesId: Gets the name of the volatilities.
getName() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionVolatilitiesName
getName() - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities
getName() - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
getName() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
getName() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
getName() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
getName() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities: Gets the name.
getName() - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition: Gets the name of the volatilities.
getName() - Method in interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities: Gets the name of these volatilities.
getName() - Method in class com.opengamma.strata.pricer.swaption.SwaptionVolatilitiesId: Gets the name of the volatilities.
getName() - Method in class com.opengamma.strata.pricer.swaption.SwaptionVolatilitiesName
getNextOptionValues(double, double, double, double, DoubleArray, double, double, double, int) - Method in interface com.opengamma.strata.pricer.impl.tree.OptionFunction: Computes the option values in the intermediate nodes.
getNextOptionValues(double, DoubleMatrix, DoubleArray, DoubleArray, int) - Method in interface com.opengamma.strata.pricer.impl.tree.OptionFunction: Computes the option values in the intermediate nodes.
getNu() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData: Obtains the nu parameters.
getNuCurve() - Method in class com.opengamma.strata.pricer.model.SabrParameters: Gets the nu (volatility of volatility) curve.
getNumberOfParameters() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData
getNumberOfParameters() - Method in interface com.opengamma.strata.pricer.impl.volatility.smile.SmileModelData: Obtains the number of model parameters.
getNumberOfParameters() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData
getNumberOfSteps() - Method in class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxOptionCalibrator: Obtains number of time steps.
getNumberOfSteps() - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData: Obtains the number of time steps.
getNumberOfSteps() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction: Gets the number of time steps.
getNumberOfSteps() - Method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction: Gets the number of time steps.
getNumberOfSteps() - Method in interface com.opengamma.strata.pricer.impl.tree.OptionFunction: Obtains number of time steps.
getNuSurface() - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters: Gets the nu (volatility of volatility) surface.
getObservation() - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity: Gets the FX rate observation.
getObservation() - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity: Gets the Ibor index observation.
getObservation() - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity: Gets the Price index observation.
getObservation() - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity: Gets the Overnight rate observation.
getOmega() - Method in enum com.opengamma.strata.pricer.credit.AccrualOnDefaultFormula: Gets the omega value.
getOvernightIndices() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
getOvernightIndices() - Method in interface com.opengamma.strata.pricer.rate.RatesProvider: Gets the set of Overnight indices that are available.
getParameter(int) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities
getParameter(int) - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities
getParameter(int) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
getParameter(int) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
getParameter(int) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
getParameter(int) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
getParameter(int) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
getParameter(int) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
getParameter(int) - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
getParameter(int) - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates
getParameter(int) - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
getParameter(int) - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates
getParameter(int) - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates
getParameter(int) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities
getParameter(int) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities
getParameter(int) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities
getParameter(int) - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure
getParameter(int) - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters
getParameter() - Method in class com.opengamma.strata.pricer.impl.option.SabrExtrapolationRightFunction: Gets the three fitting parameters.
getParameter(int) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData
getParameter(int) - Method in interface com.opengamma.strata.pricer.impl.volatility.smile.SmileModelData: Obtains a model parameter specified by the index.
getParameter(int) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData
getParameter(int) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities
getParameter(int) - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters
getParameter(int) - Method in class com.opengamma.strata.pricer.model.SabrParameters
getParameter(int) - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates
getParameter(int) - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
getParameter(int) - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates
getParameter(int) - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates
getParameter(int) - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues
getParameter(int) - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates
getParameter(int) - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues
getParameter(int) - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors
getParameter(int) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
getParameter(int) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
getParameter(int) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
getParameter(int) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
getParameter(int) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
getParameter(int) - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors
getParameter(int) - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
getParameterCount() - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities
getParameterCount() - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities
getParameterCount() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
getParameterCount() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
getParameterCount() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
getParameterCount() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
getParameterCount() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
getParameterCount() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
getParameterCount() - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
getParameterCount() - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates
getParameterCount() - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
getParameterCount() - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates
getParameterCount() - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates
getParameterCount() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities
getParameterCount() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities
getParameterCount() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities
getParameterCount() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure
getParameterCount() - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters
getParameterCount() - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities
getParameterCount() - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters
getParameterCount() - Method in class com.opengamma.strata.pricer.model.SabrParameters
getParameterCount() - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates
getParameterCount() - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
getParameterCount() - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates
getParameterCount() - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates
getParameterCount() - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues
getParameterCount() - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates
getParameterCount() - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues
getParameterCount() - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors
getParameterCount() - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
getParameterCount() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
getParameterCount() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
getParameterCount() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
getParameterCount() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
getParameterCount() - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors
getParameterCount() - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
getParameterCurveNodes() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Gets the nodes of SABR parameter curves.
getParameterDerivativeForward() - Method in class com.opengamma.strata.pricer.impl.option.SabrExtrapolationRightFunction: Gets the three fitting parameters derivatives with respect to the forward.
getParameterDerivativeSabr() - Method in class com.opengamma.strata.pricer.impl.option.SabrExtrapolationRightFunction: Gets the three fitting parameters derivatives with respect to the SABR parameters.
getParameterKeys() - Method in interface com.opengamma.strata.pricer.credit.CreditDiscountFactors: Obtains the parameter keys of the underlying curve.
getParameterKeys() - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
getParameterKeys() - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities: Obtains the parameter keys of the underlying curve.
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters
getParameterMetadata() - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters: Gets the associated metadata.
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.model.SabrParameters
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors
getParameterMetadata(int) - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
getParameters() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities: Gets the SABR model parameters.
getParameters() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities: Gets the SABR model parameters.
getParameters() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData: Gets the model parameters.
getParameters() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData: Gets the model parameters.
getParameters() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider: Gets the Hull-White model parameters.
getParameters() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities: Gets the SABR model parameters.
getParametersTrinomial(double, double, double) - Method in class com.opengamma.strata.pricer.impl.tree.CoxRossRubinsteinLatticeSpecification
getParametersTrinomial(double, double, double) - Method in interface com.opengamma.strata.pricer.impl.tree.LatticeSpecification: Computes parameters for uniform trinomial tree.
getParametersTrinomial(double, double, double) - Method in class com.opengamma.strata.pricer.impl.tree.TrigeorgisLatticeSpecification
getPayLegPricer() - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorProductPricer: Gets the pay leg pricer.
getPaymentPricer() - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorTradePricer: Gets the payment pricer.
getPaymentPricer() - Method in class com.opengamma.strata.pricer.payment.DiscountingBulletPaymentTradePricer: Gets the underlying payment pricer.
getPayoffAtExpiryTrinomial(DoubleArray) - Method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction
getPayoffAtExpiryTrinomial(double, double, double) - Method in interface com.opengamma.strata.pricer.impl.tree.OptionFunction: Computes payoff at expiry for trinomial tree.
getPayoffAtExpiryTrinomial(DoubleArray) - Method in interface com.opengamma.strata.pricer.impl.tree.OptionFunction: Computes payoff at expiry for trinomial tree.
getPeriod() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata: Gets the period of the surface node.
getPeriodPricer() - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Obtains the period pricer.
getPeriodPricer() - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorLegPricer: Obtains the underlying period pricer.
getPeriodPricer() - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Gets the underlying leg pricer.
getPriceIndices() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
getPriceIndices() - Method in interface com.opengamma.strata.pricer.rate.RatesProvider: Gets the set of Price indices that are available.
getPricer() - Method in class com.opengamma.strata.pricer.credit.SpreadSensitivityCalculator: Gets the pricer.
getProbabilityAtLayer(int) - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData: Obtains the transition probability values at the i-th time layer.
getProductPricer() - Method in class com.opengamma.strata.pricer.fra.DiscountingFraTradePricer: Gets the underlying product pricer.
getProductPricer() - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer: Gets the underlying product pricer.
getQ() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction: Gets the mean reversion related parameter.
getRateComputationFn() - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondPaymentPeriodPricer: Obtains the rate computation function.
getRebate(int) - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction
getRebate() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction: Gets the rebate.
getRecoveryRate() - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates: Gets the recovery rate.
getReferenceCounterCurrency() - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity: Gets the currency counter to the reference currency.
getReferenceCurrency() - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity: Gets the reference currency.
getReferenceCurrency() - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity: Gets the reference currency.
getReferenceDate() - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity: Gets the date to query the rate for.
getRepoCurveGroups() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider: Gets the groups used to find a repo curve by legal entity.
getRepoCurves() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider: Gets the repo curves, keyed by group and currency.
getRepoCurveSecurityGroups() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider: Gets the groups used to find a repo curve by security.
getRepoGroup() - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors: Gets the repo group.
getRepoGroup() - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity: Gets the repo group.
getRho() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData: Gets the rho parameter.
getRho() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData: Gets the rho parameter.
getRhoCurve() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition: Gets the rho (correlation) curve.
getRhoCurve() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Gets the rho (correlation) curve.
getRhoCurve() - Method in class com.opengamma.strata.pricer.model.SabrParameters: Gets the rho (correlation) curve.
getRhoSurface() - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters: Gets the rho (correlation) surface.
getSabrData() - Method in class com.opengamma.strata.pricer.impl.option.SabrExtrapolationRightFunction: Gets the underlying SABR data.
getSabrVolatilityFormula() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition: Gets the SABR formula.
getSabrVolatilityFormula() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Gets the SABR formula.
getSabrVolatilityFormula() - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters: Gets the SABR volatility formula.
getSabrVolatilityFormula() - Method in class com.opengamma.strata.pricer.model.SabrParameters: Gets the SABR volatility formula.
getSensitivities() - Method in class com.opengamma.strata.pricer.fxopt.SmileAndBucketedSensitivities: Gets the sensitivities.
getSensitivities() - Method in class com.opengamma.strata.pricer.fxopt.VolatilityAndBucketedSensitivities: Gets the sensitivities.
getSensitivity() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity: Gets the value of the sensitivity.
getSensitivity() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity: Gets the value of the sensitivity.
getSensitivity() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity: Gets the value of the sensitivity.
getSensitivity() - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity: Gets the value of the sensitivity.
getSensitivity() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity: Gets the value of the sensitivity.
getSensitivity() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity: Gets the value of the sensitivity.
getSensitivity() - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity
getSensitivity() - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity: Gets the value of the sensitivity.
getSensitivity() - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity: Gets the value of the sensitivity.
getSensitivity() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity: Gets the value of the sensitivity.
getSensitivity() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity: Gets the value of the sensitivity.
getSensitivity() - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity: Gets the value of the sensitivity.
getSensitivity() - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity: Gets the value of the sensitivity.
getSensitivity() - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity: Gets the value of the sensitivity.
getSensitivity() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity: Gets the value of the sensitivity.
getSensitivity() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity: Gets the value of the sensitivity.
getSensitivity() - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity: Gets the value of the sensitivity.
getSensitivityType() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity: Gets the type of the sensitivity.
getSensitivityType() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity: Gets the type of the sensitivity.
getShift() - Method in class com.opengamma.strata.pricer.option.RawOptionData: Gets the shift for which the raw data is valid.
getShiftCurve() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition: Gets the shift parameter of shifted Black model.
getShiftCurve() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition: Gets the shift curve.
getShiftCurve() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Gets the shift curve.
getShiftCurve() - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities: Gets the shift parameter of shifted Black model.
getShiftCurve() - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition: Gets the shift parameter of shifted Black model.
getShiftCurve() - Method in class com.opengamma.strata.pricer.model.SabrParameters: Gets the shift parameter of shifted SABR model.
getShiftSurface() - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters: Gets the shift parameter of shifted SABR model.
getSigma() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData: Gets the sigma parameter.
getSign() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction: Gets the sign.
getSign() - Method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction: Gets the sign.
getSimpleMoneyness() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata: Gets the simple moneyness of the surface node.
getSmile() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities: Gets the volatility model.
getSmile() - Method in class com.opengamma.strata.pricer.fxopt.SmileAndBucketedSensitivities: Gets the smile.
getSmileCount() - Method in interface com.opengamma.strata.pricer.fxopt.SmileDeltaTermStructure: Gets the number of smiles.
getSpot() - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData: Obtains the spot.
getStateValue() - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData: Gets the state value.
getStateValueAtLayer(int) - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData: Obtains the state values at the i-th time layer.
getStrike() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity: Gets the strike yield.
getStrike() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity: Gets the strike rate.
getStrike() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata: Gets the strike of the surface node.
getStrike() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata: Gets the strike of the surface node.
getStrike() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity: Gets the strike rate.
getStrike() - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata: Gets the strike of the surface node.
getStrike() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction: Gets the strike value.
getStrike() - Method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction: Gets the strike value.
getStrike() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity: Gets the swaption strike rate.
getStrike() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata: Gets the strike of the surface node.
getStrikeCount() - Method in interface com.opengamma.strata.pricer.fxopt.SmileDeltaTermStructure: Gets the number of strikes.
getStrikeExtrapolatorLeft() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure: Gets the left extrapolator used in the strike dimension.
getStrikeExtrapolatorRight() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure: Gets the right extrapolator used in the strike dimension.
getStrikeInterpolator() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure: Gets the interpolator used in the strike dimension.
getStrikePrice() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity: Gets the option strike price.
getStrikePrice() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity: Gets the option strike price.
getStrikes() - Method in class com.opengamma.strata.pricer.option.RawOptionData: Gets the strike values.
getStrikeType() - Method in class com.opengamma.strata.pricer.option.RawOptionData: Gets the value type of the strike-like dimension.
getSurface() - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities: Gets the Black volatility surface.
getSurface() - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities: Gets the normal volatility surface.
getSurface() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities: Gets the Black volatility surface.
getSurface() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities: Gets the normal volatility surface.
getSurface() - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities: Gets the Black volatility surface.
getSurface() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities: Gets the Black volatility surface.
getSurface() - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities: Gets the normal volatility surface.
getSurface() - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities: Gets the Black volatility surface.
getSurface() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities: Gets the normal volatility surface.
getSurface() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities: Gets the normal volatility surface.
getSurface() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities: Gets the normal volatility surface.
getSurvivalProbabilities() - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities: Gets the underlying curve.
getSwapPricer() - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsPeriodPricer: Returns the underlying swap pricer.
getSwapPricer() - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer: Gets the swap pricer.
getSwapPricer() - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionPhysicalProductPricer: Gets the swap pricer.
getTenor() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity: Gets the underlying swap tenor.
getTenor() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity: Gets the underlying swap tenor.
getTenor() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata: Gets the tenor of the surface node.
getTenors() - Method in class com.opengamma.strata.pricer.option.TenorRawOptionData: Gets the set of tenors.
getTime(int) - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData: Obtains the time for the i-th layer.
getTime() - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData: Gets the time.
getTimeExtrapolatorLeft() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure: Gets the left extrapolator used in the time dimension.
getTimeExtrapolatorRight() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure: Gets the right extrapolator used in the time dimension.
getTimeInterpolator() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure: Gets the interpolator used in the time dimension.
getTimeSeries() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider: Gets the time-series, defaulted to an empty map.
getTimeSeriesIndices() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
getTimeSeriesIndices() - Method in interface com.opengamma.strata.pricer.rate.RatesProvider: Gets the set of indices that have time-series available.
getTimeToExpiry() - Method in class com.opengamma.strata.pricer.impl.option.SabrExtrapolationRightFunction: Gets the time to expiry.
getTimeToExpiry() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction: Gets the time to expiry.
getTimeToExpiry() - Method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction: Gets the time to expiry.
getTimeToExpiry() - Method in interface com.opengamma.strata.pricer.impl.tree.OptionFunction: Obtains time to expiry.
getTradePricer() - Method in class com.opengamma.strata.pricer.credit.IsdaCompliantCreditCurveCalibrator: Obtains the trade pricer used in this calibration.
getTradeType() - Method in interface com.opengamma.strata.pricer.curve.CalibrationMeasure: Gets the trade type of the calibrator.
getTradeType() - Method in class com.opengamma.strata.pricer.curve.MarketQuoteMeasure
getTradeType() - Method in class com.opengamma.strata.pricer.curve.PresentValueCalibrationMeasure
getTradeType() - Method in class com.opengamma.strata.pricer.curve.TradeCalibrationMeasure
getTradeTypes() - Method in class com.opengamma.strata.pricer.curve.CalibrationMeasures: Gets the supported trade types.
getTransform(DoubleArray) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrModelFitter
getTransform(DoubleArray, BitSet) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrModelFitter
getTransform(DoubleArray) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SmileModelFitter: Obtains the nonlinear transformation of parameters from the initial values.
getTransform(DoubleArray, BitSet) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SmileModelFitter: Obtains the nonlinear transformation of parameters from the initial values with some parameters fixed.
getTransitionProbability() - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData: Gets the transition probability.
getValuationDate() - Method in interface com.opengamma.strata.pricer.BaseProvider: Gets the valuation date.
getValuationDate() - Method in interface com.opengamma.strata.pricer.bond.BondFutureVolatilities: Gets the valuation date.
getValuationDate() - Method in interface com.opengamma.strata.pricer.bond.BondYieldVolatilities: Gets the valuation date.
getValuationDate() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider: Gets the valuation date.
getValuationDate() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors: Gets the valuation date.
getValuationDate() - Method in interface com.opengamma.strata.pricer.bond.LegalEntityDiscountingProvider: Gets the valuation date.
getValuationDate() - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors: Gets the valuation date.
getValuationDate() - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities: Gets the valuation date.
getValuationDate() - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates: Gets the valuation date.
getValuationDate() - Method in interface com.opengamma.strata.pricer.credit.CreditRatesProvider: Gets the valuation date.
getValuationDate() - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider: Gets the valuation date.
getValuationDate() - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors: Gets the valuation date.
getValuationDate() - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities: Gets the valuation date.
getValuationDate() - Method in interface com.opengamma.strata.pricer.credit.RecoveryRates: Gets the valuation date.
getValuationDate() - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates
getValuationDate() - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates
getValuationDate() - Method in interface com.opengamma.strata.pricer.fx.FxForwardRates: Gets the valuation date.
getValuationDate() - Method in interface com.opengamma.strata.pricer.fxopt.FxOptionVolatilities: Gets the valuation date.
getValuationDate() - Method in interface com.opengamma.strata.pricer.index.IborFutureOptionVolatilities: Gets the valuation date.
getValuationDate() - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates
getValuationDate() - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
getValuationDate() - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates: Gets the valuation date.
getValuationDate() - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates: Gets the valuation date.
getValuationDate() - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues: Gets the valuation date.
getValuationDate() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider: Gets the valuation date.
getValuationDate() - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates: Gets the valuation date.
getValuationDate() - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues: Gets the valuation date.
getValuationDate() - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors: Gets the valuation date.
getValuationDate() - Method in interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities: Gets the valuation date.
getValuationDate() - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors: Gets the valuation date.
getValuationDate() - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors: Gets the valuation date.
getValuationDateTime() - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in interface com.opengamma.strata.pricer.bond.BondFutureVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in interface com.opengamma.strata.pricer.bond.BondYieldVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in interface com.opengamma.strata.pricer.fxopt.FxOptionVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in interface com.opengamma.strata.pricer.index.IborFutureOptionVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider: Gets the valuation date.
getValuationDateTime() - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities: Gets the valuation date-time.
getValuationDateTime() - Method in interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities: Gets the valuation date-time.
getVolatilities() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityCalibrationResult: Gets the caplet volatilities.
getVolatilitiesName() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity: Gets the name of the volatilities.
getVolatilitiesName() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity: Gets the name of the volatilities.
getVolatilitiesName() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity: Gets the name of the volatilities.
getVolatilitiesName() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity: Gets the name of the volatilities.
getVolatilitiesName() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity: Gets the name of the volatilities.
getVolatilitiesName() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity: Gets the name of the volatilities.
getVolatilitiesName() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity: Gets the name of the volatilities.
getVolatilitiesName() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity: Gets the name of the volatilities.
getVolatility() - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters: Gets the volatilities associated with the strikes.
getVolatility() - Method in class com.opengamma.strata.pricer.fxopt.VolatilityAndBucketedSensitivities: Gets the volatility.
getVolatility() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParameters: Gets the volatility parameters.
getVolatilityTerm() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure: Gets the smile description at the different time to expiry.
getVolatilityTerm() - Method in interface com.opengamma.strata.pricer.fxopt.SmileDeltaTermStructure: Gets the volatility smiles from delta.
getVolatilityTime() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParameters: Gets the times separating the constant volatility periods.
getVolatilityType() - Method in interface com.opengamma.strata.pricer.bond.BlackBondFutureVolatilities
getVolatilityType() - Method in interface com.opengamma.strata.pricer.bond.BondFutureVolatilities: Gets the type of volatility returned by the BondFutureVolatilities.volatility(java.time.ZonedDateTime, java.time.LocalDate, double, double) method.
getVolatilityType() - Method in interface com.opengamma.strata.pricer.bond.BondYieldVolatilities: Gets the type of volatility returned by the BondYieldVolatilities.volatility(double, double, double, double) method.
getVolatilityType() - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities
getVolatilityType() - Method in interface com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletVolatilities
getVolatilityType() - Method in interface com.opengamma.strata.pricer.capfloor.BlackSabrIborCapletFloorletVolatilities
getVolatilityType() - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities: Gets the type of volatility returned by the IborCapletFloorletVolatilities.volatility(java.time.ZonedDateTime, double, double) method.
getVolatilityType() - Method in interface com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletVolatilities
getVolatilityType() - Method in interface com.opengamma.strata.pricer.capfloor.NormalSabrIborCapletFloorletVolatilities
getVolatilityType() - Method in interface com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities
getVolatilityType() - Method in interface com.opengamma.strata.pricer.fxopt.FxOptionVolatilities: Gets the type of volatility returned by the FxOptionVolatilities.volatility(com.opengamma.strata.basics.currency.CurrencyPair, java.time.ZonedDateTime, double, double) method.
getVolatilityType() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganNormalVolatilityFormula
getVolatilityType() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProvider
getVolatilityType() - Method in interface com.opengamma.strata.pricer.index.IborFutureOptionVolatilities: Gets the type of volatility returned by the IborFutureOptionVolatilities.volatility(java.time.ZonedDateTime, java.time.LocalDate, double, double) method.
getVolatilityType() - Method in interface com.opengamma.strata.pricer.index.NormalIborFutureOptionVolatilities
getVolatilityType() - Method in interface com.opengamma.strata.pricer.model.SabrVolatilityFormula: Gets the type of volatility returned by the SabrVolatilityFormula.volatility(double, double, double, double, double, double, double) method.
getVolatilityType() - Method in interface com.opengamma.strata.pricer.swaption.BlackSwaptionVolatilities
getVolatilityType() - Method in interface com.opengamma.strata.pricer.swaption.NormalSwaptionVolatilities
getVolatilityType() - Method in interface com.opengamma.strata.pricer.swaption.SabrSwaptionVolatilities
getVolatilityType() - Method in interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities: Gets the type of volatility returned by the SwaptionVolatilities.volatility(java.time.ZonedDateTime, double, double, double) method.
getYearFraction() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity: Gets the time that was queried, expressed as a year fraction.
getYearFraction() - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity: Gets the time that was queried, expressed as a year fraction.
getYearFraction() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata: Gets the year fraction of the surface node.
getYearFraction() - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity: Gets the time that was queried, expressed as a year fraction.
getYearFraction() - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata: Gets the year fraction of the surface node.
getYearFraction() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata: Gets the year fraction of the surface node.
getYearFraction() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata: Gets the year fraction of the surface node.
getYearFraction() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata: Gets the year fraction of the surface node.
getYearFraction() - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity: Gets the time that was queried, expressed as a year fraction.
getYearFractionTenor() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata: Gets the tenor associated with the year fraction.
getYearFractionTenor() - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata: Gets the tenor associated with the year fraction.
getZeroRateSensitivity() - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity: Gets the zero rate sensitivity.

H

hagan() - Static method in interface com.opengamma.strata.pricer.model.SabrVolatilityFormula: The Hagan SABR volatility formula.
hashCode() - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities
hashCode() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity
hashCode() - Method in class com.opengamma.strata.pricer.bond.BondFutureVolatilitiesId
hashCode() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity
hashCode() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider
hashCode() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors
hashCode() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity
hashCode() - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities
hashCode() - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors
hashCode() - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity
hashCode() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
hashCode() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
hashCode() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition
hashCode() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition
hashCode() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts
hashCode() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts
hashCode() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity
hashCode() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity
hashCode() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilitiesId
hashCode() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityCalibrationResult
hashCode() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
hashCode() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
hashCode() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
hashCode() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition
hashCode() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition
hashCode() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
hashCode() - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
hashCode() - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition
hashCode() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata
hashCode() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata
hashCode() - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates
hashCode() - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity
hashCode() - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider
hashCode() - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
hashCode() - Method in class com.opengamma.strata.pricer.credit.JumpToDefault
hashCode() - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities
hashCode() - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates
hashCode() - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates
hashCode() - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity
hashCode() - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity
hashCode() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities
hashCode() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities
hashCode() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities
hashCode() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity
hashCode() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionVolatilitiesId
hashCode() - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata
hashCode() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure
hashCode() - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData
hashCode() - Method in class com.opengamma.strata.pricer.fxopt.SmileAndBucketedSensitivities
hashCode() - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters
hashCode() - Method in class com.opengamma.strata.pricer.fxopt.VolatilityAndBucketedSensitivities
hashCode() - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel
hashCode() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction
hashCode() - Method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction
hashCode() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData
hashCode() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProvider
hashCode() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction
hashCode() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData
hashCode() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviVolatilityFunction
hashCode() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity
hashCode() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionVolatilitiesId
hashCode() - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities
hashCode() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParameters
hashCode() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider
hashCode() - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters
hashCode() - Method in class com.opengamma.strata.pricer.model.SabrParameters
hashCode() - Method in class com.opengamma.strata.pricer.option.RawOptionData
hashCode() - Method in class com.opengamma.strata.pricer.option.TenorRawOptionData
hashCode() - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates
hashCode() - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
hashCode() - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates
hashCode() - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates
hashCode() - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues
hashCode() - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity
hashCode() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
hashCode() - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity
hashCode() - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity
hashCode() - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates
hashCode() - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues
hashCode() - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors
hashCode() - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
hashCode() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
hashCode() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
hashCode() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
hashCode() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
hashCode() - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition
hashCode() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity
hashCode() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity
hashCode() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata
hashCode() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata
hashCode() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata
hashCode() - Method in class com.opengamma.strata.pricer.swaption.SwaptionVolatilitiesId
hashCode() - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors
hashCode() - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
hashCode() - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity
HistoricIborIndexRates - Class in com.opengamma.strata.pricer.rate: Historic Ibor index rates, used for indices that are no longer active.
HistoricIborIndexRates.Meta - Class in com.opengamma.strata.pricer.rate: The meta-bean for HistoricIborIndexRates.
HistoricOvernightIndexRates - Class in com.opengamma.strata.pricer.rate: Historic Overnight index rates, used for indices that are no longer active.
HistoricOvernightIndexRates.Meta - Class in com.opengamma.strata.pricer.rate: The meta-bean for HistoricOvernightIndexRates.
HistoricPriceIndexValues - Class in com.opengamma.strata.pricer.rate: Historic Price index values, used for indices that are no longer active.
HistoricPriceIndexValues.Meta - Class in com.opengamma.strata.pricer.rate: The meta-bean for HistoricPriceIndexValues.
HullWhiteIborFutureProductPricer - Class in com.opengamma.strata.pricer.index: Pricer for for Ibor future products.
HullWhiteIborFutureProductPricer() - Constructor for class com.opengamma.strata.pricer.index.HullWhiteIborFutureProductPricer: Creates an instance.
HullWhiteIborFutureTradePricer - Class in com.opengamma.strata.pricer.index: Pricer for for Ibor future trades.
HullWhiteIborFutureTradePricer(HullWhiteIborFutureProductPricer) - Constructor for class com.opengamma.strata.pricer.index.HullWhiteIborFutureTradePricer: Creates an instance.
HullWhiteOneFactorPiecewiseConstantInterestRateModel - Class in com.opengamma.strata.pricer.impl.rate.model: Methods related to the Hull-White one factor (extended Vasicek) model with piecewise constant volatility.
HullWhiteOneFactorPiecewiseConstantParameters - Class in com.opengamma.strata.pricer.model: Data bundle related to the Hull-White one factor (extended Vasicek) model with piecewise constant volatility.
HullWhiteOneFactorPiecewiseConstantParametersProvider - Class in com.opengamma.strata.pricer.model: Hull-White one factor model with piecewise constant volatility.
HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta - Class in com.opengamma.strata.pricer.model: The meta-bean for HullWhiteOneFactorPiecewiseConstantParametersProvider.
HullWhiteSwaptionPhysicalProductPricer - Class in com.opengamma.strata.pricer.swaption: Pricer for swaption with physical settlement in Hull-White one factor model with piecewise constant volatility.
HullWhiteSwaptionPhysicalProductPricer(DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.swaption.HullWhiteSwaptionPhysicalProductPricer: Creates an instance.
HullWhiteSwaptionPhysicalTradePricer - Class in com.opengamma.strata.pricer.swaption: Pricer for swaption with physical settlement in Hull-White one factor model with piecewise constant volatility.
HullWhiteSwaptionPhysicalTradePricer() - Constructor for class com.opengamma.strata.pricer.swaption.HullWhiteSwaptionPhysicalTradePricer

I

IBOR_FIXING_DEPOSIT_MQ - Static variable in class com.opengamma.strata.pricer.curve.MarketQuoteMeasure: The measure for ResolvedIborFixingDepositTrade using par rate discounting.
IBOR_FIXING_DEPOSIT_PAR_SPREAD - Static variable in class com.opengamma.strata.pricer.curve.TradeCalibrationMeasure: The calibrator for ResolvedIborFixingDepositTrade using par spread discounting.
IBOR_FIXING_DEPOSIT_PV - Static variable in class com.opengamma.strata.pricer.curve.PresentValueCalibrationMeasure: The calibrator for IborFixingDepositTrade using present value discounting.
IBOR_FUTURE_MQ - Static variable in class com.opengamma.strata.pricer.curve.MarketQuoteMeasure: The measure for ResolvedIborFutureTrade using price discounting.
IBOR_FUTURE_PAR_SPREAD - Static variable in class com.opengamma.strata.pricer.curve.TradeCalibrationMeasure: The calibrator for ResolvedIborFutureTrade using par spread discounting.
IBOR_FUTURE_PV - Static variable in class com.opengamma.strata.pricer.curve.PresentValueCalibrationMeasure: The calibrator for IborFutureTrade using present value discounting.
IborCapletFloorletPeriodAmounts - Class in com.opengamma.strata.pricer.capfloor: A map of double values keyed by Ibor caplet/floorlet periods.
IborCapletFloorletPeriodAmounts.Builder - Class in com.opengamma.strata.pricer.capfloor: The bean-builder for IborCapletFloorletPeriodAmounts.
IborCapletFloorletPeriodAmounts.Meta - Class in com.opengamma.strata.pricer.capfloor: The meta-bean for IborCapletFloorletPeriodAmounts.
IborCapletFloorletPeriodCurrencyAmounts - Class in com.opengamma.strata.pricer.capfloor: A map of currency amounts keyed by Ibor caplet/floorlet periods.
IborCapletFloorletPeriodCurrencyAmounts.Builder - Class in com.opengamma.strata.pricer.capfloor: The bean-builder for IborCapletFloorletPeriodCurrencyAmounts.
IborCapletFloorletPeriodCurrencyAmounts.Meta - Class in com.opengamma.strata.pricer.capfloor: The meta-bean for IborCapletFloorletPeriodCurrencyAmounts.
IborCapletFloorletSabrSensitivity - Class in com.opengamma.strata.pricer.capfloor: Sensitivity of a caplet/floorlet to SABR model parameters.
IborCapletFloorletSabrSensitivity.Meta - Class in com.opengamma.strata.pricer.capfloor: The meta-bean for IborCapletFloorletSabrSensitivity.
IborCapletFloorletSensitivity - Class in com.opengamma.strata.pricer.capfloor: Point sensitivity to Ibor caplet/floorlet implied parameter point.
IborCapletFloorletSensitivity.Meta - Class in com.opengamma.strata.pricer.capfloor: The meta-bean for IborCapletFloorletSensitivity.
IborCapletFloorletVolatilities - Interface in com.opengamma.strata.pricer.capfloor: Volatilities for pricing Ibor caplet/floorlet.
IborCapletFloorletVolatilitiesId - Class in com.opengamma.strata.pricer.capfloor: An identifier used to access Ibor cap/floor volatilities by name.
IborCapletFloorletVolatilitiesName - Class in com.opengamma.strata.pricer.capfloor: The name of a set of Ibor cap/floor volatilities.
IborCapletFloorletVolatilityCalibrationResult - Class in com.opengamma.strata.pricer.capfloor: Calibration result for Ibor caplet/floorlet volatilities.
IborCapletFloorletVolatilityCalibrationResult.Meta - Class in com.opengamma.strata.pricer.capfloor: The meta-bean for IborCapletFloorletVolatilityCalibrationResult.
IborCapletFloorletVolatilityDefinition - Interface in com.opengamma.strata.pricer.capfloor: Definition of caplet volatilities calibration.
IborFutureOptionSensitivity - Class in com.opengamma.strata.pricer.index: Point sensitivity to an implied volatility for a Ibor future option model.
IborFutureOptionSensitivity.Meta - Class in com.opengamma.strata.pricer.index: The meta-bean for IborFutureOptionSensitivity.
IborFutureOptionVolatilities - Interface in com.opengamma.strata.pricer.index: Volatilities for pricing Ibor futures.
IborFutureOptionVolatilitiesId - Class in com.opengamma.strata.pricer.index: An identifier used to access Ibor future option volatilities by name.
IborFutureOptionVolatilitiesName - Class in com.opengamma.strata.pricer.index: The name of a set of Ibor future option volatilities.
iborIndexCurve(IborIndex, Curve) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProviderBuilder: Adds an Ibor index forward curve to the provider.
iborIndexCurve(IborIndex, Curve, LocalDateDoubleTimeSeries) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProviderBuilder: Adds an Ibor index forward curve to the provider with associated time-series.
IborIndexRates - Interface in com.opengamma.strata.pricer.rate: Provides access to rates for an Ibor index.
iborIndexRates(IborIndex) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
iborIndexRates(IborIndex) - Method in interface com.opengamma.strata.pricer.rate.RatesProvider: Gets the rates for an Ibor index.
IborRateSensitivity - Class in com.opengamma.strata.pricer.rate: Point sensitivity to a rate from an Ibor index curve.
IborRateSensitivity.Meta - Class in com.opengamma.strata.pricer.rate: The meta-bean for IborRateSensitivity.
ImmutableCreditRatesProvider - Class in com.opengamma.strata.pricer.credit: The immutable rates provider, used to calculate analytic measures.
ImmutableCreditRatesProvider.Builder - Class in com.opengamma.strata.pricer.credit: The bean-builder for ImmutableCreditRatesProvider.
ImmutableCreditRatesProvider.Meta - Class in com.opengamma.strata.pricer.credit: The meta-bean for ImmutableCreditRatesProvider.
ImmutableLegalEntityDiscountingProvider - Class in com.opengamma.strata.pricer.bond: An immutable provider of data for bond pricing, based on repo and issuer discounting.
ImmutableLegalEntityDiscountingProvider.Builder - Class in com.opengamma.strata.pricer.bond: The bean-builder for ImmutableLegalEntityDiscountingProvider.
ImmutableLegalEntityDiscountingProvider.Meta - Class in com.opengamma.strata.pricer.bond: The meta-bean for ImmutableLegalEntityDiscountingProvider.
ImmutableRatesProvider - Class in com.opengamma.strata.pricer.rate: The default immutable rates provider, used to calculate analytic measures.
ImmutableRatesProvider.Meta - Class in com.opengamma.strata.pricer.rate: The meta-bean for ImmutableRatesProvider.
ImmutableRatesProviderBuilder - Class in com.opengamma.strata.pricer.rate: Builder for the immutable rates provider.
ImmutableRatesProviderGenerator - Class in com.opengamma.strata.pricer.curve: Generates a rates provider based on an existing provider.
impliedSpread(List<ResolvedCdsTrade>, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.SpreadSensitivityCalculator
impliedStrike(double, boolean, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the implied strike from delta and volatility in the Black formula.
impliedStrike(double, boolean, double, double, double, double[]) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the implied strike and its derivatives from delta and volatility in the Black formula.
impliedStrikesDerivativeToExpiry(double) - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters: Calculates the derivatives of the implied strikes to expiry.
impliedStrikesDerivativeToSmileVols(double) - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters: Calculates the derivatives of the implied strikes to volatility.
ImpliedTrinomialTreeFxOptionCalibrator - Class in com.opengamma.strata.pricer.fxopt: Utilities to calibrate implied trinomial tree to Black volatilities of FX options.
ImpliedTrinomialTreeFxOptionCalibrator(int) - Constructor for class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxOptionCalibrator: Calibrator with the specified number of time steps.
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer - Class in com.opengamma.strata.pricer.fxopt: Pricer for FX barrier option products under implied trinomial tree.
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer() - Constructor for class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer: Pricer with the default number of time steps.
ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer(int) - Constructor for class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer: Pricer with the specified number of time steps.
ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer - Class in com.opengamma.strata.pricer.fxopt: Pricer for FX barrier option trades under implied trinomial tree.
ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer(ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer, DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer: Creates an instance.
ImpliedTrinomialTreeLocalVolatilityCalculator - Class in com.opengamma.strata.pricer.impl.volatility.local: Local volatility calculation based on trinomila tree model.
ImpliedTrinomialTreeLocalVolatilityCalculator() - Constructor for class com.opengamma.strata.pricer.impl.volatility.local.ImpliedTrinomialTreeLocalVolatilityCalculator: Creates an instance with default setups.
ImpliedTrinomialTreeLocalVolatilityCalculator(int, double) - Constructor for class com.opengamma.strata.pricer.impl.volatility.local.ImpliedTrinomialTreeLocalVolatilityCalculator: Creates an instance with the number of steps and maximum time fixed.
ImpliedTrinomialTreeLocalVolatilityCalculator(int, double, SurfaceInterpolator) - Constructor for class com.opengamma.strata.pricer.impl.volatility.local.ImpliedTrinomialTreeLocalVolatilityCalculator: Creates an instance by specifying the number of steps, maximum time, and 2D interpolator.
impliedVolatilities(ResolvedIborCapFloorLeg, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorLegPricer: Calculates the implied volatilities for each caplet/floorlet of the Ibor cap/floor leg.
impliedVolatilities(ResolvedIborCapFloor, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorProductPricer: Calculates the implied volatilities for each caplet/floorlet of the Ibor cap/floor.
impliedVolatilities(ResolvedIborCapFloorTrade, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorTradePricer: Calculates the implied volatilities for each caplet/floorlet of the Ibor cap/floor trade.
impliedVolatility(IborCapletFloorletPeriod, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapletFloorletPeriodPricer: Computes the implied volatility of the Ibor caplet/floorlet.
impliedVolatility(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionProductPricer: Calculates the implied Black volatility of the FX barrier option product.
impliedVolatility(ResolvedFxSingleBarrierOptionTrade, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionTradePricer: Calculates the implied Black volatility of the FX barrier option trade.
impliedVolatility(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionProductPricer: Calculates the implied Black volatility of the foreign exchange vanilla option product.
impliedVolatility(ResolvedFxVanillaOptionTrade, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionTradePricer: Calculates the implied Black volatility of the foreign exchange vanilla option trade.
impliedVolatility(double, double, double, double, boolean) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the log-normal implied volatility.
impliedVolatility(double, double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the log-normal (Black) implied volatility of an out-the-money European option starting from an initial guess.
impliedVolatility(double) - Method in class com.opengamma.strata.pricer.impl.option.GenericImpliedVolatiltySolver: Computes the implied volatility.
impliedVolatility(double, double) - Method in class com.opengamma.strata.pricer.impl.option.GenericImpliedVolatiltySolver: Computes the implied volatility.
impliedVolatility(double, double, double, double, double, double, PutCall) - Static method in class com.opengamma.strata.pricer.impl.option.NormalFormulaRepository: Computes the implied volatility.
impliedVolatility(ResolvedSwaptionTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionTradePricer: Computes the implied volatility of the swaption.
impliedVolatility(ResolvedSwaptionTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionTradePricer: Computes the implied volatility of the swaption.
impliedVolatility(ResolvedSwaptionTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionTradePricer: Computes the implied volatility of the swaption.
impliedVolatility(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer: Computes the implied volatility of the swaption.
impliedVolatility(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionPhysicalProductPricer: Computes the implied volatility of the swaption.
impliedVolatility(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionProductPricer: Computes the implied volatility of the swaption.
impliedVolatility(ResolvedSwaptionTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionTradePricer: Computes the implied volatility of the swaption.
impliedVolatilityAdjoint(double, double, double, double, boolean) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the log-normal implied volatility and its derivative with respect to price.
impliedVolatilityAdjoint(double, double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the log-normal (Black) implied volatility of an out-the-money European option starting from an initial guess and the derivative of the volatility w.r.t.
impliedVolatilityFromBlackApproximated(double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.NormalFormulaRepository: Compute the implied volatility using an approximate explicit transformation formula.
impliedVolatilityFromBlackApproximatedAdjoint(double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.NormalFormulaRepository: Compute the implied volatility using an approximate explicit transformation formula and its derivative with respect to the input Black volatility.
impliedVolatilityFromNormalApproximated(double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Compute the log-normal implied volatility from a normal volatility using an approximate initial guess and a root-finder.
impliedVolatilityFromNormalApproximated2(double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Compute the normal implied volatility from a normal volatility using an approximate explicit formula.
impliedVolatilityFromNormalApproximatedAdjoint(double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Compute the log-normal implied volatility from a normal volatility using an approximate initial guess and a root-finder and compute the derivative of the log-normal volatility with respect to the input normal volatility.
impliedVolatilityFromPresentValue(ResolvedSwaption, RatesProvider, DayCount, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionCashParYieldProductPricer: Computes the implied normal volatility from the present value of a swaption.
impliedVolatilityFromPresentValue(ResolvedSwaption, RatesProvider, DayCount, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionPhysicalProductPricer: Computes the implied normal volatility from the present value of a swaption.
index() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities.Meta: The meta-property for the index property.
index() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities.Meta: The meta-property for the index property.
index(IborIndex) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Builder: Sets the Ibor index for which the data is valid.
index() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Meta: The meta-property for the index property.
index(IborIndex) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Builder: Sets the Ibor index for which the data is valid.
index() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Meta: The meta-property for the index property.
index() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities.Meta: The meta-property for the index property.
index() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities.Meta: The meta-property for the index property.
index() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities.Meta: The meta-property for the index property.
index(IborIndex) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder: Sets the Ibor index for which the data is valid.
index() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta: The meta-property for the index property.
index(IborIndex) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder: Sets the Ibor index for which the data is valid.
index() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta: The meta-property for the index property.
index(IborIndex) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Builder: Sets the Ibor index.
index() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Meta: The meta-property for the index property.
index() - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta: The meta-property for the index property.
index() - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta: The meta-property for the index property.
index() - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates.Meta: The meta-property for the index property.
index(IborIndex) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Builder: Sets the index of the underlying future.
index() - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Meta: The meta-property for the index property.
index() - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates.Meta: The meta-property for the index property.
index() - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates.Meta: The meta-property for the index property.
index() - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates.Meta: The meta-property for the index property.
index() - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates.Meta: The meta-property for the index property.
index() - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues.Meta: The meta-property for the index property.
index() - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates.Meta: The meta-property for the index property.
index() - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues.Meta: The meta-property for the index property.
indexCurve(Index, Curve) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProviderBuilder: Adds an index forward curve to the provider.
indexCurve(Index, Curve, LocalDateDoubleTimeSeries) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProviderBuilder: Adds an index forward curve to the provider with associated time-series.
indexCurves() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider.Meta: The meta-property for the indexCurves property.
indexCurves(Map<? extends Index, ? extends Curve>) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProviderBuilder: Adds index forward curves to the provider with associated time-series.
indexCurves(Map<? extends Index, ? extends Curve>, Map<? extends Index, LocalDateDoubleTimeSeries>) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProviderBuilder: Adds index forward curves to the provider with associated time-series.
indices() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
indices() - Method in interface com.opengamma.strata.pricer.rate.RatesProvider: Gets the forward indices that are available.
InflationRateSensitivity - Class in com.opengamma.strata.pricer.rate: Point sensitivity to a rate from a price index curve.
InflationRateSensitivity.Meta - Class in com.opengamma.strata.pricer.rate: The meta-bean for InflationRateSensitivity.
initialParameters(DoubleArray) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder: Sets the initial parameter values used in calibration.
initialParameters() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta: The meta-property for the initialParameters property.
InterpolatedStrikeSmileDeltaTermStructure - Class in com.opengamma.strata.pricer.fxopt: An interpolated term structure of smiles as used in Forex market.
InterpolatedStrikeSmileDeltaTermStructure.Meta - Class in com.opengamma.strata.pricer.fxopt: The meta-bean for InterpolatedStrikeSmileDeltaTermStructure.
interpolator(CurveInterpolator) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Builder: Sets the interpolator for the caplet volatilities.
interpolator() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Meta: The meta-property for the interpolator property.
interpolator(GridSurfaceInterpolator) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Builder: Sets the interpolator for the caplet volatilities.
interpolator() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Meta: The meta-property for the interpolator property.
interpolator(CurveInterpolator) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder: Sets the interpolator for the SABR parameter curves.
interpolator() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta: The meta-property for the interpolator property.
interpolator(CurveInterpolator) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder: Sets the interpolator for the SABR parameters.
interpolator() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta: The meta-property for the interpolator property.
interpolator() - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta: The meta-property for the interpolator property.
interpolator() - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition.Meta: The meta-property for the interpolator property.
isAllowed(int, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData
isAllowed(int, double) - Method in interface com.opengamma.strata.pricer.impl.volatility.smile.SmileModelData: Checks the value satisfies the constraint for a model parameter.
isAllowed(int, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData
isCleanPrice() - Method in enum com.opengamma.strata.pricer.common.PriceType: Check if the price type is 'Clean'.
IsdaCdsProductPricer - Class in com.opengamma.strata.pricer.credit: Pricer for single-name credit default swaps (CDS) based on ISDA standard model.
IsdaCdsProductPricer(AccrualOnDefaultFormula) - Constructor for class com.opengamma.strata.pricer.credit.IsdaCdsProductPricer: Constructor specifying the formula to use for the accrued on default calculation.
IsdaCdsTradePricer - Class in com.opengamma.strata.pricer.credit: Pricer for single-name credit default swaps (CDS) trade based on ISDA standard model.
IsdaCdsTradePricer() - Constructor for class com.opengamma.strata.pricer.credit.IsdaCdsTradePricer: The default constructor.
IsdaCdsTradePricer(AccrualOnDefaultFormula) - Constructor for class com.opengamma.strata.pricer.credit.IsdaCdsTradePricer: The constructor with the accrual-on-default formula specified.
IsdaCompliantCreditCurveCalibrator - Class in com.opengamma.strata.pricer.credit: ISDA compliant credit curve calibrator.
IsdaCompliantCreditCurveCalibrator() - Constructor for class com.opengamma.strata.pricer.credit.IsdaCompliantCreditCurveCalibrator
IsdaCompliantCreditCurveCalibrator(AccrualOnDefaultFormula) - Constructor for class com.opengamma.strata.pricer.credit.IsdaCompliantCreditCurveCalibrator
IsdaCompliantCreditCurveCalibrator(AccrualOnDefaultFormula, ArbitrageHandling) - Constructor for class com.opengamma.strata.pricer.credit.IsdaCompliantCreditCurveCalibrator
IsdaCompliantDiscountCurveCalibrator - Class in com.opengamma.strata.pricer.credit: ISDA compliant discount curve calibrator.
IsdaCompliantIndexCurveCalibrator - Class in com.opengamma.strata.pricer.credit: ISDA compliant index curve calibrator.
IsdaCompliantIndexCurveCalibrator(IsdaCompliantCreditCurveCalibrator) - Constructor for class com.opengamma.strata.pricer.credit.IsdaCompliantIndexCurveCalibrator: Constructor with the underlying credit curve calibrator specified.
IsdaCreditDiscountFactors - Class in com.opengamma.strata.pricer.credit: ISDA compliant zero rate discount factors.
IsdaCreditDiscountFactors.Meta - Class in com.opengamma.strata.pricer.credit: The meta-bean for IsdaCreditDiscountFactors.
IsdaHomogenousCdsIndexProductPricer - Class in com.opengamma.strata.pricer.credit: Pricer for CDS portfolio index based on ISDA standard model.
IsdaHomogenousCdsIndexProductPricer(AccrualOnDefaultFormula) - Constructor for class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexProductPricer: Constructor specifying the formula to use for the accrued on default calculation.
IsdaHomogenousCdsIndexTradePricer - Class in com.opengamma.strata.pricer.credit: Pricer for CDS portfolio index trade based on ISDA standard model.
IsdaHomogenousCdsIndexTradePricer() - Constructor for class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexTradePricer: The default constructor.
IsdaHomogenousCdsIndexTradePricer(AccrualOnDefaultFormula) - Constructor for class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexTradePricer: The constructor with the accrual-on-default formula specified.
isIsdaCompliant() - Method in interface com.opengamma.strata.pricer.credit.CreditDiscountFactors: Checks if the instance is based on an ISDA compliant curve.
isIsdaCompliant() - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
issuerCurveDiscountFactors(LegalEntityId, Currency) - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider
IssuerCurveDiscountFactors - Class in com.opengamma.strata.pricer.bond: Provides access to discount factors for an issuer curve.
issuerCurveDiscountFactors(LegalEntityId, Currency) - Method in interface com.opengamma.strata.pricer.bond.LegalEntityDiscountingProvider: Gets the discount factors from an issuer based on the issuer ID and currency.
IssuerCurveDiscountFactors.Meta - Class in com.opengamma.strata.pricer.bond: The meta-bean for IssuerCurveDiscountFactors.
issuerCurveGroups(Map<LegalEntityId, LegalEntityGroup>) - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Builder: Sets the groups used to find an issuer curve by legal entity.
issuerCurveGroups() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Meta: The meta-property for the issuerCurveGroups property.
issuerCurves(Map<Pair<LegalEntityGroup, Currency>, DiscountFactors>) - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Builder: Sets the issuer curves, keyed by group and currency.
issuerCurves() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Meta: The meta-property for the issuerCurves property.
IssuerCurveZeroRateSensitivity - Class in com.opengamma.strata.pricer.bond: Point sensitivity to the issuer curve.
IssuerCurveZeroRateSensitivity.Meta - Class in com.opengamma.strata.pricer.bond: The meta-bean for IssuerCurveZeroRateSensitivity.

J

jacobianFromMarketQuoteSensitivities(List<CurveParameterSize>, List<CurrencyParameterSensitivities>) - Static method in class com.opengamma.strata.pricer.sensitivity.CurveSensitivityUtils: Construct the inverse Jacobian matrix from the sensitivities of the trades market quotes to the curve parameters.
jacobianFromMarketQuoteSensitivities(List<CurveParameterSize>, List<ResolvedTrade>, Function<ResolvedTrade, CurrencyParameterSensitivities>) - Static method in class com.opengamma.strata.pricer.sensitivity.CurveSensitivityUtils: Construct the inverse Jacobian matrix from the trades and a function used to compute the sensitivities of the market quotes to the curve parameters.
jumpToDefault(ResolvedCds, CreditRatesProvider, LocalDate, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsProductPricer: Calculates the jump-to-default of the CDS product.
jumpToDefault(ResolvedCdsTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsTradePricer: Calculates the jump-to-default of the underlying product.
jumpToDefault(ResolvedCdsIndex, CreditRatesProvider, LocalDate, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexProductPricer: Calculates the jump-to-default of the CDS index product.
jumpToDefault(ResolvedCdsIndexTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexTradePricer: Calculates the jump-to-default of the underlying product.
JumpToDefault - Class in com.opengamma.strata.pricer.credit: The result of calculating Jump-To-Default.
JumpToDefault.Meta - Class in com.opengamma.strata.pricer.credit: The meta-bean for JumpToDefault.

K

kappa(DoubleArray, DoubleArray) - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: Calculates the exercise boundary for swaptions.

L

label() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata.Meta: The meta-property for the label property.
label() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata.Meta: The meta-property for the label property.
label() - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata.Meta: The meta-property for the label property.
label() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.Meta: The meta-property for the label property.
label() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata.Meta: The meta-property for the label property.
label() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata.Meta: The meta-property for the label property.
lambda(double) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Builder: Sets penalty intensity parameter.
lambda() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Meta: The meta-property for the lambda property.
lambda(DoubleArray, DoubleArray, DoubleArray) - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: Calculates the common part of the exercise boundary of European swaptions forward.
lambdaExpiry(double) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Builder: Sets penalty intensity parameter for expiry dimension.
lambdaExpiry() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Meta: The meta-property for the lambdaExpiry property.
lambdaStrike(double) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Builder: Sets penalty intensity parameter for strike dimension.
lambdaStrike() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Meta: The meta-property for the lambdaStrike property.
LatticeSpecification - Interface in com.opengamma.strata.pricer.impl.tree: Lattice specification interface.
LegalEntityDiscountingProvider - Interface in com.opengamma.strata.pricer.bond: A provider of data for bond pricing, based on repo and issuer discounting.
legalEntityGroup() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors.Meta: The meta-property for the legalEntityGroup property.
legalEntityGroup() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity.Meta: The meta-property for the legalEntityGroup property.
legalEntityId() - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates.Meta: The meta-property for the legalEntityId property.
legalEntityId() - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity.Meta: The meta-property for the legalEntityId property.
legalEntityId() - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities.Meta: The meta-property for the legalEntityId property.
LegalEntitySurvivalProbabilities - Class in com.opengamma.strata.pricer.credit: The legal entity survival probabilities.
LegalEntitySurvivalProbabilities.Meta - Class in com.opengamma.strata.pricer.credit: The meta-bean for LegalEntitySurvivalProbabilities.
linearRebucketing(CurrencyParameterSensitivities, List<LocalDate>) - Static method in class com.opengamma.strata.pricer.sensitivity.CurveSensitivityUtils: Re-buckets a CurrencyParameterSensitivities to a given set of dates.
linearRebucketing(CurrencyParameterSensitivities, List<LocalDate>, LocalDate) - Static method in class com.opengamma.strata.pricer.sensitivity.CurveSensitivityUtils: Re-buckets a CurrencyParameterSensitivities to a given set of dates.
LocalVolatilityCalculator - Interface in com.opengamma.strata.pricer.impl.volatility.local: Local volatility calculation.
localVolatilityFromImpliedVolatility(Surface, double, Function<Double, Double>, Function<Double, Double>) - Method in class com.opengamma.strata.pricer.impl.volatility.local.DupireLocalVolatilityCalculator
localVolatilityFromImpliedVolatility(Surface, double, Function<Double, Double>, Function<Double, Double>) - Method in class com.opengamma.strata.pricer.impl.volatility.local.ImpliedTrinomialTreeLocalVolatilityCalculator
localVolatilityFromImpliedVolatility(Surface, double, Function<Double, Double>, Function<Double, Double>) - Method in interface com.opengamma.strata.pricer.impl.volatility.local.LocalVolatilityCalculator: Computes local volatility surface from implied volatility surface.
localVolatilityFromPrice(Surface, double, Function<Double, Double>, Function<Double, Double>) - Method in class com.opengamma.strata.pricer.impl.volatility.local.DupireLocalVolatilityCalculator
localVolatilityFromPrice(Surface, double, Function<Double, Double>, Function<Double, Double>) - Method in class com.opengamma.strata.pricer.impl.volatility.local.ImpliedTrinomialTreeLocalVolatilityCalculator
localVolatilityFromPrice(Surface, double, Function<Double, Double>, Function<Double, Double>) - Method in interface com.opengamma.strata.pricer.impl.volatility.local.LocalVolatilityCalculator: Computes local volatility surface from call price surface.

M

macaulayDurationFromYield(ResolvedFixedCouponBond, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the Macaulay duration of the fixed coupon bond product from yield.
mapSensitivity(DoubleUnaryOperator) - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity
mapSensitivity(DoubleUnaryOperator) - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity
mapSensitivity(DoubleUnaryOperator) - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity
mapSensitivity(DoubleUnaryOperator) - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity
mapSensitivity(DoubleUnaryOperator) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity
mapSensitivity(DoubleUnaryOperator) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity
mapSensitivity(DoubleUnaryOperator) - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity
mapSensitivity(DoubleUnaryOperator) - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity
mapSensitivity(DoubleUnaryOperator) - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity
mapSensitivity(DoubleUnaryOperator) - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity
mapSensitivity(DoubleUnaryOperator) - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity
mapSensitivity(DoubleUnaryOperator) - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity
mapSensitivity(DoubleUnaryOperator) - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity
mapSensitivity(DoubleUnaryOperator) - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity
mapSensitivity(DoubleUnaryOperator) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity
mapSensitivity(DoubleUnaryOperator) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity
mapSensitivity(DoubleUnaryOperator) - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity
MARKET_QUOTE - Static variable in class com.opengamma.strata.pricer.curve.CalibrationMeasures: The market quote instance, which is the default used in synthetic curve calibration.
marketData(RatesCurveGroupDefinition, RatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.curve.SyntheticRatesCurveCalibrator: Constructs the synthetic market data from an existing rates provider and the configuration of the new curves.
marketQuote(ResolvedSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Computes the market quote of swaps.
MarketQuoteMeasure<T extends ResolvedTrade> - Class in com.opengamma.strata.pricer.curve: Provides market quote measures for a single type of trade based on functions.
marketQuoteSensitivity(ResolvedSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Computes the market quote curve sensitivity for swaps.
MarketQuoteSensitivityCalculator - Class in com.opengamma.strata.pricer.sensitivity: Calculator to obtain the Market Quote sensitivities.
MarketQuoteSensitivityCalculator() - Constructor for class com.opengamma.strata.pricer.sensitivity.MarketQuoteSensitivityCalculator
meta() - Static method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities: The meta-bean for BlackBondFutureExpiryLogMoneynessVolatilities.
meta() - Static method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity: The meta-bean for BondFutureOptionSensitivity.
meta() - Static method in class com.opengamma.strata.pricer.bond.BondFutureVolatilitiesId: The meta-bean for BondFutureVolatilitiesId.
meta() - Static method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity: The meta-bean for BondYieldSensitivity.
meta() - Static method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider: The meta-bean for ImmutableLegalEntityDiscountingProvider.
meta() - Static method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors: The meta-bean for IssuerCurveDiscountFactors.
meta() - Static method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity: The meta-bean for IssuerCurveZeroRateSensitivity.
meta() - Static method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities: The meta-bean for NormalBondYieldExpiryDurationVolatilities.
meta() - Static method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors: The meta-bean for RepoCurveDiscountFactors.
meta() - Static method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity: The meta-bean for RepoCurveZeroRateSensitivity.
meta() - Static method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities: The meta-bean for BlackIborCapletFloorletExpiryFlatVolatilities.
meta() - Static method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities: The meta-bean for BlackIborCapletFloorletExpiryStrikeVolatilities.
meta() - Static method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition: The meta-bean for DirectIborCapletFloorletFlatVolatilityDefinition.
meta() - Static method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition: The meta-bean for DirectIborCapletFloorletVolatilityDefinition.
meta() - Static method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts: The meta-bean for IborCapletFloorletPeriodAmounts.
meta() - Static method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts: The meta-bean for IborCapletFloorletPeriodCurrencyAmounts.
meta() - Static method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity: The meta-bean for IborCapletFloorletSabrSensitivity.
meta() - Static method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity: The meta-bean for IborCapletFloorletSensitivity.
meta() - Static method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilitiesId: The meta-bean for IborCapletFloorletVolatilitiesId.
meta() - Static method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityCalibrationResult: The meta-bean for IborCapletFloorletVolatilityCalibrationResult.
meta() - Static method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities: The meta-bean for NormalIborCapletFloorletExpiryFlatVolatilities.
meta() - Static method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities: The meta-bean for NormalIborCapletFloorletExpiryStrikeVolatilities.
meta() - Static method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities: The meta-bean for NormalSabrParametersIborCapletFloorletVolatilities.
meta() - Static method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition: The meta-bean for SabrIborCapletFloorletVolatilityBootstrapDefinition.
meta() - Static method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: The meta-bean for SabrIborCapletFloorletVolatilityCalibrationDefinition.
meta() - Static method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities: The meta-bean for SabrParametersIborCapletFloorletVolatilities.
meta() - Static method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities: The meta-bean for ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.
meta() - Static method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition: The meta-bean for SurfaceIborCapletFloorletVolatilityBootstrapDefinition.
meta() - Static method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata: The meta-bean for GenericVolatilitySurfacePeriodParameterMetadata.
meta() - Static method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata: The meta-bean for GenericVolatilitySurfaceYearFractionParameterMetadata.
meta() - Static method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates: The meta-bean for ConstantRecoveryRates.
meta() - Static method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity: The meta-bean for CreditCurveZeroRateSensitivity.
meta() - Static method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider: The meta-bean for ImmutableCreditRatesProvider.
meta() - Static method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors: The meta-bean for IsdaCreditDiscountFactors.
meta() - Static method in class com.opengamma.strata.pricer.credit.JumpToDefault: The meta-bean for JumpToDefault.
meta() - Static method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities: The meta-bean for LegalEntitySurvivalProbabilities.
meta() - Static method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates: The meta-bean for DiscountFxForwardRates.
meta() - Static method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates: The meta-bean for ForwardFxIndexRates.
meta() - Static method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity: The meta-bean for FxForwardSensitivity.
meta() - Static method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity: The meta-bean for FxIndexSensitivity.
meta() - Static method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities: The meta-bean for BlackFxOptionFlatVolatilities.
meta() - Static method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities: The meta-bean for BlackFxOptionSmileVolatilities.
meta() - Static method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities: The meta-bean for BlackFxOptionSurfaceVolatilities.
meta() - Static method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity: The meta-bean for FxOptionSensitivity.
meta() - Static method in class com.opengamma.strata.pricer.fxopt.FxOptionVolatilitiesId: The meta-bean for FxOptionVolatilitiesId.
meta() - Static method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata: The meta-bean for FxVolatilitySurfaceYearFractionParameterMetadata.
meta() - Static method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure: The meta-bean for InterpolatedStrikeSmileDeltaTermStructure.
meta() - Static method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData: The meta-bean for RecombiningTrinomialTreeData.
meta() - Static method in class com.opengamma.strata.pricer.fxopt.SmileAndBucketedSensitivities: The meta-bean for SmileAndBucketedSensitivities.
meta() - Static method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters: The meta-bean for SmileDeltaParameters.
meta() - Static method in class com.opengamma.strata.pricer.fxopt.VolatilityAndBucketedSensitivities: The meta-bean for VolatilityAndBucketedSensitivities.
meta() - Static method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: The meta-bean for HullWhiteOneFactorPiecewiseConstantInterestRateModel.
meta() - Static method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction: The meta-bean for ConstantContinuousSingleBarrierKnockoutFunction.
meta() - Static method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction: The meta-bean for EuropeanVanillaOptionFunction.
meta() - Static method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData: The meta-bean for SabrFormulaData.
meta() - Static method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProvider: The meta-bean for SabrHaganVolatilityFunctionProvider.
meta() - Static method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction: The meta-bean for SabrInArrearsVolatilityFunction.
meta() - Static method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData: The meta-bean for SsviFormulaData.
meta() - Static method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviVolatilityFunction: The meta-bean for SsviVolatilityFunction.
meta() - Static method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity: The meta-bean for IborFutureOptionSensitivity.
meta() - Static method in class com.opengamma.strata.pricer.index.IborFutureOptionVolatilitiesId: The meta-bean for IborFutureOptionVolatilitiesId.
meta() - Static method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities: The meta-bean for NormalIborFutureOptionExpirySimpleMoneynessVolatilities.
meta() - Static method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParameters: The meta-bean for HullWhiteOneFactorPiecewiseConstantParameters.
meta() - Static method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider: The meta-bean for HullWhiteOneFactorPiecewiseConstantParametersProvider.
meta() - Static method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters: The meta-bean for SabrInterestRateParameters.
meta() - Static method in class com.opengamma.strata.pricer.model.SabrParameters: The meta-bean for SabrParameters.
meta() - Static method in class com.opengamma.strata.pricer.option.RawOptionData: The meta-bean for RawOptionData.
meta() - Static method in class com.opengamma.strata.pricer.option.TenorRawOptionData: The meta-bean for TenorRawOptionData.
meta() - Static method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates: The meta-bean for DiscountIborIndexRates.
meta() - Static method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates: The meta-bean for DiscountOvernightIndexRates.
meta() - Static method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates: The meta-bean for HistoricIborIndexRates.
meta() - Static method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates: The meta-bean for HistoricOvernightIndexRates.
meta() - Static method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues: The meta-bean for HistoricPriceIndexValues.
meta() - Static method in class com.opengamma.strata.pricer.rate.IborRateSensitivity: The meta-bean for IborRateSensitivity.
meta() - Static method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider: The meta-bean for ImmutableRatesProvider.
meta() - Static method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity: The meta-bean for InflationRateSensitivity.
meta() - Static method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity: The meta-bean for OvernightRateSensitivity.
meta() - Static method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates: The meta-bean for SimpleIborIndexRates.
meta() - Static method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues: The meta-bean for SimplePriceIndexValues.
meta() - Static method in class com.opengamma.strata.pricer.SimpleDiscountFactors: The meta-bean for SimpleDiscountFactors.
meta() - Static method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities: The meta-bean for BlackSwaptionExpiryTenorVolatilities.
meta() - Static method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities: The meta-bean for NormalSwaptionExpirySimpleMoneynessVolatilities.
meta() - Static method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities: The meta-bean for NormalSwaptionExpiryStrikeVolatilities.
meta() - Static method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities: The meta-bean for NormalSwaptionExpiryTenorVolatilities.
meta() - Static method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities: The meta-bean for SabrParametersSwaptionVolatilities.
meta() - Static method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition: The meta-bean for SabrSwaptionDefinition.
meta() - Static method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity: The meta-bean for SwaptionSabrSensitivity.
meta() - Static method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity: The meta-bean for SwaptionSensitivity.
meta() - Static method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata: The meta-bean for SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.
meta() - Static method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata: The meta-bean for SwaptionSurfaceExpiryStrikeParameterMetadata.
meta() - Static method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata: The meta-bean for SwaptionSurfaceExpiryTenorParameterMetadata.
meta() - Static method in class com.opengamma.strata.pricer.swaption.SwaptionVolatilitiesId: The meta-bean for SwaptionVolatilitiesId.
meta() - Static method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors: The meta-bean for ZeroRateDiscountFactors.
meta() - Static method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors: The meta-bean for ZeroRatePeriodicDiscountFactors.
meta() - Static method in class com.opengamma.strata.pricer.ZeroRateSensitivity: The meta-bean for ZeroRateSensitivity.
metaBean() - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities
metaBean() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity
metaBean() - Method in class com.opengamma.strata.pricer.bond.BondFutureVolatilitiesId
metaBean() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity
metaBean() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider
metaBean() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors
metaBean() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity
metaBean() - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities
metaBean() - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors
metaBean() - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity
metaBean() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
metaBean() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
metaBean() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition
metaBean() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition
metaBean() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts
metaBean() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts
metaBean() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity
metaBean() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity
metaBean() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilitiesId
metaBean() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityCalibrationResult
metaBean() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
metaBean() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
metaBean() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
metaBean() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition
metaBean() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition
metaBean() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
metaBean() - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
metaBean() - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition
metaBean() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata
metaBean() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata
metaBean() - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates
metaBean() - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity
metaBean() - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider
metaBean() - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
metaBean() - Method in class com.opengamma.strata.pricer.credit.JumpToDefault
metaBean() - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities
metaBean() - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates
metaBean() - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates
metaBean() - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity
metaBean() - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity
metaBean() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities
metaBean() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities
metaBean() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities
metaBean() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity
metaBean() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionVolatilitiesId
metaBean() - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata
metaBean() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure
metaBean() - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData
metaBean() - Method in class com.opengamma.strata.pricer.fxopt.SmileAndBucketedSensitivities
metaBean() - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters
metaBean() - Method in class com.opengamma.strata.pricer.fxopt.VolatilityAndBucketedSensitivities
metaBean() - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel
metaBean() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction
metaBean() - Method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction
metaBean() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData
metaBean() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProvider
metaBean() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction
metaBean() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData
metaBean() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviVolatilityFunction
metaBean() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity
metaBean() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionVolatilitiesId
metaBean() - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities
metaBean() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParameters
metaBean() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider
metaBean() - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters
metaBean() - Method in class com.opengamma.strata.pricer.model.SabrParameters
metaBean() - Method in class com.opengamma.strata.pricer.option.RawOptionData
metaBean() - Method in class com.opengamma.strata.pricer.option.TenorRawOptionData
metaBean() - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates
metaBean() - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
metaBean() - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates
metaBean() - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates
metaBean() - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues
metaBean() - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity
metaBean() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
metaBean() - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity
metaBean() - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity
metaBean() - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates
metaBean() - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues
metaBean() - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors
metaBean() - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
metaBean() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
metaBean() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
metaBean() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
metaBean() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
metaBean() - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition
metaBean() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity
metaBean() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity
metaBean() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata
metaBean() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata
metaBean() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata
metaBean() - Method in class com.opengamma.strata.pricer.swaption.SwaptionVolatilitiesId
metaBean() - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors
metaBean() - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
metaBean() - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityCalibrationResult.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.credit.JumpToDefault.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.fxopt.VolatilityAndBucketedSensitivities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors.Meta
metaPropertyGet(String) - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityCalibrationResult.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.credit.JumpToDefault.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.fxopt.VolatilityAndBucketedSensitivities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors.Meta
metaPropertyMap() - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity.Meta
MIN_TIME_TO_EXPIRY - Static variable in class com.opengamma.strata.pricer.impl.volatility.smile.SsviVolatilityFunction: SSVI volatility description diverge for theta -> 0.
modifiedDurationFromRealYieldFiniteDifference(ResolvedCapitalIndexedBond, RatesProvider, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the modified duration from the conventional real yield using finite difference approximation.
modifiedDurationFromStandardYield(ResolvedCapitalIndexedBond, RatesProvider, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Computes the modified duration from the standard yield.
modifiedDurationFromYield(ResolvedFixedCouponBond, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the modified duration of the fixed coupon bond product from yield.
modifiedDurationFromYieldAd(ResolvedFixedCouponBond, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the modified duration of the fixed coupon bond product from yield and its derivative wrt to the yield.
multipliedBy(double) - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity
multipliedBy(double) - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity
multipliedBy(double) - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity
multipliedBy(double) - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity
multipliedBy(double) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity
multipliedBy(double) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity
multipliedBy(double) - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity
multipliedBy(double) - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity
multipliedBy(double) - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity
multipliedBy(double) - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity
multipliedBy(double) - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity
multipliedBy(double) - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity
multipliedBy(double) - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity
multipliedBy(double) - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity
multipliedBy(double) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity
multipliedBy(double) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity
multipliedBy(double) - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity

N

name(IborCapletFloorletVolatilitiesName) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Builder: Sets the name of the volatilities.
name() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Meta: The meta-property for the name property.
name(IborCapletFloorletVolatilitiesName) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Builder: Sets the name of the volatilities.
name() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Meta: The meta-property for the name property.
name() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities.Meta: The meta-property for the name property.
name(IborCapletFloorletVolatilitiesName) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder: Sets the name of the volatilities.
name() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta: The meta-property for the name property.
name(IborCapletFloorletVolatilitiesName) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder: Sets the name of the volatilities.
name() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta: The meta-property for the name property.
name(IborCapletFloorletVolatilitiesName) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Builder: Sets the name.
name() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Meta: The meta-property for the name property.
name() - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta: The meta-property for the name property.
name(FxOptionVolatilitiesName) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities.Builder: Sets the name of the volatilities.
name() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities.Meta: The meta-property for the name property.
name(FxOptionVolatilitiesName) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities.Builder: Sets the name of the volatilities.
name() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities.Meta: The meta-property for the name property.
name(SwaptionVolatilitiesName) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Builder: Sets the name.
name() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Meta: The meta-property for the name property.
name() - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition.Meta: The meta-property for the name property.
netAmount(ResolvedCapitalIndexedBondTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondTradePricer: Calculates the net amount of the settlement of the bond trade.
nominalPriceFromRealPrice(ResolvedCapitalIndexedBond, RatesProvider, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the nominal price of the bond from its settlement date and real price.
NormalBondYieldExpiryDurationVolatilities - Class in com.opengamma.strata.pricer.bond: Volatility for swaptions in the normal or Bachelier model based on a surface.
NormalBondYieldExpiryDurationVolatilities.Meta - Class in com.opengamma.strata.pricer.bond: The meta-bean for NormalBondYieldExpiryDurationVolatilities.
NormalFormulaRepository - Class in com.opengamma.strata.pricer.impl.option: The primary location for normal model formulas.
NormalIborCapFloorLegPricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for cap/floor legs in normal or Bachelier model.
NormalIborCapFloorLegPricer(NormalIborCapletFloorletPeriodPricer) - Constructor for class com.opengamma.strata.pricer.capfloor.NormalIborCapFloorLegPricer: Creates an instance.
NormalIborCapFloorProductPricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for cap/floor products in normal or Bachelier model.
NormalIborCapFloorProductPricer(NormalIborCapFloorLegPricer, DiscountingSwapLegPricer) - Constructor for class com.opengamma.strata.pricer.capfloor.NormalIborCapFloorProductPricer: Creates an instance.
NormalIborCapFloorTradePricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for cap/floor trades in normal or Bachelier model.
NormalIborCapFloorTradePricer(NormalIborCapFloorProductPricer, DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.capfloor.NormalIborCapFloorTradePricer: Creates an instance.
NormalIborCapletFloorletExpiryFlatVolatilities - Class in com.opengamma.strata.pricer.capfloor: Volatility for Ibor caplet/floorlet in the normal or Bachelier model based on a curve.
NormalIborCapletFloorletExpiryFlatVolatilities.Meta - Class in com.opengamma.strata.pricer.capfloor: The meta-bean for NormalIborCapletFloorletExpiryFlatVolatilities.
NormalIborCapletFloorletExpiryStrikeVolatilities - Class in com.opengamma.strata.pricer.capfloor: Volatility for Ibor caplet/floorlet in the normal or Bachelier model based on a surface.
NormalIborCapletFloorletExpiryStrikeVolatilities.Meta - Class in com.opengamma.strata.pricer.capfloor: The meta-bean for NormalIborCapletFloorletExpiryStrikeVolatilities.
NormalIborCapletFloorletPeriodPricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for caplet/floorlet in a normal or Bachelier model.
NormalIborCapletFloorletPeriodPricer() - Constructor for class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletPeriodPricer
NormalIborCapletFloorletVolatilities - Interface in com.opengamma.strata.pricer.capfloor: Volatility for Ibor caplet/floorlet in the normal or Bachelier model.
NormalIborFutureOptionExpirySimpleMoneynessVolatilities - Class in com.opengamma.strata.pricer.index: Data provider of volatility for Ibor future options in the normal or Bachelier model.
NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Builder - Class in com.opengamma.strata.pricer.index: The bean-builder for NormalIborFutureOptionExpirySimpleMoneynessVolatilities.
NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Meta - Class in com.opengamma.strata.pricer.index: The meta-bean for NormalIborFutureOptionExpirySimpleMoneynessVolatilities.
NormalIborFutureOptionMarginedProductPricer - Class in com.opengamma.strata.pricer.index: Pricer of options on Ibor future with a normal model on the underlying future price.
NormalIborFutureOptionMarginedProductPricer(DiscountingIborFutureProductPricer) - Constructor for class com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedProductPricer: Creates an instance.
NormalIborFutureOptionMarginedTradePricer - Class in com.opengamma.strata.pricer.index: Pricer implementation for Ibor future option.
NormalIborFutureOptionMarginedTradePricer(NormalIborFutureOptionMarginedProductPricer) - Constructor for class com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedTradePricer: Creates an instance.
NormalIborFutureOptionVolatilities - Interface in com.opengamma.strata.pricer.index: Volatility for Ibor future options in the normal or Bachelier model.
normalize() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity
normalize() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity
normalize() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity
normalize() - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity
normalize() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity
normalize() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity
normalize() - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity
normalize() - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity
normalize() - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity
normalize() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity
normalize(ResolvedSwapLeg) - Static method in class com.opengamma.strata.pricer.impl.rate.swap.CashFlowEquivalentCalculator: Extract the payments from the NotionalExchange in the SwapLeg.
normalize(List<Payment>) - Static method in class com.opengamma.strata.pricer.impl.rate.swap.CashFlowEquivalentCalculator: Generate a new payment list with the dates sorted and the amounts of elements with same payment date compressed.
normalize(Map<Payment, PointSensitivityBuilder>) - Static method in class com.opengamma.strata.pricer.impl.rate.swap.CashFlowEquivalentCalculator: Generate a new map with each payment date unique and the amounts and sensitivities of elements with same payment date compressed.
normalize() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity
normalize() - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity
normalize() - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity
normalize() - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity
normalize() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity
normalize() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity
normalize() - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity
NormalSabrIborCapletFloorletVolatilities - Interface in com.opengamma.strata.pricer.capfloor: Volatility for Ibor/Overnight caplet/floorlet in SABR model.
NormalSabrParametersIborCapletFloorletVolatilities - Class in com.opengamma.strata.pricer.capfloor: Volatility environment for caplet/floorlet in the SABR model.
NormalSabrParametersIborCapletFloorletVolatilities.Meta - Class in com.opengamma.strata.pricer.capfloor: The meta-bean for NormalSabrParametersIborCapletFloorletVolatilities.
NormalSwaptionCashParYieldProductPricer - Class in com.opengamma.strata.pricer.swaption: Pricer for swaption with par yield curve method of cash settlement in a normal model on the swap rate.
NormalSwaptionCashParYieldProductPricer(DiscountingSwapProductPricer) - Constructor for class com.opengamma.strata.pricer.swaption.NormalSwaptionCashParYieldProductPricer: Creates an instance.
NormalSwaptionExpirySimpleMoneynessVolatilities - Class in com.opengamma.strata.pricer.swaption: Volatility for swaptions in the normal or Bachelier model based on a surface.
NormalSwaptionExpirySimpleMoneynessVolatilities.Meta - Class in com.opengamma.strata.pricer.swaption: The meta-bean for NormalSwaptionExpirySimpleMoneynessVolatilities.
NormalSwaptionExpiryStrikeVolatilities - Class in com.opengamma.strata.pricer.swaption: Volatility for swaptions in the normal or Bachelier model based on a surface.
NormalSwaptionExpiryStrikeVolatilities.Meta - Class in com.opengamma.strata.pricer.swaption: The meta-bean for NormalSwaptionExpiryStrikeVolatilities.
NormalSwaptionExpiryTenorVolatilities - Class in com.opengamma.strata.pricer.swaption: Volatility for swaptions in the normal or Bachelier model based on a surface.
NormalSwaptionExpiryTenorVolatilities.Meta - Class in com.opengamma.strata.pricer.swaption: The meta-bean for NormalSwaptionExpiryTenorVolatilities.
NormalSwaptionPhysicalProductPricer - Class in com.opengamma.strata.pricer.swaption: Pricer for swaption with physical settlement in a normal model on the swap rate.
NormalSwaptionPhysicalProductPricer(DiscountingSwapProductPricer) - Constructor for class com.opengamma.strata.pricer.swaption.NormalSwaptionPhysicalProductPricer: Creates an instance.
NormalSwaptionTradePricer - Class in com.opengamma.strata.pricer.swaption: Pricer for swaption trade in the normal model on the swap rate.
NormalSwaptionTradePricer(NormalSwaptionCashParYieldProductPricer, NormalSwaptionPhysicalProductPricer, DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.swaption.NormalSwaptionTradePricer: Creates an instance.
NormalSwaptionVolatilities - Interface in com.opengamma.strata.pricer.swaption: Volatility for swaptions in the normal or Bachelier model.
notionalEquivalent(CurrencyParameterSensitivities, RatesProvider) - Method in class com.opengamma.strata.pricer.sensitivity.NotionalEquivalentCalculator: Calculates the notional equivalent from the present value market quote sensitivities.
NotionalEquivalentCalculator - Class in com.opengamma.strata.pricer.sensitivity: Calculator to obtain the notional equivalent.
NotionalEquivalentCalculator() - Constructor for class com.opengamma.strata.pricer.sensitivity.NotionalEquivalentCalculator
nu(double) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
nu(double) - Method in interface com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilities: Calculates the nu parameter for a pair of time to expiry.
nu(double) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
nu(double, double) - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters: Calculates the nu parameter for a pair of time to expiry and instrument tenor.
nu(double) - Method in class com.opengamma.strata.pricer.model.SabrParameters: Calculates the nu parameter for time to expiry.
nu(double, double) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
nu(double, double) - Method in interface com.opengamma.strata.pricer.swaption.SabrSwaptionVolatilities: Calculates the nu parameter for a pair of time to expiry and instrument tenor.
numberOfSteps() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction.Meta: The meta-property for the numberOfSteps property.
numberOfSteps() - Method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction.Meta: The meta-property for the numberOfSteps property.

O

observation() - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity.Meta: The meta-property for the observation property.
observation() - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity.Meta: The meta-property for the observation property.
observation() - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity.Meta: The meta-property for the observation property.
observation() - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity.Meta: The meta-property for the observation property.
of(ZonedDateTime, InterpolatedNodalSurface) - Static method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities: Obtains an instance from the implied volatility surface and the date-time for which it is valid.
of(BondFutureVolatilitiesName, double, LocalDate, double, double, Currency, double) - Static method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity: Obtains an instance based on the security ID.
of(String) - Static method in class com.opengamma.strata.pricer.bond.BondFutureVolatilitiesId: Obtains an identifier used to find bond future volatilities.
of(BondFutureVolatilitiesName) - Static method in class com.opengamma.strata.pricer.bond.BondFutureVolatilitiesId: Obtains an identifier used to find bond future volatilities.
of(String) - Static method in class com.opengamma.strata.pricer.bond.BondFutureVolatilitiesName: Obtains an instance from the specified name.
of(String) - Static method in class com.opengamma.strata.pricer.bond.BondVolatilitiesName: Obtains an instance from the specified name.
of(BondVolatilitiesName, double, double, double, double, Currency, double) - Static method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity: Obtains an instance from the specified elements.
of(DiscountFactors, LegalEntityGroup) - Static method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors: Obtains an instance based on discount factors and legal entity group.
of(Currency, double, LegalEntityGroup, double) - Static method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity: Obtains an instance from the curve currency, date, legal entity group and value.
of(ZeroRateSensitivity, LegalEntityGroup) - Static method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity: Obtains an instance from zero rate sensitivity and legal entity group.
of(Currency, double, Currency, LegalEntityGroup, double) - Static method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity: Obtains an instance from the curve currency, date, sensitivity currency, legal entity group and value.
of(Currency, ZonedDateTime, Surface) - Static method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities: Obtains an instance from the implied volatility surface and the date-time for which it is valid.
of(DiscountFactors, RepoGroup) - Static method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors: Obtains an instance based on discount factors and group.
of(Currency, double, RepoGroup, double) - Static method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity: Obtains an instance from the curve currency, date, group and value.
of(ZeroRateSensitivity, RepoGroup) - Static method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity: Obtains an instance from zero rate sensitivity and group.
of(Currency, double, Currency, RepoGroup, double) - Static method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity: Obtains an instance from the curve currency, date, sensitivity currency, group and value.
of(IborIndex, ZonedDateTime, Curve) - Static method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities: Obtains an instance from the implied volatility curve and the date-time for which it is valid.
of(IborIndex, ZonedDateTime, Surface) - Static method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities: Obtains an instance from the implied volatility surface and the date-time for which it is valid.
of(VolatilityIborCapFloorLegPricer, double, ReferenceData) - Static method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityCalibrator: Obtains an instance.
of(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, double, CurveInterpolator) - Static method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition: Obtains an instance with flat extrapolators.
of(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, double, CurveInterpolator, CurveExtrapolator, CurveExtrapolator) - Static method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition: Obtains an instance.
of(VolatilityIborCapFloorLegPricer, double, ReferenceData) - Static method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityCalibrator: Obtains an instance.
of(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, double, double, GridSurfaceInterpolator) - Static method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition: Obtains an instance with zero shift.
of(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, double, double, GridSurfaceInterpolator, Curve) - Static method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition: Obtains an instance with shift curve.
of(Map<IborCapletFloorletPeriod, Double>) - Static method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts: Obtains an instance of double amounts.
of(Map<IborCapletFloorletPeriod, CurrencyAmount>) - Static method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts: Obtains an instance of currency amounts.
of(IborCapletFloorletVolatilitiesName, double, SabrParameterType, Currency, double) - Static method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity: Obtains an instance from the specified elements.
of(IborCapletFloorletVolatilitiesName, double, double, double, Currency, double) - Static method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity: Obtains an instance.
of(String) - Static method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilitiesId: Obtains an identifier used to find Ibor caplet/floorlet volatilities.
of(IborCapletFloorletVolatilitiesName) - Static method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilitiesId: Obtains an identifier used to find Ibor caplet/floorlet volatilities.
of(String) - Static method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilitiesName: Obtains an instance from the specified name.
of(IborIndex, ZonedDateTime, Curve) - Static method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities: Obtains an instance from the implied volatility curve and the date-time for which it is valid.
of(IborIndex, ZonedDateTime, Surface) - Static method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities: Obtains an instance from the implied volatility surface and the date-time for which it is valid.
of(IborCapletFloorletVolatilitiesName, IborIndex, ZonedDateTime, SabrParameters) - Static method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities: Obtains an instance from the SABR model parameters and the date-time for which it is valid.
of(VolatilityIborCapFloorLegPricer, SabrIborCapletFloorletPeriodPricer, double, ReferenceData) - Static method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapper: Creates an instance.
of(VolatilityIborCapFloorLegPricer, SabrIborCapFloorLegPricer, double, ReferenceData) - Static method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrator: Creates an instance.
of(SabrInArrearsVolatilityFunction) - Static method in class com.opengamma.strata.pricer.capfloor.SabrOvernightInArrearsCapletFloorletPeriodPricer: Creates an instance.
of(IborCapletFloorletVolatilitiesName, IborIndex, ZonedDateTime, SabrParameters) - Static method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities: Obtains an instance from the SABR model parameters and the date-time for which it is valid.
of(IborIndex, ZonedDateTime, Surface, Curve) - Static method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities: Obtains an instance from the implied volatility surface and the date-time for which it is valid.
of(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, GridSurfaceInterpolator) - Static method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition: Obtains an instance with gird surface interpolator.
of(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, GridSurfaceInterpolator, Curve) - Static method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition: Obtains an instance with gird surface interpolator and shift curve.
of(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, CurveInterpolator, CurveInterpolator) - Static method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition: Obtains an instance with time interpolator and strike interpolator.
of(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, CurveInterpolator, CurveInterpolator, Curve) - Static method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition: Obtains an instance with time interpolator, strike interpolator and shift curve.
of(VolatilityIborCapFloorLegPricer, ReferenceData) - Static method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapper: Creates an instance.
of(DiscountingSwapProductPricer, double, double) - Static method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsPeriodPricer: Obtains the pricer.
of(double, double) - Static method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsPeriodPricer: Obtains the pricer with default swap pricer.
of(Period, Strike) - Static method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata: Creates node metadata using period and strike.
of(Period, Strike, String) - Static method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata: Creates node using period, strike and label.
of(double, Strike) - Static method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata: Creates node metadata using year fraction and strike.
of(double, Tenor, Strike) - Static method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata: Creates node metadata using year fraction, associated tenor and strike.
of(double, Strike, String) - Static method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata: Creates node using year fraction, strike and label.
of(double, Tenor, Strike, String) - Static method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata: Creates node using year fraction, associated tenor, strike and label.
of(String) - Static method in enum com.opengamma.strata.pricer.common.PriceType: Obtains an instance from the specified name.
of(String) - Static method in enum com.opengamma.strata.pricer.CompoundedRateType: Obtains an instance from the specified name.
of(String) - Static method in enum com.opengamma.strata.pricer.credit.AccrualOnDefaultFormula: Obtains an instance from the specified name.
of(String) - Static method in enum com.opengamma.strata.pricer.credit.ArbitrageHandling: Obtains an instance from the specified name.
of(StandardId, LocalDate, double) - Static method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates: Obtains an instance.
of(StandardId, Currency, double, double) - Static method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity: Obtains an instance.
of(StandardId, Currency, double, Currency, double) - Static method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity: Obtains an instance with sensitivity currency specified.
of(StandardId, ZeroRateSensitivity) - Static method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity: Obtains an instance from ZeroRateSensitivity and StandardId.
of(Currency, LocalDate, Curve) - Static method in interface com.opengamma.strata.pricer.credit.CreditDiscountFactors: Obtains an instance from a curve.
of(double) - Static method in class com.opengamma.strata.pricer.credit.IsdaCompliantDiscountCurveCalibrator: Obtains the curve calibrator with the accuracy of the root finder specified.
of(Currency, LocalDate, NodalCurve) - Static method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors: Creates an instance from the underlying curve.
of(Currency, LocalDate, CurveName, DoubleArray, DoubleArray, DayCount) - Static method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors: Creates an instance from year fraction and zero rate values.
of(Currency, Map<StandardId, Double>) - Static method in class com.opengamma.strata.pricer.credit.JumpToDefault: Obtains an instance from currency and map.
of(StandardId, CreditDiscountFactors) - Static method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities: Creates an instance.
of(StandardId, LocalDate, Curve) - Static method in interface com.opengamma.strata.pricer.credit.RecoveryRates: Obtains an instance from a curve.
of(String, List<? extends CalibrationMeasure<? extends ResolvedTrade>>) - Static method in class com.opengamma.strata.pricer.curve.CalibrationMeasures: Obtains an instance from a list of individual trade-specific measures.
of(String, CalibrationMeasure<? extends ResolvedTrade>...) - Static method in class com.opengamma.strata.pricer.curve.CalibrationMeasures: Obtains an instance from a list of individual trade-specific measures.
of(ImmutableRatesProvider, RatesCurveGroupDefinition, ReferenceData) - Static method in class com.opengamma.strata.pricer.curve.ImmutableRatesProviderGenerator: Obtains a generator from an existing provider and definition.
of(String, Class<R>, ToDoubleBiFunction<R, RatesProvider>, BiFunction<R, RatesProvider, PointSensitivities>) - Static method in class com.opengamma.strata.pricer.curve.MarketQuoteMeasure: Obtains a calibrator for a specific type of trade.
of(String, Class<R>, ToDoubleBiFunction<R, RatesProvider>, BiFunction<R, RatesProvider, PointSensitivities>) - Static method in class com.opengamma.strata.pricer.curve.PresentValueCalibrationMeasure: Obtains a calibrator for a specific type of trade.
of(double, double, int) - Static method in class com.opengamma.strata.pricer.curve.RatesCurveCalibrator: Obtains an instance specifying tolerances to use.
of(double, double, int, CalibrationMeasures) - Static method in class com.opengamma.strata.pricer.curve.RatesCurveCalibrator: Obtains an instance specifying tolerances and measures to use.
of(double, double, int, CalibrationMeasures, CalibrationMeasures) - Static method in class com.opengamma.strata.pricer.curve.RatesCurveCalibrator: Obtains an instance specifying tolerances and measures to use.
of(NewtonVectorRootFinder, CalibrationMeasures, CalibrationMeasures) - Static method in class com.opengamma.strata.pricer.curve.RatesCurveCalibrator: Obtains an instance specifying the measures to use.
of(RatesCurveCalibrator, CalibrationMeasures) - Static method in class com.opengamma.strata.pricer.curve.SyntheticRatesCurveCalibrator: Obtains an instance, specifying market quotes measures to use and calibrator.
of(String, Class<R>, ToDoubleBiFunction<R, RatesProvider>, BiFunction<R, RatesProvider, PointSensitivities>) - Static method in class com.opengamma.strata.pricer.curve.TradeCalibrationMeasure: Obtains a calibrator for a specific type of trade.
of(Currency, LocalDate, Curve) - Static method in interface com.opengamma.strata.pricer.DiscountFactors: Obtains an instance from a curve.
of(CurrencyPair, FxRateProvider, DiscountFactors, DiscountFactors) - Static method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates: Obtains an instance based on two discount factors, one for each currency.
of(FxIndex, FxForwardRates) - Static method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates: Obtains an instance based on discount factors with no historic fixings.
of(FxIndex, FxForwardRates, LocalDateDoubleTimeSeries) - Static method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates: Obtains an instance based on discount factors and historic fixings.
of(CurrencyPair, Currency, LocalDate, double) - Static method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity: Obtains an instance from currency pair, reference currency, reference date and sensitivity value.
of(CurrencyPair, Currency, LocalDate, Currency, double) - Static method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity: Obtains an instance from currency pair, reference currency, reference date sensitivity currency and sensitivity value.
of(FxIndexObservation, Currency, double) - Static method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity: Obtains an instance from the observation, reference currency and sensitivity value.
of(FxIndexObservation, Currency, Currency, double) - Static method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity: Obtains an instance from the observation, reference currency and sensitivity value, specifying the currency of the value.
of(CurrencyPair, ZonedDateTime, Curve) - Static method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities: Obtains an instance from an expiry-volatility curve and the date-time for which it is valid.
of(FxOptionVolatilitiesName, CurrencyPair, ZonedDateTime, SmileDeltaTermStructure) - Static method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities: Obtains an instance based on a smile.
of(CurrencyPair, ZonedDateTime, Surface) - Static method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities: Obtains an instance from the implied volatility surface and the date-time for which it is valid.
of(FxOptionVolatilitiesName, CurrencyPair, ZonedDateTime, Surface) - Static method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities: Obtains an instance from the implied volatility surface and the date-time for which it is valid.
of(FxOptionVolatilitiesName, CurrencyPair, double, double, double, Currency, double) - Static method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity: Obtains an instance, specifying sensitivity currency.
of(String) - Static method in class com.opengamma.strata.pricer.fxopt.FxOptionVolatilitiesId: Obtains an identifier used to find FX option volatilities.
of(FxOptionVolatilitiesName) - Static method in class com.opengamma.strata.pricer.fxopt.FxOptionVolatilitiesId: Obtains an identifier used to find FX option volatilities.
of(String) - Static method in class com.opengamma.strata.pricer.fxopt.FxOptionVolatilitiesName: Obtains an instance from the specified name.
of(double, Strike, CurrencyPair) - Static method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata: Creates node metadata using year fraction, strike and currency pair.
of(double, Tenor, Strike, CurrencyPair) - Static method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata: Creates node metadata using year fraction, associated tenor, strike and currency pair.
of(double, Strike, String, CurrencyPair) - Static method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata: Creates node using year fraction, strike, label and currency pair.
of(double, Tenor, Strike, String, CurrencyPair) - Static method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata: Creates node using year fraction, associated tenor, strike, label and currency pair.
of(List<SmileDeltaParameters>, DayCount) - Static method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure: Obtains volatility term structure from a set of smile descriptions.
of(List<SmileDeltaParameters>, DayCount, CurveInterpolator, CurveExtrapolator, CurveExtrapolator) - Static method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure: Obtains volatility term structure from a set of smile descriptions with strike interpolator and extrapolators specified.
of(List<SmileDeltaParameters>, DayCount, CurveExtrapolator, CurveInterpolator, CurveExtrapolator, CurveExtrapolator, CurveInterpolator, CurveExtrapolator) - Static method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure: Deprecated.
Use variant with correct interpolator/extrapolator order
of(List<SmileDeltaParameters>, DayCount, CurveInterpolator, CurveExtrapolator, CurveExtrapolator, CurveInterpolator, CurveExtrapolator, CurveExtrapolator) - Static method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure: Obtains volatility term structure from a set of smile descriptions with interpolator and extrapolators fully specified.
of(DoubleArray, DoubleArray, DoubleMatrix, DayCount) - Static method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure: Obtains volatility term structure from expiry times, delta values and volatilities.
of(DoubleArray, DoubleArray, DoubleMatrix, DayCount, CurveInterpolator, CurveExtrapolator, CurveExtrapolator) - Static method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure: Obtains volatility term structure from expiry times, delta values and volatilities with strike interpolator and extrapolators specified.
of(DoubleArray, DoubleArray, DoubleMatrix, DayCount, CurveInterpolator, CurveExtrapolator, CurveExtrapolator, CurveInterpolator, CurveExtrapolator, CurveExtrapolator) - Static method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure: Obtains volatility term structure from expiry times, delta values and volatilities with interpolator and extrapolators fully specified.
of(DoubleArray, DoubleArray, DoubleArray, DoubleMatrix, DoubleMatrix, DayCount) - Static method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure: Obtains volatility term structure from expiry times, delta values, ATM volatilities, risk reversal figures and strangle figures.
of(DoubleArray, DoubleArray, DoubleArray, DoubleMatrix, DoubleMatrix, DayCount, CurveInterpolator, CurveExtrapolator, CurveExtrapolator) - Static method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure: Obtains volatility term structure from expiry times, delta values, ATM volatilities, risk reversal figures and strangle figures with strike interpolator and extrapolators specified.
of(DoubleArray, DoubleArray, DoubleArray, DoubleMatrix, DoubleMatrix, DayCount, CurveInterpolator, CurveExtrapolator, CurveExtrapolator, CurveInterpolator, CurveExtrapolator, CurveExtrapolator) - Static method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure: Obtains volatility term structure from expiry times, delta values, ATM volatilities, risk reversal figures and strangle figures with interpolator and extrapolators fully specified.
of(DoubleMatrix, List<DoubleMatrix>, DoubleArray, DoubleArray) - Static method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData: Creates an instance.
of(SmileDeltaParameters, DoubleMatrix) - Static method in class com.opengamma.strata.pricer.fxopt.SmileAndBucketedSensitivities: Obtains an instance.
of(double, DoubleArray, DoubleArray) - Static method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters: Obtains an instance from volatility.
of(double, Tenor, DoubleArray, DoubleArray) - Static method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters: Obtains an instance from volatility.
of(double, DoubleArray, DoubleArray, List<ParameterMetadata>) - Static method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters: Obtains an instance from volatility.
of(double, double, DoubleArray, DoubleArray, DoubleArray) - Static method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters: Obtains an instance from market data at-the-money, delta, risk-reversal and strangle.
of(double, Tenor, double, DoubleArray, DoubleArray, DoubleArray) - Static method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters: Obtains an instance from market data at-the-money, delta, risk-reversal and strangle.
of(double, double, DoubleArray, DoubleArray, DoubleArray, List<ParameterMetadata>) - Static method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters: Obtains an instance from market data at-the-money, delta, risk-reversal and strangle.
of(double, DoubleMatrix) - Static method in class com.opengamma.strata.pricer.fxopt.VolatilityAndBucketedSensitivities: Obtains an instance.
of(DiscountingSwapProductPricer) - Static method in class com.opengamma.strata.pricer.impl.cms.BlackFlatCmsPeriodPricer: Obtains the pricer.
of(double, double, SabrFormulaData, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.SabrExtrapolationRightFunction: Obtains an instance with default volatility provider.
of(double, SabrFormulaData, double, double, double, VolatilityFunctionProvider<SabrFormulaData>) - Static method in class com.opengamma.strata.pricer.impl.option.SabrExtrapolationRightFunction: Obtains an instance with volatility provider specified.
of(double, double, PutCall, int, BarrierType, double, DoubleArray) - Static method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction: Obtains an instance.
of(double, double, PutCall, int) - Static method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction: Obtains an instance.
of(double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData: Obtains an instance of the SABR formula data.
of(double[]) - Static method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData: Obtains an instance of the SABR formula data.
of(double) - Static method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction: Obtains an instance.
of(double, double, double) - Static method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData: Obtains an instance of the SSVI formula data.
of(double[]) - Static method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData: Obtains an instance of the SSVI formula data.
of(IborFutureOptionVolatilitiesName, double, LocalDate, double, double, Currency, double) - Static method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity: Obtains an instance.
of(String) - Static method in class com.opengamma.strata.pricer.index.IborFutureOptionVolatilitiesId: Obtains an identifier used to find Ibor future option volatilities.
of(IborFutureOptionVolatilitiesName) - Static method in class com.opengamma.strata.pricer.index.IborFutureOptionVolatilitiesId: Obtains an identifier used to find Ibor future option volatilities.
of(String) - Static method in class com.opengamma.strata.pricer.index.IborFutureOptionVolatilitiesName: Obtains an instance from the specified name.
of(IborIndex, ZonedDateTime, Surface) - Static method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities: Obtains an instance from the volatility surface and the date-time for which it is valid.
of(double, DoubleArray, DoubleArray) - Static method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParameters: Obtains an instance from the model parameters.
of(HullWhiteOneFactorPiecewiseConstantParameters, DayCount, ZonedDateTime) - Static method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider: Obtains an instance from Hull-White model parameters and the date-time for which it is valid.
of(HullWhiteOneFactorPiecewiseConstantParameters, DayCount, LocalDate, LocalTime, ZoneId) - Static method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider: Obtains an instance from Hull-White model parameters and the date, time and zone for which it is valid.
of(Surface, Surface, Surface, Surface, SabrVolatilityFormula) - Static method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters: Obtains an instance without shift from nodal surfaces and volatility function provider.
of(Surface, Surface, Surface, Surface, Surface, SabrVolatilityFormula) - Static method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters: Obtains an instance with shift from nodal surfaces and volatility function provider.
of(Curve, Curve, Curve, Curve, SabrVolatilityFormula) - Static method in class com.opengamma.strata.pricer.model.SabrParameters: Obtains an instance without shift from nodal curves and volatility function provider.
of(Curve, Curve, Curve, Curve, Curve, SabrVolatilityFormula) - Static method in class com.opengamma.strata.pricer.model.SabrParameters: Obtains an instance with shift from nodal curves and volatility function provider.
of(List<Period>, DoubleArray, ValueType, DoubleMatrix, ValueType) - Static method in class com.opengamma.strata.pricer.option.RawOptionData: Obtains an instance of the raw volatility.
of(List<Period>, DoubleArray, ValueType, DoubleMatrix, DoubleMatrix, ValueType) - Static method in class com.opengamma.strata.pricer.option.RawOptionData: Obtains an instance of the raw data with error.
of(Map<Tenor, RawOptionData>) - Static method in class com.opengamma.strata.pricer.option.TenorRawOptionData: Obtains an instance of the raw volatility.
of(IborIndex, DiscountFactors) - Static method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates: Obtains an instance based on discount factors with no historic fixings.
of(IborIndex, DiscountFactors, LocalDateDoubleTimeSeries) - Static method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates: Obtains an instance based on discount factors and historic fixings.
of(OvernightIndex, DiscountFactors) - Static method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates: Obtains an instance based on discount factors with no historic fixings.
of(OvernightIndex, DiscountFactors, LocalDateDoubleTimeSeries) - Static method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates: Obtains an instance based on discount factors and historic fixings.
of(IborIndex, LocalDate, LocalDateDoubleTimeSeries) - Static method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates: Obtains an instance from a time-series of fixings.
of(OvernightIndex, LocalDate, LocalDateDoubleTimeSeries) - Static method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates: Obtains an instance from a time-series of fixings.
of(PriceIndex, LocalDate, LocalDateDoubleTimeSeries) - Static method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues: Obtains an instance from a time-series of fixings.
of(IborIndex, LocalDate, Curve) - Static method in interface com.opengamma.strata.pricer.rate.IborIndexRates: Obtains an instance from a forward curve, with an empty time-series of fixings.
of(IborIndex, LocalDate, Curve, LocalDateDoubleTimeSeries) - Static method in interface com.opengamma.strata.pricer.rate.IborIndexRates: Obtains an instance from a curve and time-series of fixings.
of(IborIndexObservation, double) - Static method in class com.opengamma.strata.pricer.rate.IborRateSensitivity: Obtains an instance from the observation and sensitivity value.
of(IborIndexObservation, Currency, double) - Static method in class com.opengamma.strata.pricer.rate.IborRateSensitivity: Obtains an instance from the observation and sensitivity value, specifying the currency of the value.
of(PriceIndexObservation, double) - Static method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity: Obtains an instance from the observation and sensitivity value.
of(PriceIndexObservation, Currency, double) - Static method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity: Obtains an instance from the observation and sensitivity value, specifying the currency of the value.
of(OvernightIndex, LocalDate, Curve) - Static method in interface com.opengamma.strata.pricer.rate.OvernightIndexRates: Obtains an instance from a forward curve, with an empty time-series of fixings.
of(OvernightIndex, LocalDate, Curve, LocalDateDoubleTimeSeries) - Static method in interface com.opengamma.strata.pricer.rate.OvernightIndexRates: Obtains an instance from a curve and time-series of fixings.
of(OvernightIndexObservation, double) - Static method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity: Obtains an instance from the observation and sensitivity value.
of(OvernightIndexObservation, Currency, double) - Static method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity: Obtains an instance from the observation and sensitivity value, specifying the currency of the value.
of(PriceIndex, LocalDate, Curve, LocalDateDoubleTimeSeries) - Static method in interface com.opengamma.strata.pricer.rate.PriceIndexValues: Obtains an instance from a curve and time-series of fixings.
of(IborIndex, LocalDate, Curve) - Static method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates: Obtains an instance from a curve, with an empty time-series of fixings.
of(IborIndex, LocalDate, Curve, LocalDateDoubleTimeSeries) - Static method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates: Obtains an instance from a curve and time-series of fixing.
of(PriceIndex, LocalDate, Curve, LocalDateDoubleTimeSeries) - Static method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues: Obtains an instance based on a curve with no seasonality adjustment.
of(Currency, LocalDate, Curve) - Static method in class com.opengamma.strata.pricer.SimpleDiscountFactors: Obtains an instance based on a discount factor curve.
of(FixedFloatSwapConvention, ZonedDateTime, Surface) - Static method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities: Obtains an instance from the implied volatility surface and the date-time for which it is valid.
of(FixedFloatSwapConvention, ZonedDateTime, Surface) - Static method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities: Obtains an instance from the implied volatility surface and the date-time for which it is valid.
of(FixedFloatSwapConvention, ZonedDateTime, Surface) - Static method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities: Obtains an instance from the implied volatility surface and the date-time for which it is valid.
of(FixedFloatSwapConvention, ZonedDateTime, Surface) - Static method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities: Obtains an instance from the implied volatility surface and the date-time for which it is valid.
of(SwaptionVolatilitiesName, FixedFloatSwapConvention, ZonedDateTime, SabrInterestRateParameters) - Static method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities: Obtains an instance from the SABR model parameters and the date-time for which it is valid.
of(SabrVolatilityFormula, DiscountingSwapProductPricer) - Static method in class com.opengamma.strata.pricer.swaption.SabrSwaptionCalibrator: Obtains an instance from a SABR volatility function provider and a swap pricer.
of(SabrVolatilityFormula, DiscountingSwapProductPricer, ReferenceData) - Static method in class com.opengamma.strata.pricer.swaption.SabrSwaptionCalibrator: Obtains an instance from a SABR volatility function provider and a swap pricer.
of(SwaptionVolatilitiesName, FixedFloatSwapConvention, DayCount, SurfaceInterpolator) - Static method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition: Obtains an instance from the name, convention, day count and tenors.
of(SwaptionVolatilitiesName, double, double, SabrParameterType, Currency, double) - Static method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity: Obtains an instance from the specified elements.
of(SwaptionVolatilitiesName, double, double, double, double, Currency, double) - Static method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity: Obtains an instance from the specified elements.
of(double, double) - Static method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata: Creates node metadata using swap convention, year fraction and simple moneyness.
of(double, double, String) - Static method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata: Creates node using swap convention, year fraction, simple moneyness and label.
of(double, double) - Static method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata: Creates node metadata using swap convention, year fraction and strike.
of(double, double, String) - Static method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata: Creates node using swap convention, year fraction, strike and label.
of(double, double) - Static method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata: Creates node metadata using swap convention, year fraction and strike.
of(double, double, String) - Static method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata: Creates node using swap convention, year fraction, strike and label.
of(String) - Static method in class com.opengamma.strata.pricer.swaption.SwaptionVolatilitiesId: Obtains an identifier used to find swaption volatilities.
of(SwaptionVolatilitiesName) - Static method in class com.opengamma.strata.pricer.swaption.SwaptionVolatilitiesId: Obtains an identifier used to find swaption volatilities.
of(String) - Static method in class com.opengamma.strata.pricer.swaption.SwaptionVolatilitiesName: Obtains an instance from the specified name.
of(Currency, LocalDate, Curve) - Static method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors: Obtains an instance based on a zero-rates curve.
of(Currency, LocalDate, Curve) - Static method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors: Obtains an instance based on a zero-rates curve.
of(Currency, double, double) - Static method in class com.opengamma.strata.pricer.ZeroRateSensitivity: Obtains an instance from the curve currency, date and value.
of(Currency, double, Currency, double) - Static method in class com.opengamma.strata.pricer.ZeroRateSensitivity: Obtains an instance from the curve currency, date, sensitivity currency and value.
ofBackwardDifference(double) - Static method in class com.opengamma.strata.pricer.sensitivity.CurveGammaCalculator: Obtains an instance of the finite difference calculator using backward differencing.
ofBlackVolatility(List<Period>, DoubleArray, ValueType, DoubleMatrix, Double) - Static method in class com.opengamma.strata.pricer.option.RawOptionData: Obtains an instance of the raw volatility for shifted Black (log-normal) volatility.
ofBlackVolatility(List<Period>, DoubleArray, ValueType, DoubleMatrix, DoubleMatrix, Double) - Static method in class com.opengamma.strata.pricer.option.RawOptionData: Obtains an instance of the raw data with error for shifted Black (log-normal) volatility.
ofCentralDifference(double) - Static method in class com.opengamma.strata.pricer.sensitivity.CurveGammaCalculator: Obtains an instance of the finite difference calculator using central differencing.
ofFixedBeta(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, double, CurveInterpolator, CurveExtrapolator, CurveExtrapolator, SabrVolatilityFormula) - Static method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition: Obtains an instance with zero shift and constant beta.
ofFixedBeta(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, double, double, CurveInterpolator, CurveExtrapolator, CurveExtrapolator, SabrVolatilityFormula) - Static method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition: Obtains an instance with constant beta and shift.
ofFixedBeta(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, double, double, DoubleArray, DoubleArray, DoubleArray, CurveInterpolator, CurveExtrapolator, CurveExtrapolator, SabrVolatilityFormula) - Static method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Obtains an instance with fixed beta and nonzero shift.
ofFixedBeta(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, double, DoubleArray, DoubleArray, DoubleArray, CurveInterpolator, CurveExtrapolator, CurveExtrapolator, SabrVolatilityFormula) - Static method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Obtains an instance with fixed beta and zero shift.
ofFixedBeta(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, double, DoubleArray, DoubleArray, DoubleArray, DoubleArray, CurveInterpolator, CurveExtrapolator, CurveExtrapolator, SabrVolatilityFormula) - Static method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Obtains an instance with fixed beta, nonzero shift and initial values.
ofFixedBeta(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, DoubleArray, DoubleArray, DoubleArray, DoubleArray, CurveInterpolator, CurveExtrapolator, CurveExtrapolator, SabrVolatilityFormula) - Static method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Obtains an instance with fixed beta, zero shift and initial values.
ofFixedRho(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, double, CurveInterpolator, CurveExtrapolator, CurveExtrapolator, SabrVolatilityFormula) - Static method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition: Obtains an instance with zero shift and constant beta.
ofFixedRho(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, double, double, CurveInterpolator, CurveExtrapolator, CurveExtrapolator, SabrVolatilityFormula) - Static method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition: Obtains an instance with constant beta and shift.
ofFixedRho(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, double, double, DoubleArray, DoubleArray, DoubleArray, CurveInterpolator, CurveExtrapolator, CurveExtrapolator, SabrVolatilityFormula) - Static method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Obtains an instance with fixed rho and nonzero shift.
ofFixedRho(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, double, DoubleArray, DoubleArray, DoubleArray, CurveInterpolator, CurveExtrapolator, CurveExtrapolator, SabrVolatilityFormula) - Static method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Obtains an instance with fixed rho and zero shift.
ofFixedRho(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, double, DoubleArray, DoubleArray, DoubleArray, DoubleArray, CurveInterpolator, CurveExtrapolator, CurveExtrapolator, SabrVolatilityFormula) - Static method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Obtains an instance with fixed rho, nonzero shift and initial values.
ofFixedRho(IborCapletFloorletVolatilitiesName, IborIndex, DayCount, DoubleArray, DoubleArray, DoubleArray, DoubleArray, CurveInterpolator, CurveExtrapolator, CurveExtrapolator, SabrVolatilityFormula) - Static method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Obtains an instance with fixed rho, zero shift and initial values.
ofForwardDifference(double) - Static method in class com.opengamma.strata.pricer.sensitivity.CurveGammaCalculator: Obtains an instance of the finite difference calculator using forward differencing.
ofLeastSquare(IborCapletFloorletVolatilities, double) - Static method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityCalibrationResult: Obtains an instance of least square result.
ofPeriod(OvernightIndexObservation, LocalDate, double) - Static method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity: Obtains an instance for a period observation of the index from the observation and sensitivity value.
ofPeriod(OvernightIndexObservation, LocalDate, Currency, double) - Static method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity: Obtains an instance for a period observation of the index from the observation and sensitivity value, specifying the currency of the value.
ofRootFind(IborCapletFloorletVolatilities) - Static method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityCalibrationResult: Obtains an instance of root-finding result.
OptionFunction - Interface in com.opengamma.strata.pricer.impl.tree: Option function interface used in trinomial tree option pricing.
optionPrice(OptionFunction, LatticeSpecification, double, double, double, double) - Method in class com.opengamma.strata.pricer.impl.tree.TrinomialTree: Price an option under the specified trinomial lattice.
optionPrice(OptionFunction, RecombiningTrinomialTreeData) - Method in class com.opengamma.strata.pricer.impl.tree.TrinomialTree: Price an option under the specified trinomial tree gird.
optionPriceAdjoint(OptionFunction, RecombiningTrinomialTreeData) - Method in class com.opengamma.strata.pricer.impl.tree.TrinomialTree: Compute option price and delta under the specified trinomial tree gird.
OVERNIGHT_FUTURE_MQ - Static variable in class com.opengamma.strata.pricer.curve.MarketQuoteMeasure: The measure for ResolvedOvernightFutureTrade using price discounting.
OVERNIGHT_FUTURE_PAR_SPREAD - Static variable in class com.opengamma.strata.pricer.curve.TradeCalibrationMeasure: The calibrator for ResolvedOvernightFutureTrade using par spread discounting.
OVERNIGHT_FUTURE_PV - Static variable in class com.opengamma.strata.pricer.curve.PresentValueCalibrationMeasure: The calibrator for OvernightFutureTrade using present value discounting.
overnightIndexCurve(OvernightIndex, Curve) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProviderBuilder: Adds an Overnight index forward curve to the provider.
overnightIndexCurve(OvernightIndex, Curve, LocalDateDoubleTimeSeries) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProviderBuilder: Adds an Overnight index forward curve to the provider with associated time-series.
overnightIndexRates(OvernightIndex) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
OvernightIndexRates - Interface in com.opengamma.strata.pricer.rate: Provides access to rates for an Overnight index.
overnightIndexRates(OvernightIndex) - Method in interface com.opengamma.strata.pricer.rate.RatesProvider: Gets the rates for an Overnight index.
OvernightRateSensitivity - Class in com.opengamma.strata.pricer.rate: Point sensitivity to a rate from an Overnight index curve.
OvernightRateSensitivity.Meta - Class in com.opengamma.strata.pricer.rate: The meta-bean for OvernightRateSensitivity.

P

PAR_SPREAD - Static variable in class com.opengamma.strata.pricer.curve.CalibrationMeasures: The par spread instance, which is the default used in curve calibration.
parallelCs01(ResolvedCdsTrade, List<ResolvedCdsTrade>, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.AnalyticSpreadSensitivityCalculator
parallelCs01(ResolvedCdsTrade, List<ResolvedCdsTrade>, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.FiniteDifferenceSpreadSensitivityCalculator
parallelCs01(ResolvedCdsTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.SpreadSensitivityCalculator: Computes parallel CS01 for CDS.
parallelCs01(ResolvedCdsTrade, List<ResolvedCdsTrade>, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.SpreadSensitivityCalculator: Computes parallel CS01 for CDS.
parallelCs01(ResolvedCdsIndexTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.SpreadSensitivityCalculator: Computes parallel CS01 for CDS index using a single credit curve.
parallelCs01(ResolvedCdsIndexTrade, List<ResolvedCdsIndexTrade>, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.SpreadSensitivityCalculator: Computes parallel CS01 for CDS index using a single credit curve.
parallelSensitivity(CurrencyParameterSensitivities, SabrParametersSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionRawDataSensitivityCalculator: Calculates the raw data sensitivities from SABR parameter sensitivity.
parameterCurveNodes(List<DoubleArray>) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder: Sets the nodes of SABR parameter curves.
parameterCurveNodes(DoubleArray...) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder: Sets the parameterCurveNodes property in the builder from an array of objects.
parameterCurveNodes() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta: The meta-property for the parameterCurveNodes property.
parameterMetadata() - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters.Meta: The meta-property for the parameterMetadata property.
parameters() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities.Meta: The meta-property for the parameters property.
parameters(SabrParameters) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Builder: Sets the SABR model parameters.
parameters() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Meta: The meta-property for the parameters property.
parameters() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta: The meta-property for the parameters property.
parameters(SabrInterestRateParameters) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Builder: Sets the SABR model parameters.
parameters() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Meta: The meta-property for the parameters property.
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities
parameterSensitivity(PointSensitivity...) - Method in interface com.opengamma.strata.pricer.bond.BondFutureVolatilities: Calculates the parameter sensitivity.
parameterSensitivity(PointSensitivities) - Method in interface com.opengamma.strata.pricer.bond.BondFutureVolatilities: Calculates the parameter sensitivity.
parameterSensitivity(PointSensitivity...) - Method in interface com.opengamma.strata.pricer.bond.BondYieldVolatilities: Calculates the parameter sensitivity.
parameterSensitivity(PointSensitivities) - Method in interface com.opengamma.strata.pricer.bond.BondYieldVolatilities: Calculates the parameter sensitivity.
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider
parameterSensitivity(IssuerCurveZeroRateSensitivity) - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors: Calculates the curve parameter sensitivity from the point sensitivity.
parameterSensitivity(PointSensitivities) - Method in interface com.opengamma.strata.pricer.bond.LegalEntityDiscountingProvider: Computes the parameter sensitivity.
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities
parameterSensitivity(RepoCurveZeroRateSensitivity) - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors: Calculates the curve parameter sensitivity from the point sensitivity.
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
parameterSensitivity(PointSensitivity...) - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities: Calculates the parameter sensitivity.
parameterSensitivity(PointSensitivities) - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities: Calculates the parameter sensitivity.
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
parameterSensitivity(ZeroRateSensitivity) - Method in interface com.opengamma.strata.pricer.credit.CreditDiscountFactors: Calculates the parameter sensitivity from the point sensitivity.
parameterSensitivity(PointSensitivities) - Method in interface com.opengamma.strata.pricer.credit.CreditRatesProvider: Computes the parameter sensitivity.
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider
parameterSensitivity(ZeroRateSensitivity) - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
parameterSensitivity(CreditCurveZeroRateSensitivity) - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities: Calculates the parameter sensitivity from the point sensitivity.
parameterSensitivity(ZeroRateSensitivity) - Method in interface com.opengamma.strata.pricer.DiscountFactors: Calculates the parameter sensitivity from the point sensitivity.
parameterSensitivity(FxForwardSensitivity) - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates
parameterSensitivity(FxIndexSensitivity) - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates
parameterSensitivity(FxForwardSensitivity) - Method in interface com.opengamma.strata.pricer.fx.FxForwardRates: Calculates the parameter sensitivity from the point sensitivity.
parameterSensitivity(FxIndexSensitivity) - Method in interface com.opengamma.strata.pricer.fx.FxIndexRates: Calculates the parameter sensitivity from the point sensitivity.
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities
parameterSensitivity(PointSensitivity...) - Method in interface com.opengamma.strata.pricer.fxopt.FxOptionVolatilities: Calculates the parameter sensitivity.
parameterSensitivity(PointSensitivities) - Method in interface com.opengamma.strata.pricer.fxopt.FxOptionVolatilities: Calculates the parameter sensitivity.
parameterSensitivity(PointSensitivity...) - Method in interface com.opengamma.strata.pricer.index.IborFutureOptionVolatilities: Calculates the parameter sensitivity.
parameterSensitivity(PointSensitivities) - Method in interface com.opengamma.strata.pricer.index.IborFutureOptionVolatilities: Calculates the parameter sensitivity.
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities
parameterSensitivity(IborRateSensitivity) - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates
parameterSensitivity(OvernightRateSensitivity) - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
parameterSensitivity(IborRateSensitivity) - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates
parameterSensitivity(OvernightRateSensitivity) - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates
parameterSensitivity(InflationRateSensitivity) - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues
parameterSensitivity(IborRateSensitivity) - Method in interface com.opengamma.strata.pricer.rate.IborIndexRates: Calculates the parameter sensitivity from the point sensitivity.
parameterSensitivity(OvernightRateSensitivity) - Method in interface com.opengamma.strata.pricer.rate.OvernightIndexRates: Calculates the parameter sensitivity from the point sensitivity.
parameterSensitivity(InflationRateSensitivity) - Method in interface com.opengamma.strata.pricer.rate.PriceIndexValues: Calculates the parameter sensitivity from the point sensitivity.
parameterSensitivity(PointSensitivities) - Method in interface com.opengamma.strata.pricer.rate.RatesProvider: Computes the parameter sensitivity.
parameterSensitivity(IborRateSensitivity) - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates
parameterSensitivity(InflationRateSensitivity) - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues
parameterSensitivity(ZeroRateSensitivity) - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
parameterSensitivity(PointSensitivities) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
parameterSensitivity(PointSensitivity...) - Method in interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities: Calculates the parameter sensitivity.
parameterSensitivity(PointSensitivities) - Method in interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities: Calculates the parameter sensitivity.
parameterSensitivity(ZeroRateSensitivity) - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors
parameterSensitivity(ZeroRateSensitivity) - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
parRate(ResolvedIborFixingDeposit, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositProductPricer: Calculates the deposit fair rate given the start and end time and the accrual factor.
parRate(ResolvedIborFixingDepositTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositTradePricer: Calculates the deposit fair rate given the start and end time and the accrual factor.
parRate(ResolvedTermDeposit, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingTermDepositProductPricer: Calculates the deposit fair rate given the start and end time and the accrual factor.
parRate(ResolvedTermDepositTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingTermDepositTradePricer: Calculates the deposit fair rate given the start and end time and the accrual factor.
parRate(ResolvedFra, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraProductPricer: Calculates the par rate of the FRA product.
parRate(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraTradePricer: Calculates the par rate of the FRA trade.
parRate(ResolvedIborFuture, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider) - Method in class com.opengamma.strata.pricer.index.HullWhiteIborFutureProductPricer: Calculates the par rate of the Ibor future product.
parRate(ResolvedSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Computes the par rate for swaps with a fixed leg.
parRate(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer: Calculates the par rate of the swap trade.
parRateSensitivity(ResolvedIborFixingDeposit, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositProductPricer: Calculates the deposit fair rate sensitivity to the curves.
parRateSensitivity(ResolvedIborFixingDepositTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositTradePricer: Calculates the deposit fair rate sensitivity to the curves.
parRateSensitivity(ResolvedTermDeposit, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingTermDepositProductPricer: Calculates the par rate curve sensitivity.
parRateSensitivity(ResolvedTermDepositTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingTermDepositTradePricer: Calculates the par rate curve sensitivity.
parRateSensitivity(ResolvedFra, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraProductPricer: Calculates the par rate curve sensitivity of the FRA product.
parRateSensitivity(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraTradePricer: Calculates the par rate curve sensitivity of the FRA trade.
parRateSensitivity(ResolvedSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Calculates the par rate curve sensitivity for a swap with a fixed leg.
parRateSensitivity(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer: Calculates the par rate curve sensitivity of the swap trade.
parSpread(ResolvedBondFutureTrade, LegalEntityDiscountingProvider, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingBondFutureTradePricer: Calculates the par spread of the bond future trade.
parSpread(ResolvedCds, CreditRatesProvider, LocalDate, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsProductPricer: Calculates the par spread of the CDS product.
parSpread(ResolvedCdsTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsTradePricer: Calculates the par spread of the underlying product.
parSpread(ResolvedCdsIndex, CreditRatesProvider, LocalDate, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexProductPricer: Calculates the par spread of the CDS index product.
parSpread(ResolvedCdsIndexTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexTradePricer: Calculates the par spread of the underlying product.
parSpread(ResolvedIborFixingDeposit, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositProductPricer: Calculates the spread to be added to the deposit rate to have a zero present value.
parSpread(ResolvedIborFixingDepositTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositTradePricer: Calculates the spread to be added to the deposit rate to have a zero present value.
parSpread(ResolvedTermDeposit, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingTermDepositProductPricer: Calculates the spread to be added to the deposit rate to have a zero present value.
parSpread(ResolvedTermDepositTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingTermDepositTradePricer: Calculates the spread to be added to the deposit rate to have a zero present value.
parSpread(ResolvedFra, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraProductPricer: Calculates the par spread of the FRA product.
parSpread(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraTradePricer: Calculates the par spread of the FRA trade.
parSpread(ResolvedFxSingle, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSingleProductPricer: Calculates the par spread.
parSpread(ResolvedFxSingleTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSingleTradePricer: Calculates the par spread.
parSpread(ResolvedFxSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSwapProductPricer: Calculates the par spread.
parSpread(ResolvedFxSwapTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSwapTradePricer: Calculates the par spread.
parSpread(ResolvedIborFutureTrade, RatesProvider, double) - Method in class com.opengamma.strata.pricer.index.DiscountingIborFutureTradePricer: Calculates the par spread of the Ibor future trade.
parSpread(ResolvedOvernightFutureTrade, RatesProvider, double) - Method in class com.opengamma.strata.pricer.index.DiscountingOvernightFutureTradePricer: Calculates the par spread of the Overnight rate future trade.
parSpread(ResolvedIborFutureTrade, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider, double) - Method in class com.opengamma.strata.pricer.index.HullWhiteIborFutureTradePricer: Calculates the par spread of the Ibor future trade.
parSpread(ResolvedSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Computes the par spread for swaps.
parSpread(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer: Calculates the par spread of the swap trade.
parSpreadSensitivity(ResolvedBondFutureTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingBondFutureTradePricer: Calculates the par spread sensitivity of the bond future trade.
parSpreadSensitivity(ResolvedCds, CreditRatesProvider, LocalDate, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsProductPricer: Calculates the par spread sensitivity of the product.
parSpreadSensitivity(ResolvedCdsTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsTradePricer: Calculates the par spread sensitivity of the underling product.
parSpreadSensitivity(ResolvedCdsIndex, CreditRatesProvider, LocalDate, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexProductPricer: Calculates the par spread sensitivity of the product.
parSpreadSensitivity(ResolvedCdsIndexTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexTradePricer: Calculates the par spread sensitivity of the underling product.
parSpreadSensitivity(ResolvedIborFixingDeposit, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositProductPricer: Calculates the par spread curve sensitivity.
parSpreadSensitivity(ResolvedIborFixingDepositTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositTradePricer: Calculates the par spread curve sensitivity.
parSpreadSensitivity(ResolvedTermDeposit, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingTermDepositProductPricer: Calculates the par spread curve sensitivity.
parSpreadSensitivity(ResolvedTermDepositTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingTermDepositTradePricer: Calculates the par spread curve sensitivity.
parSpreadSensitivity(ResolvedFra, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraProductPricer: Calculates the par spread curve sensitivity of the FRA product.
parSpreadSensitivity(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraTradePricer: Calculates the par spread curve sensitivity of the FRA trade.
parSpreadSensitivity(ResolvedFxSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSwapProductPricer: Calculates the par spread sensitivity to the curves.
parSpreadSensitivity(ResolvedFxSwapTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSwapTradePricer: Calculates the par spread sensitivity to the curves.
parSpreadSensitivity(ResolvedIborFutureTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.index.DiscountingIborFutureTradePricer: Calculates the par spread sensitivity of the Ibor future trade.
parSpreadSensitivity(ResolvedOvernightFutureTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.index.DiscountingOvernightFutureTradePricer: Calculates the par spread sensitivity of the Overnight rate future trade.
parSpreadSensitivity(ResolvedSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Calculates the par spread curve sensitivity for a swap.
parSpreadSensitivity(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer: Calculates the par spread curve sensitivity of the swap trade.
parSpreadSensitivityRates(ResolvedIborFutureTrade, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider) - Method in class com.opengamma.strata.pricer.index.HullWhiteIborFutureTradePricer: Calculates the par spread sensitivity of the Ibor future trade.
parSpreadSensitivityWithZSpread(ResolvedBondFutureTrade, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingBondFutureTradePricer: Calculates the par spread sensitivity of the bond future trade with z-spread.
parSpreadWithZSpread(ResolvedBondFutureTrade, LegalEntityDiscountingProvider, double, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingBondFutureTradePricer: Calculates the par spread of the bond future trade with z-spread.
partialFirstDerivatives(double, double, double) - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure
partialFirstDerivatives(double, double, double) - Method in interface com.opengamma.strata.pricer.fxopt.SmileDeltaTermStructure: Computes the partial derivatives of the volatilities.
paymentDelayConvexityFactor(HullWhiteOneFactorPiecewiseConstantParameters, double, double, double, double, double) - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: Calculates the payment delay convexity factor used in coupons with mismatched dates pricing.
period() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata.Meta: The meta-property for the period property.
periodRate(OvernightIndexObservation, LocalDate) - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
periodRate(OvernightIndexObservation, LocalDate) - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates
periodRate(OvernightIndexObservation, LocalDate) - Method in interface com.opengamma.strata.pricer.rate.OvernightIndexRates: Gets the historic or forward rate at the specified fixing period.
periodRatePointSensitivity(OvernightIndexObservation, LocalDate) - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
periodRatePointSensitivity(OvernightIndexObservation, LocalDate) - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates
periodRatePointSensitivity(OvernightIndexObservation, LocalDate) - Method in interface com.opengamma.strata.pricer.rate.OvernightIndexRates: Calculates the point sensitivity of the historic or forward rate at the specified fixing period.
pointsUpfront(ResolvedCdsTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.CdsMarketQuoteConverter: Computes the points upfront.
pointsUpFrontFromQuotedSpread(ResolvedCdsTrade, CdsQuote, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.CdsMarketQuoteConverter: Converts quoted spread to points upfront.
PRESENT_VALUE - Static variable in class com.opengamma.strata.pricer.curve.CalibrationMeasures: The present value instance, which is the default used in present value sensitivity to market quote stored during curve calibration.
presentValue(ResolvedBondFutureOptionTrade, LocalDate, double, double) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedTradePricer: Calculates the present value of the bond future option trade from the current option price.
presentValue(ResolvedBondFutureOptionTrade, LegalEntityDiscountingProvider, BondFutureVolatilities, double) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedTradePricer: Calculates the present value of the bond future option trade.
presentValue(ResolvedBondFutureOptionTrade, LegalEntityDiscountingProvider, BlackBondFutureVolatilities, double, double) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedTradePricer: Calculates the present value of the bond future option trade from the underlying future price.
presentValue(ResolvedFixedCouponBondOption, LegalEntityDiscountingProvider, BondYieldVolatilities) - Method in class com.opengamma.strata.pricer.bond.BlackFixedCouponBondOptionPricer: Calculates the present value of the bond option.
presentValue(ResolvedBill, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingBillProductPricer: Calculates the present value of the bill product.
presentValue(ResolvedBillTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingBillTradePricer: Calculates the present value of a bill trade.
presentValue(ResolvedBondFutureTrade, LegalEntityDiscountingProvider, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingBondFutureTradePricer: Calculates the present value of the bond future trade.
presentValue(CapitalIndexedBondPaymentPeriod, RatesProvider, IssuerCurveDiscountFactors) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondPaymentPeriodPricer: Calculates the present value of a single payment period.
presentValue(ResolvedCapitalIndexedBond, RatesProvider, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the present value of the bond.
presentValue(ResolvedCapitalIndexedBondTrade, RatesProvider, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondTradePricer: Calculates the present value of the bond trade.
presentValue(FixedCouponBondPaymentPeriod, IssuerCurveDiscountFactors) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondPaymentPeriodPricer: Calculates the present value of a single fixed coupon payment period.
presentValue(ResolvedFixedCouponBond, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the present value of the fixed coupon bond product.
presentValue(ResolvedFixedCouponBondTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondTradePricer: Calculates the present value of the fixed coupon bond trade.
presentValue(OvernightInArrearsCapletFloorletPeriod, RatesProvider, SabrParametersIborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.SabrOvernightInArrearsCapletFloorletPeriodPricer: Computes the present value in the SABR model with effective parameters.
presentValue(OvernightInArrearsCapletFloorletBinaryPeriod, RatesProvider, SabrParametersIborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer: Calculates the present value of the binary caplet/floorlet period.
presentValue(IborCapletFloorletBinaryPeriod, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VerticalSpreadVolatilityIborCapletFloorletBinaryPeriodPricer: Calculates the present value of the binary caplet/floorlet period.
presentValue(ResolvedIborCapFloorLeg, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorLegPricer: Calculates the present value of the Ibor cap/floor leg.
presentValue(ResolvedIborCapFloor, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorProductPricer: Calculates the present value of the Ibor cap/floor product.
presentValue(ResolvedIborCapFloorTrade, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorTradePricer: Calculates the present value of the Ibor cap/floor trade.
presentValue(IborCapletFloorletPeriod, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapletFloorletPeriodPricer: Calculates the present value of the Ibor caplet/floorlet period.
presentValue(OvernightInArrearsCapletFloorletPeriod, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityOvernightInArrearsCapletFloorletPeriodPricer: Calculates the present value of the overnight in-arrears caplet/floorlet period.
presentValue(ResolvedCmsLeg, RatesProvider) - Method in class com.opengamma.strata.pricer.cms.DiscountingCmsLegPricer: Computes the present value of CMS leg by simple forward rate estimation.
presentValue(ResolvedCms, RatesProvider) - Method in class com.opengamma.strata.pricer.cms.DiscountingCmsProductPricer: Calculates the present value of the CMS product by simple forward estimation.
presentValue(ResolvedCmsTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.cms.DiscountingCmsTradePricer: Calculates the present value of the CMS trade by simple forward estimation.
presentValue(ResolvedCmsLeg, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsLegPricer: Calculates the present value of the CMS leg.
presentValue(CmsPeriod, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsPeriodPricer: Computes the present value by replication in SABR framework with extrapolation on the right.
presentValue(ResolvedCms, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsProductPricer: Calculates the present value of the CMS product.
presentValue(ResolvedCmsTrade, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsTradePricer: Calculates the present value of the CMS trade.
presentValue(ResolvedCds, CreditRatesProvider, LocalDate, PriceType, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsProductPricer: Calculates the present value of the CDS product.
presentValue(ResolvedCdsTrade, CreditRatesProvider, PriceType, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsTradePricer: Calculates the present value of the trade.
presentValue(ResolvedCdsIndex, CreditRatesProvider, LocalDate, PriceType, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexProductPricer: Calculates the present value of the CDS index product.
presentValue(ResolvedCdsIndexTrade, CreditRatesProvider, PriceType, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexTradePricer: Calculates the present value of the trade.
presentValue(ResolvedIborFixingDeposit, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositProductPricer: Calculates the present value of the Ibor fixing deposit product.
presentValue(ResolvedIborFixingDepositTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositTradePricer: Calculates the present value of the Ibor fixing deposit trade.
presentValue(ResolvedTermDeposit, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingTermDepositProductPricer: Calculates the present value by discounting the final cash flow (nominal + interest) and the initial payment (initial amount).
presentValue(ResolvedTermDepositTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingTermDepositTradePricer: Calculates the present value by discounting the final cash flow (nominal + interest) and the initial payment (initial amount).
presentValue(Payment, BaseProvider) - Method in class com.opengamma.strata.pricer.DiscountingPaymentPricer: Computes the present value of the payment by discounting.
presentValue(Payment, DiscountFactors) - Method in class com.opengamma.strata.pricer.DiscountingPaymentPricer: Computes the present value of the payment by discounting.
presentValue(ResolvedDsfTrade, RatesProvider, double) - Method in class com.opengamma.strata.pricer.dsf.DiscountingDsfTradePricer: Calculates the present value of the deliverable swap futures trade.
presentValue(ResolvedFra, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraProductPricer: Calculates the present value of the FRA product.
presentValue(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraTradePricer: Calculates the present value of the FRA trade.
presentValue(ResolvedFxNdf, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxNdfProductPricer: Calculates the present value of the NDF product.
presentValue(ResolvedFxNdfTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxNdfTradePricer: Calculates the present value of the trade.
presentValue(ResolvedFxSingle, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSingleProductPricer: Calculates the present value of the FX product by discounting each payment in its own currency.
presentValue(ResolvedFxSingleTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSingleTradePricer: Calculates the present value of the trade.
presentValue(ResolvedFxSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSwapProductPricer: Calculates the present value of the FX swap product.
presentValue(ResolvedFxSwapTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSwapTradePricer: Calculates the present value of the trade.
presentValue(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionProductPricer: Calculates the present value of the FX barrier option product.
presentValue(ResolvedFxSingleBarrierOptionTrade, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionTradePricer: Calculates the present value of the FX barrier option trade.
presentValue(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionProductPricer: Calculates the present value of the foreign exchange vanilla option product.
presentValue(ResolvedFxVanillaOptionTrade, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionTradePricer: Calculates the present value of the FX vanilla option trade.
presentValue(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer: Calculates the present value of the FX barrier option product.
presentValue(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities, RecombiningTrinomialTreeData) - Method in class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer: Calculates the present value of the FX barrier option product.
presentValue(ResolvedFxSingleBarrierOptionTrade, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer: Calculates the present value of the FX barrier option trade.
presentValue(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionSmileVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.VannaVolgaFxVanillaOptionProductPricer: Calculates the present value of the foreign exchange vanilla option product.
presentValue(ResolvedFxVanillaOptionTrade, RatesProvider, BlackFxOptionSmileVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.VannaVolgaFxVanillaOptionTradePricer: Calculates the present value of the FX vanilla option trade.
presentValue(CmsPeriod, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.impl.cms.BlackFlatCmsPeriodPricer: Computes the present value by replication in SABR framework with extrapolation on the right.
presentValue(CmsPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.cms.DiscountingCmsPeriodPricer: Computes the present value of CMS coupon by simple forward rate estimation.
presentValue(FxResetNotionalExchange, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingFxResetNotionalExchangePricer
presentValue(KnownAmountSwapPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingKnownAmountPaymentPeriodPricer
presentValue(NotionalExchange, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingNotionalExchangePricer
presentValue(RatePaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingRatePaymentPeriodPricer
presentValue(SwapPaymentEvent, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentEventPricer
presentValue(SwapPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentPeriodPricer
presentValue(ResolvedIborFutureTrade, RatesProvider, double) - Method in class com.opengamma.strata.pricer.index.DiscountingIborFutureTradePricer: Calculates the present value of the Ibor future trade.
presentValue(ResolvedOvernightFutureTrade, RatesProvider, double) - Method in class com.opengamma.strata.pricer.index.DiscountingOvernightFutureTradePricer: Calculates the present value of the Overnight rate future trade.
presentValue(ResolvedIborFutureTrade, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider, double) - Method in class com.opengamma.strata.pricer.index.HullWhiteIborFutureTradePricer: Calculates the present value of the Ibor future trade.
presentValue(ResolvedIborFutureOptionTrade, LocalDate, double, double) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedTradePricer: Calculates the present value of the Ibor future option trade from the current option price.
presentValue(ResolvedIborFutureOptionTrade, RatesProvider, NormalIborFutureOptionVolatilities, double) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedTradePricer: Calculates the present value of the Ibor future option trade.
presentValue(ResolvedIborFutureOptionTrade, RatesProvider, NormalIborFutureOptionVolatilities, double, double) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedTradePricer: Calculates the present value of the Ibor future option trade from the underlying future price.
presentValue(ResolvedBulletPaymentTrade, BaseProvider) - Method in class com.opengamma.strata.pricer.payment.DiscountingBulletPaymentTradePricer: Calculates the present value of the bullet payment trade.
presentValue(ResolvedSwapLeg, Currency, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Calculates the present value of the swap leg, converted to the specified currency.
presentValue(ResolvedSwapLeg, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Calculates the present value of the swap leg.
presentValue(ResolvedSwap, Currency, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Calculates the present value of the swap product, converted to the specified currency.
presentValue(ResolvedSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Calculates the present value of the swap product.
presentValue(ResolvedSwapTrade, Currency, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer: Calculates the present value of the swap trade, converted to the specified currency.
presentValue(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer: Calculates the present value of the swap trade.
presentValue(T, RatesProvider) - Method in interface com.opengamma.strata.pricer.swap.SwapPaymentEventPricer: Calculates the present value of a single payment event.
presentValue(T, RatesProvider) - Method in interface com.opengamma.strata.pricer.swap.SwapPaymentPeriodPricer: Calculates the present value of a single payment period.
presentValue(ResolvedSwaptionTrade, RatesProvider, BlackSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionTradePricer: Calculates the present value of the swaption trade.
presentValue(ResolvedSwaption, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider) - Method in class com.opengamma.strata.pricer.swaption.HullWhiteSwaptionPhysicalProductPricer: Calculates the present value of the swaption product.
presentValue(ResolvedSwaptionTrade, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider) - Method in class com.opengamma.strata.pricer.swaption.HullWhiteSwaptionPhysicalTradePricer: Calculates the present value of the swaption trade.
presentValue(ResolvedSwaptionTrade, RatesProvider, NormalSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionTradePricer: Calculates the present value of the swaption trade.
presentValue(ResolvedSwaptionTrade, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionTradePricer: Calculates the present value of the swaption trade.
presentValue(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer: Calculates the present value of the swaption.
presentValue(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionPhysicalProductPricer: Calculates the present value of the swaption.
presentValue(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionProductPricer: Calculates the present value of the swaption.
presentValue(ResolvedSwaptionTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionTradePricer: Calculates the present value of the swaption trade.
presentValueAmount(Payment, BaseProvider) - Method in class com.opengamma.strata.pricer.DiscountingPaymentPricer: Computes the present value of the payment by discounting.
PresentValueCalibrationMeasure<T extends ResolvedTrade> - Class in com.opengamma.strata.pricer.curve: Provides calibration measures for a single type of trade based on functions.
presentValueCapletFloorletPeriods(ResolvedIborCapFloorLeg, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorLegPricer: Calculates the present value for each caplet/floorlet of the Ibor cap/floor leg.
presentValueCapletFloorletPeriods(ResolvedIborCapFloor, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorProductPricer: Calculates the present value for each caplet/floorlet of the Ibor cap/floor product.
presentValueCapletFloorletPeriods(ResolvedIborCapFloorTrade, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorTradePricer: Calculates the present value for each caplet/floorlet of the Ibor cap/floor trade.
presentValueDelta(ResolvedIborCapFloorLeg, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorLegPricer: Calculates the present value delta of the Ibor cap/floor leg.
presentValueDelta(ResolvedIborCapFloor, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorProductPricer: Calculates the present value delta of the Ibor cap/floor product.
presentValueDelta(IborCapletFloorletPeriod, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapletFloorletPeriodPricer: Calculates the present value delta of the Ibor caplet/floorlet period.
presentValueDelta(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionProductPricer: Calculates the present value delta of the FX barrier option product.
presentValueDelta(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionProductPricer: Calculates the present value delta of the foreign exchange vanilla option product.
presentValueDelta(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer: Calculates the present value delta of the swaption.
presentValueDelta(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionPhysicalProductPricer: Calculates the present value delta of the swaption.
presentValueDelta(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionProductPricer: Calculates the present value delta of the swaption.
presentValueFromCleanPrice(ResolvedCapitalIndexedBondTrade, RatesProvider, LegalEntityDiscountingProvider, ReferenceData, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondTradePricer: Calculates the present value of the bond trade from the clean price.
presentValueFromCleanPrice(ResolvedFixedCouponBondTrade, LegalEntityDiscountingProvider, ReferenceData, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondTradePricer: Calculates the present value of the fixed coupon bond trade from the clean price of the underlying product.
presentValueFromCleanPriceWithZSpread(ResolvedCapitalIndexedBondTrade, RatesProvider, LegalEntityDiscountingProvider, ReferenceData, double, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondTradePricer: Calculates the present value of the settlement of the bond trade from the clean price with z-spread.
presentValueFromCleanPriceWithZSpread(ResolvedFixedCouponBondTrade, LegalEntityDiscountingProvider, ReferenceData, double, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondTradePricer: Calculates the present value of the fixed coupon bond trade with z-spread from the clean price of the underlying product.
presentValueGamma(ResolvedIborCapFloorLeg, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorLegPricer: Calculates the present value gamma of the Ibor cap/floor leg.
presentValueGamma(ResolvedIborCapFloor, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorProductPricer: Calculates the present value gamma of the Ibor cap/floor product.
presentValueGamma(IborCapletFloorletPeriod, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapletFloorletPeriodPricer: Calculates the present value gamma of the Ibor caplet/floorlet period.
presentValueGamma(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionProductPricer: Calculates the present value gamma of the FX barrier option product.
presentValueGamma(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionProductPricer: Calculates the present value delta of the foreign exchange vanilla option product.
presentValueGamma(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer: Calculates the present value gamma of the swaption.
presentValueGamma(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionPhysicalProductPricer: Calculates the present value gamma of the swaption.
presentValueGamma(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionProductPricer: Calculates the present value gamma of the swaption.
presentValueOnSettle(ResolvedCdsTrade, CreditRatesProvider, PriceType, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsTradePricer: Calculates the present value of the underlying product.
presentValueOnSettle(ResolvedCdsIndexTrade, CreditRatesProvider, PriceType, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexTradePricer: Calculates the present value of the underlying product.
presentValueOnSettleSensitivity(ResolvedCdsTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsTradePricer: Calculates the present value sensitivity of the underlying product.
presentValueOnSettleSensitivity(ResolvedCdsIndexTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexTradePricer: Calculates the present value sensitivity of the underlying product.
presentValueSensitivity(ResolvedBill, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingBillProductPricer: Calculates the present value sensitivity of the bill product.
presentValueSensitivity(ResolvedBillTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingBillTradePricer: Calculates the present value sensitivity of a bill trade.
presentValueSensitivity(ResolvedBondFutureTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingBondFutureTradePricer: Calculates the present value sensitivity of the bond future trade.
presentValueSensitivity(CapitalIndexedBondPaymentPeriod, RatesProvider, IssuerCurveDiscountFactors) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondPaymentPeriodPricer: Calculates the present value sensitivity of a single payment period.
presentValueSensitivity(ResolvedCapitalIndexedBond, RatesProvider, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the present value sensitivity of the bond product.
presentValueSensitivity(ResolvedCapitalIndexedBondTrade, RatesProvider, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondTradePricer: Calculates the present value sensitivity of the bond trade.
presentValueSensitivity(FixedCouponBondPaymentPeriod, IssuerCurveDiscountFactors) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondPaymentPeriodPricer: Calculates the present value sensitivity of a single fixed coupon payment period.
presentValueSensitivity(ResolvedFixedCouponBond, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the present value sensitivity of the fixed coupon bond product.
presentValueSensitivity(ResolvedFixedCouponBondTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondTradePricer: Calculates the present value sensitivity of the fixed coupon bond trade.
presentValueSensitivity(ResolvedCmsLeg, RatesProvider) - Method in class com.opengamma.strata.pricer.cms.DiscountingCmsLegPricer: Calculates the present value curve sensitivity of the CMS leg by simple forward rate estimation.
presentValueSensitivity(ResolvedCms, RatesProvider) - Method in class com.opengamma.strata.pricer.cms.DiscountingCmsProductPricer: Calculates the present value curve sensitivity of the CMS product by simple forward estimation.
presentValueSensitivity(ResolvedCmsTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.cms.DiscountingCmsTradePricer: Calculates the present value curve sensitivity of the CMS trade by simple forward estimation.
presentValueSensitivity(ResolvedCds, CreditRatesProvider, LocalDate, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsProductPricer: Calculates the present value sensitivity of the product.
presentValueSensitivity(ResolvedCdsTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsTradePricer: Calculates the present value sensitivity of the trade.
presentValueSensitivity(ResolvedCdsIndex, CreditRatesProvider, LocalDate, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexProductPricer: Calculates the present value sensitivity of the product.
presentValueSensitivity(ResolvedCdsIndexTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexTradePricer: Calculates the present value sensitivity of the trade.
presentValueSensitivity(ResolvedIborFixingDeposit, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositProductPricer: Calculates the present value sensitivity of the Ibor fixing product.
presentValueSensitivity(ResolvedIborFixingDepositTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingIborFixingDepositTradePricer: Calculates the present value sensitivity of the Ibor fixing deposit trade.
presentValueSensitivity(ResolvedTermDeposit, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingTermDepositProductPricer: Calculates the present value sensitivity by discounting the final cash flow (nominal + interest) and the initial payment (initial amount).
presentValueSensitivity(ResolvedTermDepositTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.deposit.DiscountingTermDepositTradePricer: Calculates the present value sensitivity by discounting the final cash flow (nominal + interest) and the initial payment (initial amount).
presentValueSensitivity(Payment, BaseProvider) - Method in class com.opengamma.strata.pricer.DiscountingPaymentPricer: Compute the present value curve sensitivity of the payment.
presentValueSensitivity(Payment, DiscountFactors) - Method in class com.opengamma.strata.pricer.DiscountingPaymentPricer: Compute the present value curve sensitivity of the payment.
presentValueSensitivity(ResolvedDsfTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.dsf.DiscountingDsfTradePricer: Calculates the present value sensitivity of the deliverable swap futures trade.
presentValueSensitivity(ResolvedFra, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraProductPricer: Calculates the present value sensitivity of the FRA product.
presentValueSensitivity(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fra.DiscountingFraTradePricer: Calculates the present value sensitivity of the FRA trade.
presentValueSensitivity(ResolvedFxNdf, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxNdfProductPricer: Calculates the present value curve sensitivity of the NDF product.
presentValueSensitivity(ResolvedFxNdfTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxNdfTradePricer: Calculates the present value curve sensitivity of the trade.
presentValueSensitivity(ResolvedFxSingle, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSingleProductPricer: Calculates the present value curve sensitivity of the FX product.
presentValueSensitivity(ResolvedFxSingleTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSingleTradePricer: Calculates the present value curve sensitivity of the trade.
presentValueSensitivity(ResolvedFxSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSwapProductPricer: Calculates the present value sensitivity of the FX swap product.
presentValueSensitivity(ResolvedFxSwapTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.fx.DiscountingFxSwapTradePricer: Calculates the present value curve sensitivity of the trade.
presentValueSensitivity(CmsPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.cms.DiscountingCmsPeriodPricer: Computes the present value curve sensitivity by simple forward rate estimation.
presentValueSensitivity(FxResetNotionalExchange, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingFxResetNotionalExchangePricer
presentValueSensitivity(KnownAmountSwapPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingKnownAmountPaymentPeriodPricer
presentValueSensitivity(NotionalExchange, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingNotionalExchangePricer
presentValueSensitivity(RatePaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingRatePaymentPeriodPricer
presentValueSensitivity(SwapPaymentEvent, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentEventPricer
presentValueSensitivity(SwapPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentPeriodPricer
presentValueSensitivity(ResolvedIborFutureTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.index.DiscountingIborFutureTradePricer: Calculates the present value sensitivity of the Ibor future trade.
presentValueSensitivity(ResolvedOvernightFutureTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.index.DiscountingOvernightFutureTradePricer: Calculates the present value sensitivity of the Overnight rate future trade.
presentValueSensitivity(ResolvedBulletPaymentTrade, BaseProvider) - Method in class com.opengamma.strata.pricer.payment.DiscountingBulletPaymentTradePricer: Calculates the present value sensitivity of the bullet payment trade.
presentValueSensitivity(ResolvedSwapLeg, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Calculates the present value sensitivity of the swap leg.
presentValueSensitivity(ResolvedSwap, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Calculates the present value sensitivity of the swap product.
presentValueSensitivity(ResolvedSwap, Currency, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapProductPricer: Calculates the present value sensitivity of the swap product converted in a given currency.
presentValueSensitivity(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapTradePricer: Calculates the present value sensitivity of the swap trade.
presentValueSensitivity(T, RatesProvider) - Method in interface com.opengamma.strata.pricer.swap.SwapPaymentEventPricer: Calculates the present value sensitivity of a single payment event.
presentValueSensitivity(T, RatesProvider) - Method in interface com.opengamma.strata.pricer.swap.SwapPaymentPeriodPricer: Calculates the present value sensitivity of a single payment period.
presentValueSensitivityFromCleanPrice(ResolvedCapitalIndexedBondTrade, RatesProvider, LegalEntityDiscountingProvider, ReferenceData, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondTradePricer: Calculates the present value sensitivity of the settlement of the bond trade from the real clean price.
presentValueSensitivityFromCleanPriceWithZSpread(ResolvedCapitalIndexedBondTrade, RatesProvider, LegalEntityDiscountingProvider, ReferenceData, double, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondTradePricer: Calculates the present value sensitivity of the settlement of the bond trade from the real clean price with z-spread.
presentValueSensitivityModelParamsHullWhite(ResolvedIborFutureTrade, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider) - Method in class com.opengamma.strata.pricer.index.HullWhiteIborFutureTradePricer: Calculates the present value sensitivity to piecewise constant volatility parameters of the Hull-White model.
presentValueSensitivityModelParamsHullWhite(ResolvedSwaption, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider) - Method in class com.opengamma.strata.pricer.swaption.HullWhiteSwaptionPhysicalProductPricer: Calculates the present value sensitivity to piecewise constant volatility parameters of the Hull-White model.
presentValueSensitivityModelParamsHullWhite(ResolvedSwaptionTrade, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider) - Method in class com.opengamma.strata.pricer.swaption.HullWhiteSwaptionPhysicalTradePricer: Calculates the present value sensitivity piecewise constant volatility parameters of the Hull-White model.
presentValueSensitivityModelParamsSabr(ResolvedIborCapFloorLeg, RatesProvider, SabrIborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapFloorLegPricer: Calculates the present value sensitivity to the SABR model parameters of the Ibor cap/floor.
presentValueSensitivityModelParamsSabr(ResolvedIborCapFloor, RatesProvider, SabrIborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapFloorProductPricer: Calculates the present value volatility sensitivity of the Ibor cap/floor product.
presentValueSensitivityModelParamsSabr(ResolvedIborCapFloorTrade, RatesProvider, SabrIborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapFloorTradePricer: Calculates the present value volatility sensitivity of the Ibor cap/floor trade.
presentValueSensitivityModelParamsSabr(IborCapletFloorletPeriod, RatesProvider, SabrIborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletPeriodPricer: Calculates the present value sensitivity to the SABR model parameters of the Ibor caplet/floorlet.
presentValueSensitivityModelParamsSabr(OvernightInArrearsCapletFloorletPeriod, RatesProvider, SabrParametersIborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.SabrOvernightInArrearsCapletFloorletPeriodPricer: Computes the present value sensitivity to the SABR model parameters.
presentValueSensitivityModelParamsSabr(OvernightInArrearsCapletFloorletBinaryPeriod, RatesProvider, SabrParametersIborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer: Calculates the present value sensitivity to model parameters of the binary caplet/floorlet period.
presentValueSensitivityModelParamsSabr(ResolvedCmsLeg, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsLegPricer: Calculates the present value sensitivity to the SABR model parameters.
presentValueSensitivityModelParamsSabr(CmsPeriod, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsPeriodPricer: Computes the present value sensitivity to SABR parameters by replication in SABR framework with extrapolation on the right.
presentValueSensitivityModelParamsSabr(ResolvedCms, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsProductPricer: Calculates the present value sensitivity to the SABR model parameters.
presentValueSensitivityModelParamsSabr(ResolvedCmsTrade, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsTradePricer: Calculates the present value sensitivity to the SABR model parameters.
presentValueSensitivityModelParamsSabr(ResolvedSwaption, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionCashParYieldProductPricer: Calculates the present value sensitivity to the SABR model parameters of the swaption product.
presentValueSensitivityModelParamsSabr(ResolvedSwaption, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionPhysicalProductPricer: Calculates the present value sensitivity to the SABR model parameters of the swaption product.
presentValueSensitivityModelParamsSabr(ResolvedSwaptionTrade, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionTradePricer: Calculates the present value sensitivity to the SABR model parameters of the swaption trade.
presentValueSensitivityModelParamsVolatility(ResolvedBondFutureOptionTrade, LegalEntityDiscountingProvider, BlackBondFutureVolatilities) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedTradePricer: Computes the present value sensitivity to the Black volatility used in the pricing.
presentValueSensitivityModelParamsVolatility(ResolvedBondFutureOptionTrade, LegalEntityDiscountingProvider, BlackBondFutureVolatilities, double) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedTradePricer: Computes the present value sensitivity to the Black volatility used in the pricing based on the price of the underlying future.
presentValueSensitivityModelParamsVolatility(ResolvedFixedCouponBondOption, LegalEntityDiscountingProvider, BondYieldVolatilities) - Method in class com.opengamma.strata.pricer.bond.BlackFixedCouponBondOptionPricer: Returns the present value sensitivity to the underlying yield volatilities.
presentValueSensitivityModelParamsVolatility(IborCapletFloorletBinaryPeriod, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VerticalSpreadVolatilityIborCapletFloorletBinaryPeriodPricer: Calculates the present value sensitivity to model parameters of the binary caplet/floorlet period.
presentValueSensitivityModelParamsVolatility(ResolvedIborCapFloorLeg, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorLegPricer: Calculates the present value volatility sensitivity of the Ibor cap/floor leg.
presentValueSensitivityModelParamsVolatility(ResolvedIborCapFloor, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorProductPricer: Calculates the present value volatility sensitivity of the Ibor cap/floor product.
presentValueSensitivityModelParamsVolatility(ResolvedIborCapFloorTrade, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorTradePricer: Calculates the present value volatility sensitivity of the Ibor cap/floor product.
presentValueSensitivityModelParamsVolatility(IborCapletFloorletPeriod, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapletFloorletPeriodPricer: Calculates the present value volatility sensitivity of the Ibor caplet/floorlet.
presentValueSensitivityModelParamsVolatility(OvernightInArrearsCapletFloorletPeriod, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityOvernightInArrearsCapletFloorletPeriodPricer: Computes the present value sensitivity to the volatilities.
presentValueSensitivityModelParamsVolatility(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionProductPricer: Computes the present value sensitivity to the black volatility used in the pricing.
presentValueSensitivityModelParamsVolatility(ResolvedFxSingleBarrierOptionTrade, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionTradePricer: Computes the present value sensitivity to the black volatility used in the pricing.
presentValueSensitivityModelParamsVolatility(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionProductPricer: Computes the present value sensitivity to the black volatility used in the pricing.
presentValueSensitivityModelParamsVolatility(ResolvedFxVanillaOptionTrade, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionTradePricer: Computes the present value sensitivity to the black volatility used in the pricing.
presentValueSensitivityModelParamsVolatility(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionSmileVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.VannaVolgaFxVanillaOptionProductPricer: Computes the present value sensitivity to the black volatilities used in the pricing.
presentValueSensitivityModelParamsVolatility(ResolvedFxVanillaOptionTrade, RatesProvider, BlackFxOptionSmileVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.VannaVolgaFxVanillaOptionTradePricer: Computes the present value sensitivity to the black volatility used in the pricing.
presentValueSensitivityModelParamsVolatility(ResolvedIborFutureOptionTrade, RatesProvider, NormalIborFutureOptionVolatilities) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedTradePricer: Computes the present value sensitivity to the normal volatility used in the pricing.
presentValueSensitivityModelParamsVolatility(ResolvedIborFutureOptionTrade, RatesProvider, NormalIborFutureOptionVolatilities, double) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedTradePricer: Computes the present value sensitivity to the normal volatility used in the pricing based on the price of the underlying future.
presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade, RatesProvider, BlackSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionTradePricer: Calculates the present value sensitivity to the implied volatility of the swaption trade.
presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade, RatesProvider, NormalSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionTradePricer: Calculates the present value sensitivity to the implied volatility of the swaption trade.
presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionTradePricer: Calculates the present value sensitivity to the implied volatility of the swaption trade.
presentValueSensitivityModelParamsVolatility(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer: Calculates the present value sensitivity to the implied volatility of the swaption.
presentValueSensitivityModelParamsVolatility(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionPhysicalProductPricer: Calculates the present value sensitivity to the implied volatility of the swaption.
presentValueSensitivityModelParamsVolatility(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionProductPricer: Calculates the present value sensitivity to the implied volatility of the swaption.
presentValueSensitivityModelParamsVolatility(ResolvedSwaptionTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionTradePricer: Calculates the present value sensitivity to the implied volatility of the swaption trade.
presentValueSensitivityRates(ResolvedBondFutureOptionTrade, LegalEntityDiscountingProvider, BondFutureVolatilities) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedTradePricer: Calculates the present value sensitivity of the bond future option trade.
presentValueSensitivityRates(ResolvedIborCapFloorLeg, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorLegPricer: Calculates the present value rates sensitivity of the Ibor cap/floor leg.
presentValueSensitivityRates(ResolvedIborCapFloor, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorProductPricer: Calculates the present value rates sensitivity of the Ibor cap/floor product.
presentValueSensitivityRates(ResolvedIborCapFloorTrade, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorTradePricer: Calculates the present value rates sensitivity of the Ibor cap/floor trade.
presentValueSensitivityRates(IborCapletFloorletPeriod, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapletFloorletPeriodPricer: Calculates the present value rates sensitivity of the Ibor caplet/floorlet.
presentValueSensitivityRates(ResolvedCmsLeg, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsLegPricer: Calculates the present value curve sensitivity of the CMS leg.
presentValueSensitivityRates(CmsPeriod, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsPeriodPricer: Computes the present value curve sensitivity by replication in SABR framework with extrapolation on the right.
presentValueSensitivityRates(ResolvedCms, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsProductPricer: Calculates the present value curve sensitivity of the CMS product.
presentValueSensitivityRates(ResolvedCmsTrade, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsTradePricer: Calculates the present value curve sensitivity of the CMS trade.
presentValueSensitivityRates(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer: Calculates the present value sensitivity of the FX barrier option product.
presentValueSensitivityRates(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities, RecombiningTrinomialTreeData) - Method in class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer: Calculates the present value sensitivity of the FX barrier option product.
presentValueSensitivityRates(ResolvedFxSingleBarrierOptionTrade, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer: Calculates the present value sensitivity of the FX barrier option trade.
presentValueSensitivityRates(ResolvedIborFutureTrade, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider) - Method in class com.opengamma.strata.pricer.index.HullWhiteIborFutureTradePricer: Calculates the present value sensitivity of the Ibor future trade.
presentValueSensitivityRates(ResolvedIborFutureOptionTrade, RatesProvider, NormalIborFutureOptionVolatilities) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedTradePricer: Calculates the present value sensitivity of the Ibor future option trade.
presentValueSensitivityRates(ResolvedSwaption, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider) - Method in class com.opengamma.strata.pricer.swaption.HullWhiteSwaptionPhysicalProductPricer: Calculates the present value sensitivity of the swaption product.
presentValueSensitivityRates(ResolvedSwaptionTrade, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider) - Method in class com.opengamma.strata.pricer.swaption.HullWhiteSwaptionPhysicalTradePricer: Calculates the present value sensitivity of the swaption product.
presentValueSensitivityRatesStickyModel(ResolvedIborCapFloorLeg, RatesProvider, SabrIborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapFloorLegPricer: Calculates the present value sensitivity of the Ibor cap/floor leg to the rate curves.
presentValueSensitivityRatesStickyModel(ResolvedIborCapFloor, RatesProvider, SabrIborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapFloorProductPricer: Calculates the present value rates sensitivity of the Ibor cap/floor product.
presentValueSensitivityRatesStickyModel(ResolvedIborCapFloorTrade, RatesProvider, SabrIborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapFloorTradePricer: Calculates the present value rates sensitivity of the Ibor cap/floor trade.
presentValueSensitivityRatesStickyModel(IborCapletFloorletPeriod, RatesProvider, SabrIborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletPeriodPricer: Calculates the present value sensitivity of the Ibor caplet/floorlet to the rate curves.
presentValueSensitivityRatesStickyModel(OvernightInArrearsCapletFloorletPeriod, RatesProvider, SabrParametersIborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.SabrOvernightInArrearsCapletFloorletPeriodPricer: Computes the present value sensitivity to the rate with "sticky SABR model parameters".
presentValueSensitivityRatesStickyModel(OvernightInArrearsCapletFloorletBinaryPeriod, RatesProvider, SabrParametersIborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer: Calculates the present value rates sensitivity of the binary caplet/floorlet period.
presentValueSensitivityRatesStickyModel(ResolvedSwaption, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionCashParYieldProductPricer: Calculates the present value sensitivity of the swaption product to the rate curves.
presentValueSensitivityRatesStickyModel(ResolvedSwaption, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionPhysicalProductPricer: Calculates the present value sensitivity of the swaption product to the rate curves.
presentValueSensitivityRatesStickyModel(ResolvedSwaptionTrade, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionTradePricer: Calculates the present value sensitivity of the swaption trade to the rate curves.
presentValueSensitivityRatesStickyStrike(ResolvedFixedCouponBondOption, LegalEntityDiscountingProvider, BondYieldVolatilities) - Method in class com.opengamma.strata.pricer.bond.BlackFixedCouponBondOptionPricer: Returns the present value sensitivity to the underlying curves.
presentValueSensitivityRatesStickyStrike(IborCapletFloorletBinaryPeriod, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VerticalSpreadVolatilityIborCapletFloorletBinaryPeriodPricer: Calculates the present value rates sensitivity of the binary caplet/floorlet period.
presentValueSensitivityRatesStickyStrike(OvernightInArrearsCapletFloorletPeriod, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityOvernightInArrearsCapletFloorletPeriodPricer: Computes the present value sensitivity to the rate with a volatility "sticky strike".
presentValueSensitivityRatesStickyStrike(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionProductPricer: Calculates the present value sensitivity of the FX barrier option product.
presentValueSensitivityRatesStickyStrike(ResolvedFxSingleBarrierOptionTrade, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionTradePricer: Calculates the present value sensitivity of the FX barrier option trade.
presentValueSensitivityRatesStickyStrike(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionProductPricer: Calculates the present value sensitivity of the foreign exchange vanilla option product.
presentValueSensitivityRatesStickyStrike(ResolvedFxVanillaOptionTrade, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionTradePricer: Calculates the present value sensitivity of the FX vanilla option trade.
presentValueSensitivityRatesStickyStrike(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionSmileVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.VannaVolgaFxVanillaOptionProductPricer: Calculates the present value sensitivity of the foreign exchange vanilla option product.
presentValueSensitivityRatesStickyStrike(ResolvedFxVanillaOptionTrade, RatesProvider, BlackFxOptionSmileVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.VannaVolgaFxVanillaOptionTradePricer: Calculates the present value sensitivity of the FX vanilla option trade.
presentValueSensitivityRatesStickyStrike(ResolvedSwaptionTrade, RatesProvider, BlackSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionTradePricer: Calculates the present value sensitivity of the swaption trade to the rate curves.
presentValueSensitivityRatesStickyStrike(ResolvedSwaptionTrade, RatesProvider, NormalSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionTradePricer: Calculates the present value sensitivity of the swaption trade to the rate curves.
presentValueSensitivityRatesStickyStrike(ResolvedSwaptionTrade, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionTradePricer: Calculates the present value sensitivity of the swaption trade to the rate curves.
presentValueSensitivityRatesStickyStrike(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer: Calculates the present value sensitivity of the swaption to the rate curves.
presentValueSensitivityRatesStickyStrike(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionPhysicalProductPricer: Calculates the present value sensitivity of the swaption to the rate curves.
presentValueSensitivityRatesStickyStrike(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionProductPricer: Calculates the present value sensitivity of the swaption to the rate curves.
presentValueSensitivityRatesStickyStrike(ResolvedSwaptionTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionTradePricer: Calculates the present value sensitivity of the swaption to the rate curves.
presentValueSensitivityStrike(ResolvedCmsLeg, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsLegPricer: Calculates the present value sensitivity to the strike value.
presentValueSensitivityStrike(CmsPeriod, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsPeriodPricer: Computes the present value sensitivity to strike by replication in SABR framework with extrapolation on the right.
presentValueSensitivityStrike(ResolvedCms, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsProductPricer: Calculates the present value sensitivity to the strike value.
presentValueSensitivityStrike(ResolvedCmsTrade, RatesProvider, SabrSwaptionVolatilities) - Method in class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsTradePricer: Calculates the present value sensitivity to the strike value.
presentValueSensitivityWithSpread(FixedCouponBondPaymentPeriod, IssuerCurveDiscountFactors, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondPaymentPeriodPricer: Calculates the present value sensitivity of a single fixed coupon payment period with z-spread.
presentValueSensitivityWithSpread(Payment, DiscountFactors, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.DiscountingPaymentPricer: Compute the present value curve sensitivity of the payment with z-spread.
presentValueSensitivityWithZSpread(ResolvedBill, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingBillProductPricer: Calculates the present value sensitivity of the bill product with z-spread.
presentValueSensitivityWithZSpread(ResolvedBillTrade, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingBillTradePricer: Calculates the present value sensitivity of a bill trade with z-spread.
presentValueSensitivityWithZSpread(ResolvedBondFutureTrade, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingBondFutureTradePricer: Calculates the present value sensitivity of the bond future trade with z-spread.
presentValueSensitivityWithZSpread(CapitalIndexedBondPaymentPeriod, RatesProvider, IssuerCurveDiscountFactors, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondPaymentPeriodPricer: Calculates the present value sensitivity of a single payment period with z-spread.
presentValueSensitivityWithZSpread(ResolvedCapitalIndexedBond, RatesProvider, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the present value sensitivity of the bond product with z-spread.
presentValueSensitivityWithZSpread(ResolvedCapitalIndexedBondTrade, RatesProvider, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondTradePricer: Calculates the present value sensitivity of the bond trade with z-spread.
presentValueSensitivityWithZSpread(ResolvedFixedCouponBond, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the present value sensitivity of the fixed coupon bond with z-spread.
presentValueSensitivityWithZSpread(ResolvedFixedCouponBondTrade, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondTradePricer: Calculates the present value sensitivity of the fixed coupon bond trade with z-spread.
presentValueTheta(ResolvedIborCapFloorLeg, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorLegPricer: Calculates the present value theta of the Ibor cap/floor leg.
presentValueTheta(ResolvedIborCapFloor, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorProductPricer: Calculates the present value theta of the Ibor cap/floor product.
presentValueTheta(IborCapletFloorletPeriod, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapletFloorletPeriodPricer: Calculates the present value theta of the Ibor caplet/floorlet period.
presentValueTheta(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionProductPricer: Calculates the present value theta of the FX barrier option product.
presentValueTheta(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionProductPricer: Calculates the present value theta of the foreign exchange vanilla option product.
presentValueTheta(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer: Calculates the present value of the swaption.
presentValueTheta(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionPhysicalProductPricer: Calculates the present value of the swaption.
presentValueTheta(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionProductPricer: Calculates the present value of the swaption.
presentValueVega(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionProductPricer: Calculates the present value vega of the foreign exchange vanilla option product.
presentValueWithSpread(FixedCouponBondPaymentPeriod, IssuerCurveDiscountFactors, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondPaymentPeriodPricer: Calculates the present value of a single fixed coupon payment period with z-spread.
presentValueWithSpread(Payment, DiscountFactors, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.DiscountingPaymentPricer: Computes the present value of the payment with z-spread by discounting.
presentValueWithZSpread(ResolvedBill, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingBillProductPricer: Calculates the present value of a bill product with z-spread.
presentValueWithZSpread(ResolvedBillTrade, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingBillTradePricer: Calculates the present value of a bill trade with z-spread.
presentValueWithZSpread(ResolvedBondFutureTrade, LegalEntityDiscountingProvider, double, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingBondFutureTradePricer: Calculates the present value of the bond future trade with z-spread.
presentValueWithZSpread(CapitalIndexedBondPaymentPeriod, RatesProvider, IssuerCurveDiscountFactors, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondPaymentPeriodPricer: Calculates the present value of a single payment period with z-spread.
presentValueWithZSpread(ResolvedCapitalIndexedBond, RatesProvider, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the present value of the bond product with z-spread.
presentValueWithZSpread(ResolvedCapitalIndexedBondTrade, RatesProvider, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondTradePricer: Calculates the present value of the bond trade with z-spread.
presentValueWithZSpread(ResolvedFixedCouponBond, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the present value of the fixed coupon bond product with z-spread.
presentValueWithZSpread(ResolvedFixedCouponBondTrade, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondTradePricer: Calculates the present value of the fixed coupon bond trade with z-spread.
price(ResolvedBondFutureOption, LegalEntityDiscountingProvider, BlackBondFutureVolatilities) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedProductPricer: Calculates the price of the bond future option product.
price(ResolvedBondFutureOption, LegalEntityDiscountingProvider, BlackBondFutureVolatilities, double) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedProductPricer: Calculates the price of the bond future option product based on the price of the underlying future.
price(ResolvedBondFutureOptionTrade, LegalEntityDiscountingProvider, BondFutureVolatilities) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedTradePricer: Calculates the price of the bond future option trade.
price(ResolvedBondFuture, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingBondFutureProductPricer: Calculates the price of the bond future product.
price(ResolvedBondFutureTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingBondFutureTradePricer: Calculates the price of the bond future trade.
price(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
price(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
price(double, PutCall, double, double, double) - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities: Calculates the price.
price(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
price(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
price(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
price(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
price(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
price(ResolvedCds, CreditRatesProvider, LocalDate, PriceType, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsProductPricer: Calculates the price of the CDS product, which is the present value per unit notional.
price(ResolvedCdsTrade, CreditRatesProvider, PriceType, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsTradePricer: Calculates the price of the underlying product, which is the present value per unit notional.
price(ResolvedCdsIndex, CreditRatesProvider, LocalDate, PriceType, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexProductPricer: Calculates the price of the CDS index product, which is the minus of the present value per unit notional.
price(ResolvedCdsIndexTrade, CreditRatesProvider, PriceType, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexTradePricer: Calculates the price of the underlying product, which is the present value per unit notional.
price(ResolvedDsf, RatesProvider) - Method in class com.opengamma.strata.pricer.dsf.DiscountingDsfProductPricer: Calculates the price of the deliverable swap futures product.
price(ResolvedDsfTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.dsf.DiscountingDsfTradePricer: Calculates the price of the underlying deliverable swap futures product.
price(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities
price(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities
price(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities
price(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionProductPricer: Calculates the price of the FX barrier option product.
price(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionProductPricer: Calculates the price of the foreign exchange vanilla option product.
price(double, PutCall, double, double, double) - Method in interface com.opengamma.strata.pricer.fxopt.FxOptionVolatilities: Calculates the price.
price(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer: Calculates the price of the FX barrier option product.
price(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities, RecombiningTrinomialTreeData) - Method in class com.opengamma.strata.pricer.fxopt.ImpliedTrinomialTreeFxSingleBarrierOptionProductPricer: Calculates the price of the FX barrier option product.
price(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionSmileVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.VannaVolgaFxVanillaOptionProductPricer: Calculates the price of the foreign exchange vanilla option product.
price(double, double, double, double, double, double, boolean, SimpleConstantContinuousBarrier) - Method in class com.opengamma.strata.pricer.impl.option.BlackBarrierPriceFormulaRepository: Computes the price of a barrier option.
price(double, double, double, double, boolean) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the forward price.
price(double, double, double, double, double, SimpleConstantContinuousBarrier) - Method in class com.opengamma.strata.pricer.impl.option.BlackOneTouchAssetPriceFormulaRepository: Computes the price of a one-touch/no-touch option.
price(double, double, double, double, double, SimpleConstantContinuousBarrier) - Method in class com.opengamma.strata.pricer.impl.option.BlackOneTouchCashPriceFormulaRepository: Computes the price of a one-touch/no-touch option.
price(double, double, double, double, double, double, boolean) - Static method in class com.opengamma.strata.pricer.impl.option.BlackScholesFormulaRepository: Computes the spot price.
price(double, double, double, double, PutCall) - Static method in class com.opengamma.strata.pricer.impl.option.NormalFormulaRepository: Computes the forward price.
price(double, PutCall) - Method in class com.opengamma.strata.pricer.impl.option.SabrExtrapolationRightFunction: Computes the option price with numeraire=1.
price(ResolvedIborFuture, RatesProvider) - Method in class com.opengamma.strata.pricer.index.DiscountingIborFutureProductPricer: Calculates the price of the Ibor future product.
price(ResolvedIborFutureTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.index.DiscountingIborFutureTradePricer: Calculates the price of the Ibor future trade.
price(ResolvedOvernightFuture, RatesProvider) - Method in class com.opengamma.strata.pricer.index.DiscountingOvernightFutureProductPricer: Calculates the price of the Overnight rate future product.
price(ResolvedOvernightFutureTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.index.DiscountingOvernightFutureTradePricer: Calculates the price of the Overnight rate future trade.
price(ResolvedIborFuture, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider) - Method in class com.opengamma.strata.pricer.index.HullWhiteIborFutureProductPricer: Calculates the price of the Ibor future product.
price(ResolvedIborFutureTrade, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider) - Method in class com.opengamma.strata.pricer.index.HullWhiteIborFutureTradePricer: Calculates the price of the Ibor future trade.
price(ResolvedIborFutureOption, RatesProvider, NormalIborFutureOptionVolatilities) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedProductPricer: Calculates the price of the Ibor future option product.
price(ResolvedIborFutureOption, RatesProvider, NormalIborFutureOptionVolatilities, double) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedProductPricer: Calculates the price of the Ibor future option product based on the price of the underlying future.
price(ResolvedIborFutureOptionTrade, RatesProvider, NormalIborFutureOptionVolatilities) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedTradePricer: Calculates the price of the Ibor future option trade.
price(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
price(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
price(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
price(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
price(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
price(double, double, PutCall, double, double, double) - Method in interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities: Calculates the price.
priceAdjoint(double, double, double, double, double, double, boolean, SimpleConstantContinuousBarrier) - Method in class com.opengamma.strata.pricer.impl.option.BlackBarrierPriceFormulaRepository: Computes the price and derivatives of a barrier option.
priceAdjoint(double, double, double, double, boolean) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the price without numeraire and its derivatives.
priceAdjoint(double, double, double, double, double, SimpleConstantContinuousBarrier) - Method in class com.opengamma.strata.pricer.impl.option.BlackOneTouchAssetPriceFormulaRepository: Computes the price and derivatives of a one-touch/no-touch option.
priceAdjoint(double, double, double, double, double, SimpleConstantContinuousBarrier) - Method in class com.opengamma.strata.pricer.impl.option.BlackOneTouchCashPriceFormulaRepository: Computes the price and derivatives of a one-touch/no-touch option.
priceAdjoint(double, double, double, double, double, PutCall) - Static method in class com.opengamma.strata.pricer.impl.option.NormalFormulaRepository: Computes the price and first order derivatives.
priceAdjoint2(double, double, double, double, boolean) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the price without numeraire and its derivatives of the first and second order.
priceAdjointSabr(double, PutCall) - Method in class com.opengamma.strata.pricer.impl.option.SabrExtrapolationRightFunction: Computes the option price derivative with respect to the SABR parameters.
priceDelta(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
priceDelta(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
priceDelta(double, PutCall, double, double, double) - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities: Calculates the price delta.
priceDelta(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
priceDelta(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
priceDelta(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
priceDelta(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
priceDelta(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
priceDelta(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
priceDelta(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
priceDelta(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
priceDelta(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
priceDelta(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
priceDelta(double, double, PutCall, double, double, double) - Method in interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities: Calculates the price delta.
priceDerivativeForward(double, PutCall) - Method in class com.opengamma.strata.pricer.impl.option.SabrExtrapolationRightFunction: Computes the option price derivative with respect to the forward.
priceDerivativeStrike(double, PutCall) - Method in class com.opengamma.strata.pricer.impl.option.SabrExtrapolationRightFunction: Computes the option price derivative with respect to the strike.
priceFromCurves(ResolvedBill, LegalEntityDiscountingProvider, LocalDate) - Method in class com.opengamma.strata.pricer.bond.DiscountingBillProductPricer: Calculates the price for settlement at a given settlement date using curves.
priceFromCurvesWithZSpread(ResolvedBill, LegalEntityDiscountingProvider, LocalDate, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingBillProductPricer: Calculates the price for settlement at a given settlement date using curves with z-spread.
priceGamma(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
priceGamma(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
priceGamma(double, PutCall, double, double, double) - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities: Calculates the price gamma.
priceGamma(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
priceGamma(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
priceGamma(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
priceGamma(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
priceGamma(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
priceGamma(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
priceGamma(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
priceGamma(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
priceGamma(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
priceGamma(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
priceGamma(double, double, PutCall, double, double, double) - Method in interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities: Calculates the price gamma.
priceIndexCurve(PriceIndex, Curve) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProviderBuilder: Adds a Price index forward curve to the provider.
priceIndexCurve(PriceIndex, Curve, LocalDateDoubleTimeSeries) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProviderBuilder: Adds an index forward curve to the provider with associated time-series.
priceIndexValues(PriceIndex) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
PriceIndexValues - Interface in com.opengamma.strata.pricer.rate: Provides access to the values of a price index.
priceIndexValues(PriceIndex) - Method in interface com.opengamma.strata.pricer.rate.RatesProvider: Gets the values for an Price index.
priceSensitivity(ResolvedBondFuture, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.bond.DiscountingBondFutureProductPricer: Calculates the price sensitivity of the bond future product.
priceSensitivity(ResolvedCds, CreditRatesProvider, LocalDate, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsProductPricer: Calculates the price sensitivity of the product.
priceSensitivity(ResolvedCdsTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsTradePricer: Calculates the price sensitivity of the underlying product.
priceSensitivity(ResolvedCdsIndex, CreditRatesProvider, LocalDate, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexProductPricer: Calculates the price sensitivity of the product.
priceSensitivity(ResolvedCdsIndexTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexTradePricer: Calculates the price sensitivity of the underlying product.
priceSensitivity(ResolvedDsf, RatesProvider) - Method in class com.opengamma.strata.pricer.dsf.DiscountingDsfProductPricer: Calculates the price sensitivity of the deliverable swap futures product.
priceSensitivity(ResolvedDsfTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.dsf.DiscountingDsfTradePricer: Calculates the price sensitivity of the deliverable swap futures product.
priceSensitivity(ResolvedIborFuture, RatesProvider) - Method in class com.opengamma.strata.pricer.index.DiscountingIborFutureProductPricer: Calculates the price sensitivity of the Ibor future product.
priceSensitivity(ResolvedIborFutureTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.index.DiscountingIborFutureTradePricer: Calculates the price sensitivity of the Ibor future product.
priceSensitivity(ResolvedOvernightFuture, RatesProvider) - Method in class com.opengamma.strata.pricer.index.DiscountingOvernightFutureProductPricer: Calculates the price sensitivity of the Overnight rate future product.
priceSensitivity(ResolvedOvernightFutureTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.index.DiscountingOvernightFutureTradePricer: Calculates the price sensitivity of the Overnight rate future product.
priceSensitivityModelParamsHullWhite(ResolvedIborFuture, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider) - Method in class com.opengamma.strata.pricer.index.HullWhiteIborFutureProductPricer: Calculates the price sensitivity to piecewise constant volatility parameters of the Hull-White model.
priceSensitivityModelParamsVolatility(ResolvedBondFutureOption, LegalEntityDiscountingProvider, BlackBondFutureVolatilities) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedProductPricer: Calculates the price sensitivity to the Black volatility used for the pricing of the bond future option.
priceSensitivityModelParamsVolatility(ResolvedBondFutureOption, LegalEntityDiscountingProvider, BlackBondFutureVolatilities, double) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedProductPricer: Calculates the price sensitivity to the Black volatility used for the pricing of the bond future option based on the price of the underlying future.
priceSensitivityModelParamsVolatility(ResolvedIborFutureOption, RatesProvider, NormalIborFutureOptionVolatilities) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedProductPricer: Calculates the price sensitivity to the normal volatility used for the pricing of the Ibor future option.
priceSensitivityModelParamsVolatility(ResolvedIborFutureOption, RatesProvider, NormalIborFutureOptionVolatilities, double) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedProductPricer: 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.
priceSensitivityRates(ResolvedIborFuture, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider) - Method in class com.opengamma.strata.pricer.index.HullWhiteIborFutureProductPricer: Calculates the price sensitivity of the Ibor future product.
priceSensitivityRates(ResolvedIborFutureTrade, RatesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider) - Method in class com.opengamma.strata.pricer.index.HullWhiteIborFutureTradePricer: Calculates the price sensitivity of the Ibor future product.
priceSensitivityRatesStickyStrike(ResolvedBondFutureOption, LegalEntityDiscountingProvider, BlackBondFutureVolatilities) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedProductPricer: Calculates the price sensitivity of the bond future option product based on curves.
priceSensitivityRatesStickyStrike(ResolvedBondFutureOption, LegalEntityDiscountingProvider, BlackBondFutureVolatilities, double) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedProductPricer: Calculates the price sensitivity of the bond future option product based on the price of the underlying future.
priceSensitivityRatesStickyStrike(ResolvedIborFutureOption, RatesProvider, NormalIborFutureOptionVolatilities) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedProductPricer: Calculates the price sensitivity of the Ibor future option product based on curves.
priceSensitivityRatesStickyStrike(ResolvedIborFutureOption, RatesProvider, NormalIborFutureOptionVolatilities, double) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionMarginedProductPricer: Calculates the price sensitivity of the Ibor future option product based on the price of the underlying future.
priceSensitivityWithZSpread(ResolvedBondFuture, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingBondFutureProductPricer: Calculates the price sensitivity of the bond future product with z-spread.
priceTheta(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
priceTheta(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
priceTheta(double, PutCall, double, double, double) - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities: Calculates the price theta.
priceTheta(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
priceTheta(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
priceTheta(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
priceTheta(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
priceTheta(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
priceTheta(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
priceTheta(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
priceTheta(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
priceTheta(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
priceTheta(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
priceTheta(double, double, PutCall, double, double, double) - Method in interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities: Calculates the price theta.
PriceType - Enum in com.opengamma.strata.pricer.common: Enumerates the types of price that can be returned.
priceVega(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
priceVega(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
priceVega(double, PutCall, double, double, double) - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities: Calculates the price vega.
priceVega(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
priceVega(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
priceVega(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
priceVega(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
priceVega(double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
priceVega(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
priceVega(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
priceVega(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
priceVega(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
priceVega(double, double, PutCall, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
priceVega(double, double, PutCall, double, double, double) - Method in interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities: Calculates the price vega.
priceVolatilityEquivalent(double, double, double, double) - Method in interface com.opengamma.strata.pricer.bond.BondYieldVolatilities: Calculates the price volatility equivalent to the yield volatility.
priceVolatilityEquivalent(ZonedDateTime, double, double, double) - Method in interface com.opengamma.strata.pricer.bond.BondYieldVolatilities: Calculates the price volatility equivalent to the yield volatility.
priceVolatilityEquivalent(double, double) - Method in interface com.opengamma.strata.pricer.bond.BondYieldVolatilities: Calculates the price volatility equivalent to the yield volatility.
priceVolatilityEquivalentAd(double, double, double, double) - Method in interface com.opengamma.strata.pricer.bond.BondYieldVolatilities: Calculates the price volatility equivalent to the yield volatility and its derivatives.
priceVolatilityEquivalentAd(ZonedDateTime, double, double, double) - Method in interface com.opengamma.strata.pricer.bond.BondYieldVolatilities: Calculates the price volatility equivalent to the yield volatility and its derivatives.
priceVolatilityEquivalentAd(double, double) - Method in interface com.opengamma.strata.pricer.bond.BondYieldVolatilities: Calculates the price volatility equivalent to the yield volatility and its derivatives.
priceWithZSpread(ResolvedBondFuture, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingBondFutureProductPricer: Calculates the price of the bond future product with z-spread.
priceWithZSpread(ResolvedBondFutureTrade, LegalEntityDiscountingProvider, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingBondFutureTradePricer: Calculates the price of the bond future trade with z-spread.
PricingException - Exception in com.opengamma.strata.pricer: Exception thrown when pricing fails.
PricingException(String) - Constructor for exception com.opengamma.strata.pricer.PricingException: Creates an instance based on a message.
PricingException(String, Throwable) - Constructor for exception com.opengamma.strata.pricer.PricingException: Creates an instance based on a message and cause.
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityCalibrationResult.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.credit.JumpToDefault.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.fxopt.VolatilityAndBucketedSensitivities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors.Meta
propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityCalibrationResult.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.credit.JumpToDefault.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.fxopt.VolatilityAndBucketedSensitivities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors.Meta
propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity.Meta
protectionLeg(ResolvedCds, CreditRatesProvider, LocalDate, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsProductPricer: Calculates the price of the protection leg, which is the protection leg present value per unit notional.
pvbp(KnownAmountSwapPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingKnownAmountPaymentPeriodPricer
pvbp(RatePaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingRatePaymentPeriodPricer
pvbp(SwapPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentPeriodPricer
pvbp(ResolvedSwapLeg, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Computes the Present Value of a Basis Point for a swap leg.
pvbp(T, RatesProvider) - Method in interface com.opengamma.strata.pricer.swap.SwapPaymentPeriodPricer: Calculates the present value of a basis point of a period.
pvbpSensitivity(KnownAmountSwapPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingKnownAmountPaymentPeriodPricer
pvbpSensitivity(RatePaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DiscountingRatePaymentPeriodPricer
pvbpSensitivity(SwapPaymentPeriod, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.swap.DispatchingSwapPaymentPeriodPricer
pvbpSensitivity(ResolvedSwapLeg, RatesProvider) - Method in class com.opengamma.strata.pricer.swap.DiscountingSwapLegPricer: Calculates the Present Value of a Basis Point curve sensitivity for a fixed swap leg.
pvbpSensitivity(T, RatesProvider) - Method in interface com.opengamma.strata.pricer.swap.SwapPaymentPeriodPricer: Calculates the present value of a basis point sensitivity of a single payment period.

Q

q(double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction.Builder: Sets the mean reversion related parameter.
q() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction.Meta: The meta-property for the q property.
quotedSpreadFromPointsUpfront(ResolvedCdsTrade, CdsQuote, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.CdsMarketQuoteConverter: Converts points upfront to quoted spread.
quotesFromParSpread(List<ResolvedCdsTrade>, List<CdsQuote>, CreditRatesProvider, CdsQuoteConvention, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.CdsMarketQuoteConverter: The par spread quotes are converted to points upfronts or quoted spreads.

R

rate(Currency, LocalDate) - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates
rate(FxIndexObservation, Currency) - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates
rate(Currency, LocalDate) - Method in interface com.opengamma.strata.pricer.fx.FxForwardRates: Gets the forward rate at the specified payment date.
rate(FxIndexObservation, Currency) - Method in interface com.opengamma.strata.pricer.fx.FxIndexRates: Gets the historic or forward rate at the specified fixing date.
rate(OvernightAveragedRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ApproxForwardOvernightAveragedRateComputationFn
rate(RateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.DispatchingRateComputationFn
rate(IborAveragedRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardIborAveragedRateComputationFn
rate(IborInterpolatedRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardIborInterpolatedRateComputationFn
rate(IborRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardIborRateComputationFn
rate(InflationEndInterpolatedRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardInflationEndInterpolatedRateComputationFn
rate(InflationEndMonthRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardInflationEndMonthRateComputationFn
rate(InflationInterpolatedRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardInflationInterpolatedRateComputationFn
rate(InflationMonthlyRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardInflationMonthlyRateComputationFn
rate(OvernightAveragedDailyRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardOvernightAveragedDailyRateComputationFn
rate(OvernightAveragedRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardOvernightAveragedRateComputationFn
rate(OvernightCompoundedAnnualRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardOvernightCompoundedAnnualRateComputationFn
rate(OvernightCompoundedRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardOvernightCompoundedRateComputationFn
rate(IborIndexObservation) - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates
rate(OvernightIndexObservation) - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
rate(IborIndexObservation) - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates
rate(OvernightIndexObservation) - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates
rate(IborIndexObservation) - Method in interface com.opengamma.strata.pricer.rate.IborIndexRates: Gets the historic or forward rate at the specified fixing date.
rate(OvernightIndexObservation) - Method in interface com.opengamma.strata.pricer.rate.OvernightIndexRates: Gets the historic or forward rate at the specified fixing date.
rate(T, LocalDate, LocalDate, RatesProvider) - Method in interface com.opengamma.strata.pricer.rate.RateComputationFn: Determines the applicable rate for the computation.
rate(IborIndexObservation) - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates
RateComputationFn<T extends RateComputation> - Interface in com.opengamma.strata.pricer.rate: Computes a rate.
rateFxSpotSensitivity(Currency, LocalDate) - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates
rateFxSpotSensitivity(Currency, LocalDate) - Method in interface com.opengamma.strata.pricer.fx.FxForwardRates: Calculates the sensitivity of the forward rate to the current FX rate.
rateIgnoringFixings(IborIndexObservation) - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates
rateIgnoringFixings(OvernightIndexObservation) - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
rateIgnoringFixings(IborIndexObservation) - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates
rateIgnoringFixings(OvernightIndexObservation) - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates
rateIgnoringFixings(IborIndexObservation) - Method in interface com.opengamma.strata.pricer.rate.IborIndexRates: Ignores the time-series of fixings to get the forward rate at the specified fixing date, used in rare and special cases.
rateIgnoringFixings(OvernightIndexObservation) - Method in interface com.opengamma.strata.pricer.rate.OvernightIndexRates: Ignores the time-series of fixings to get the forward rate at the specified fixing date, used in rare and special cases.
rateIgnoringFixings(IborIndexObservation) - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates
rateIgnoringFixingsPointSensitivity(IborIndexObservation) - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates
rateIgnoringFixingsPointSensitivity(OvernightIndexObservation) - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
rateIgnoringFixingsPointSensitivity(IborIndexObservation) - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates
rateIgnoringFixingsPointSensitivity(OvernightIndexObservation) - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates
rateIgnoringFixingsPointSensitivity(IborIndexObservation) - Method in interface com.opengamma.strata.pricer.rate.IborIndexRates: Ignores the time-series of fixings to get the forward rate point sensitivity at the specified fixing date, used in rare and special cases.
rateIgnoringFixingsPointSensitivity(OvernightIndexObservation) - Method in interface com.opengamma.strata.pricer.rate.OvernightIndexRates: Ignores the time-series of fixings to get the forward rate point sensitivity at the specified fixing date, used in rare and special cases.
rateIgnoringFixingsPointSensitivity(IborIndexObservation) - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates
ratePointSensitivity(Currency, LocalDate) - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates
ratePointSensitivity(FxIndexObservation, Currency) - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates
ratePointSensitivity(Currency, LocalDate) - Method in interface com.opengamma.strata.pricer.fx.FxForwardRates: Calculates the point sensitivity of the forward rate at the specified payment date.
ratePointSensitivity(FxIndexObservation, Currency) - Method in interface com.opengamma.strata.pricer.fx.FxIndexRates: Calculates the point sensitivity of the historic or forward rate at the specified fixing date.
ratePointSensitivity(IborIndexObservation) - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates
ratePointSensitivity(OvernightIndexObservation) - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
ratePointSensitivity(IborIndexObservation) - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates
ratePointSensitivity(OvernightIndexObservation) - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates
ratePointSensitivity(IborIndexObservation) - Method in interface com.opengamma.strata.pricer.rate.IborIndexRates: Calculates the point sensitivity of the historic or forward rate at the specified fixing date.
ratePointSensitivity(OvernightIndexObservation) - Method in interface com.opengamma.strata.pricer.rate.OvernightIndexRates: Calculates the point sensitivity of the historic or forward rate at the specified fixing date.
ratePointSensitivity(IborIndexObservation) - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates
RatesCurveCalibrator - Class in com.opengamma.strata.pricer.curve: Curve calibrator for rates curves.
rateSensitivity(OvernightAveragedRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ApproxForwardOvernightAveragedRateComputationFn
rateSensitivity(RateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.DispatchingRateComputationFn
rateSensitivity(IborAveragedRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardIborAveragedRateComputationFn
rateSensitivity(IborInterpolatedRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardIborInterpolatedRateComputationFn
rateSensitivity(IborRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardIborRateComputationFn
rateSensitivity(InflationEndInterpolatedRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardInflationEndInterpolatedRateComputationFn
rateSensitivity(InflationEndMonthRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardInflationEndMonthRateComputationFn
rateSensitivity(InflationInterpolatedRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardInflationInterpolatedRateComputationFn
rateSensitivity(InflationMonthlyRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardInflationMonthlyRateComputationFn
rateSensitivity(OvernightAveragedDailyRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardOvernightAveragedDailyRateComputationFn
rateSensitivity(OvernightAveragedRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardOvernightAveragedRateComputationFn
rateSensitivity(OvernightCompoundedAnnualRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardOvernightCompoundedAnnualRateComputationFn
rateSensitivity(OvernightCompoundedRateComputation, LocalDate, LocalDate, RatesProvider) - Method in class com.opengamma.strata.pricer.impl.rate.ForwardOvernightCompoundedRateComputationFn
rateSensitivity(T, LocalDate, LocalDate, RatesProvider) - Method in interface com.opengamma.strata.pricer.rate.RateComputationFn: Determines the point sensitivity for the rate computation.
RatesFiniteDifferenceSensitivityCalculator - Class in com.opengamma.strata.pricer.sensitivity: Computes the curve parameter sensitivity by finite difference.
RatesFiniteDifferenceSensitivityCalculator(double) - Constructor for class com.opengamma.strata.pricer.sensitivity.RatesFiniteDifferenceSensitivityCalculator: Create an instance of the finite difference calculator.
RatesProvider - Interface in com.opengamma.strata.pricer.rate: A provider of rates, such as Ibor and Overnight, used for pricing financial instruments.
RatesProviderGenerator - Interface in com.opengamma.strata.pricer.curve: Generates a RatesProvider from a set of parameters.
RawOptionData - Class in com.opengamma.strata.pricer.option: Raw data from the volatility market.
realPriceFromNominalPrice(ResolvedCapitalIndexedBond, RatesProvider, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the real price of the bond from its settlement date and nominal price.
realYieldFromCurves(ResolvedCapitalIndexedBond, RatesProvider, LegalEntityDiscountingProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Computes the conventional real yield from the curves.
realYieldFromDirtyPrice(ResolvedCapitalIndexedBond, RatesProvider, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Computes the conventional real yield from the dirty price.
rebate() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction.Meta: The meta-property for the rebate property.
RecombiningTrinomialTreeData - Class in com.opengamma.strata.pricer.fxopt: Recombining trinomial tree data.
RecombiningTrinomialTreeData.Meta - Class in com.opengamma.strata.pricer.fxopt: The meta-bean for RecombiningTrinomialTreeData.
recovery01(ResolvedCds, CreditRatesProvider, LocalDate, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsProductPricer: Calculates the recovery01 of the CDS product.
recovery01(ResolvedCdsIndex, CreditRatesProvider, LocalDate, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexProductPricer: Calculates the recovery01 of the CDS index product.
recovery01OnSettle(ResolvedCdsTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsTradePricer: Calculates the recovery01 of the underlying product.
recovery01OnSettle(ResolvedCdsIndexTrade, CreditRatesProvider, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexTradePricer: Calculates the recovery01 of the underlying product.
recoveryRate() - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates.Meta: The meta-property for the recoveryRate property.
recoveryRate(LocalDate) - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates
recoveryRate(LocalDate) - Method in interface com.opengamma.strata.pricer.credit.RecoveryRates: Gets the recovery rate for the specified date.
recoveryRateCurves(Map<StandardId, RecoveryRates>) - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider.Builder: Sets the credit rate curves.
recoveryRateCurves() - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider.Meta: The meta-property for the recoveryRateCurves property.
recoveryRates(StandardId) - Method in interface com.opengamma.strata.pricer.credit.CreditRatesProvider: Gets the recovery rates for a standard ID.
recoveryRates(StandardId) - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider
RecoveryRates - Interface in com.opengamma.strata.pricer.credit: Recovery rates.
referenceCurrency() - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity.Meta: The meta-property for the referenceCurrency property.
referenceCurrency() - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity.Meta: The meta-property for the referenceCurrency property.
referenceDate() - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity.Meta: The meta-property for the referenceDate property.
relativeTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities
relativeTime(ZonedDateTime) - Method in interface com.opengamma.strata.pricer.bond.BondFutureVolatilities: Converts a time and date to a relative year fraction.
relativeTime(ZonedDateTime) - Method in interface com.opengamma.strata.pricer.bond.BondYieldVolatilities: Converts a time and date to a relative year fraction.
relativeTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities
relativeTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
relativeTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
relativeTime(ZonedDateTime) - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities: Converts a time and date to a relative year fraction.
relativeTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
relativeTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
relativeTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
relativeTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
relativeTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
relativeTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities
relativeTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities
relativeTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities
relativeTime(ZonedDateTime) - Method in interface com.opengamma.strata.pricer.fxopt.FxOptionVolatilities: Converts a time and date to a relative year fraction.
relativeTime(ZonedDateTime) - Method in interface com.opengamma.strata.pricer.index.IborFutureOptionVolatilities: Converts a time and date to a relative year fraction.
relativeTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities
relativeTime(LocalDate) - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider: Converts a date to a relative year fraction.
relativeTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
relativeTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
relativeTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
relativeTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
relativeTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
relativeTime(ZonedDateTime) - Method in interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities: Converts a time and date to a relative year fraction.
relativeYearFraction(LocalDate) - Method in interface com.opengamma.strata.pricer.credit.CreditDiscountFactors: Calculates the relative time between the valuation date and the specified date.
relativeYearFraction(LocalDate) - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
relativeYearFraction(LocalDate) - Method in interface com.opengamma.strata.pricer.DiscountFactors: Calculates the relative time between the valuation date and the specified date.
relativeYearFraction(LocalDate) - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors
relativeYearFraction(LocalDate) - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors
relativeYearFraction(LocalDate) - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
repoCurveDiscountFactors(SecurityId, LegalEntityId, Currency) - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider
repoCurveDiscountFactors(LegalEntityId, Currency) - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider
repoCurveDiscountFactors(SecurityId, LegalEntityId, Currency) - Method in interface com.opengamma.strata.pricer.bond.LegalEntityDiscountingProvider: Gets the discount factors from a repo curve based on the security ID, issuer ID and currency.
repoCurveDiscountFactors(LegalEntityId, Currency) - Method in interface com.opengamma.strata.pricer.bond.LegalEntityDiscountingProvider: Gets the discount factors from a repo curve based on the issuer ID and currency.
RepoCurveDiscountFactors - Class in com.opengamma.strata.pricer.bond: Provides access to discount factors for a repo curve.
RepoCurveDiscountFactors.Meta - Class in com.opengamma.strata.pricer.bond: The meta-bean for RepoCurveDiscountFactors.
repoCurveGroups(Map<LegalEntityId, RepoGroup>) - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Builder: Sets the groups used to find a repo curve by legal entity.
repoCurveGroups() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Meta: The meta-property for the repoCurveGroups property.
repoCurves(Map<Pair<RepoGroup, Currency>, DiscountFactors>) - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Builder: Sets the repo curves, keyed by group and currency.
repoCurves() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Meta: The meta-property for the repoCurves property.
repoCurveSecurityGroups(Map<SecurityId, RepoGroup>) - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Builder: Sets the groups used to find a repo curve by security.
repoCurveSecurityGroups() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Meta: The meta-property for the repoCurveSecurityGroups property.
RepoCurveZeroRateSensitivity - Class in com.opengamma.strata.pricer.bond: Point sensitivity to the repo curve.
RepoCurveZeroRateSensitivity.Meta - Class in com.opengamma.strata.pricer.bond: The meta-bean for RepoCurveZeroRateSensitivity.
repoGroup() - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors.Meta: The meta-property for the repoGroup property.
repoGroup() - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity.Meta: The meta-property for the repoGroup property.
rho(double) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
rho(double) - Method in interface com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilities: Calculates the rho parameter for a pair of time to expiry.
rho(double) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
rho(double, double, double, double, double, double, boolean) - Static method in class com.opengamma.strata.pricer.impl.option.BlackScholesFormulaRepository: Computes the rho.
rho(double, double) - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters: Calculates the rho parameter for a pair of time to expiry and instrument tenor.
rho(double) - Method in class com.opengamma.strata.pricer.model.SabrParameters: Calculates the rho parameter for time to expiry.
rho(double, double) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
rho(double, double) - Method in interface com.opengamma.strata.pricer.swaption.SabrSwaptionVolatilities: Calculates the rho parameter for a pair of time to expiry and instrument tenor.
rhoCurve(Curve) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder: Sets the rho (correlation) curve.
rhoCurve() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta: The meta-property for the rhoCurve property.
rhoCurve(Curve) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder: Sets the rho (correlation) curve.
rhoCurve() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta: The meta-property for the rhoCurve property.
riskyAnnuity(ResolvedCds, CreditRatesProvider, LocalDate, PriceType, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsProductPricer: Calculates the risky annuity, which is RPV01 per unit notional.
riskyAnnuity(ResolvedCdsIndex, CreditRatesProvider, LocalDate, PriceType, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexProductPricer: Calculates the risky annuity, which is RPV01 per unit notional.
riskyAnnuitySensitivity(ResolvedCds, CreditRatesProvider, LocalDate, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsProductPricer: Calculates the risky annuity sensitivity of the product.
riskyAnnuitySensitivity(ResolvedCdsIndex, CreditRatesProvider, LocalDate, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexProductPricer: Calculates the risky annuity sensitivity of the product.
rpv01(ResolvedCds, CreditRatesProvider, LocalDate, PriceType, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsProductPricer: Calculates the risky PV01 of the CDS product.
rpv01(ResolvedCdsIndex, CreditRatesProvider, LocalDate, PriceType, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexProductPricer: Calculates the risky PV01 of the CDS index product.
rpv01OnSettle(ResolvedCdsTrade, CreditRatesProvider, PriceType, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaCdsTradePricer: Calculates the risky PV01 of the underlying product.
rpv01OnSettle(ResolvedCdsIndexTrade, CreditRatesProvider, PriceType, ReferenceData) - Method in class com.opengamma.strata.pricer.credit.IsdaHomogenousCdsIndexTradePricer: Calculates the risky PV01 of the underlying product.

S

SabrExtrapolationReplicationCmsLegPricer - Class in com.opengamma.strata.pricer.cms: Pricer for CMS legs by swaption replication on a SABR formula with extrapolation.
SabrExtrapolationReplicationCmsLegPricer(SabrExtrapolationReplicationCmsPeriodPricer) - Constructor for class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsLegPricer: Creates an instance.
SabrExtrapolationReplicationCmsPeriodPricer - Class in com.opengamma.strata.pricer.cms: Computes the price of a CMS coupon/caplet/floorlet by swaption replication on a shifted SABR formula with extrapolation.
SabrExtrapolationReplicationCmsProductPricer - Class in com.opengamma.strata.pricer.cms: Pricer for CMS products by swaption replication on a SABR formula with extrapolation.
SabrExtrapolationReplicationCmsProductPricer(SabrExtrapolationReplicationCmsLegPricer) - Constructor for class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsProductPricer: Creates an instance using the default pay leg pricer.
SabrExtrapolationReplicationCmsProductPricer(SabrExtrapolationReplicationCmsLegPricer, DiscountingSwapLegPricer) - Constructor for class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsProductPricer: Creates an instance.
SabrExtrapolationReplicationCmsTradePricer - Class in com.opengamma.strata.pricer.cms: Pricer for CMS trade by swaption replication on a SABR formula with extrapolation.
SabrExtrapolationReplicationCmsTradePricer(SabrExtrapolationReplicationCmsProductPricer) - Constructor for class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsTradePricer: Creates an instance using the default payment pricer.
SabrExtrapolationReplicationCmsTradePricer(SabrExtrapolationReplicationCmsProductPricer, DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.cms.SabrExtrapolationReplicationCmsTradePricer: Creates an instance.
SabrExtrapolationRightFunction - Class in com.opengamma.strata.pricer.impl.option: Pricing function in the SABR model with Hagan et al.
SabrFormulaData - Class in com.opengamma.strata.pricer.impl.volatility.smile: The data bundle for SABR formula.
SabrHaganNormalVolatilityFormula - Class in com.opengamma.strata.pricer.impl.volatility.smile: Formulas related to the SABR implied normal volatility function.
SabrHaganVolatilityFunctionProvider - Class in com.opengamma.strata.pricer.impl.volatility.smile: The Hagan SABR volatility function provider.
SabrIborCapFloorLegPricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for cap/floor legs in SABR model.
SabrIborCapFloorLegPricer(SabrIborCapletFloorletPeriodPricer) - Constructor for class com.opengamma.strata.pricer.capfloor.SabrIborCapFloorLegPricer: Creates an instance.
SabrIborCapFloorProductPricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for cap/floor products in SABR model.
SabrIborCapFloorProductPricer(SabrIborCapFloorLegPricer, DiscountingSwapLegPricer) - Constructor for class com.opengamma.strata.pricer.capfloor.SabrIborCapFloorProductPricer: Creates an instance.
SabrIborCapFloorTradePricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for cap/floor trades in SABR model.
SabrIborCapFloorTradePricer(SabrIborCapFloorProductPricer, DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.capfloor.SabrIborCapFloorTradePricer: Creates an instance.
SabrIborCapletFloorletPeriodPricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for caplet/floorlet in SABR model.
SabrIborCapletFloorletPeriodPricer() - Constructor for class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletPeriodPricer
SabrIborCapletFloorletVolatilities - Interface in com.opengamma.strata.pricer.capfloor: Volatility for Ibor caplet/floorlet in SABR model.
SabrIborCapletFloorletVolatilityBootstrapDefinition - Class in com.opengamma.strata.pricer.capfloor: Definition of caplet volatilities calibration.
SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder - Class in com.opengamma.strata.pricer.capfloor: The bean-builder for SabrIborCapletFloorletVolatilityBootstrapDefinition.
SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta - Class in com.opengamma.strata.pricer.capfloor: The meta-bean for SabrIborCapletFloorletVolatilityBootstrapDefinition.
SabrIborCapletFloorletVolatilityBootstrapper - Class in com.opengamma.strata.pricer.capfloor: Caplet volatilities calibration to cap volatilities based on SABR model.
SabrIborCapletFloorletVolatilityCalibrationDefinition - Class in com.opengamma.strata.pricer.capfloor: Definition of caplet volatilities calibration.
SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder - Class in com.opengamma.strata.pricer.capfloor: The bean-builder for SabrIborCapletFloorletVolatilityCalibrationDefinition.
SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta - Class in com.opengamma.strata.pricer.capfloor: The meta-bean for SabrIborCapletFloorletVolatilityCalibrationDefinition.
SabrIborCapletFloorletVolatilityCalibrator - Class in com.opengamma.strata.pricer.capfloor: Caplet volatilities calibration to cap volatilities based on SABR model.
SabrInArrearsVolatilityFunction - Class in com.opengamma.strata.pricer.impl.volatility.smile: Adjustments to the SABR parameters to accommodate the pricing of in-arrears caplets.
SabrInArrearsVolatilityFunction.Builder - Class in com.opengamma.strata.pricer.impl.volatility.smile: The bean-builder for SabrInArrearsVolatilityFunction.
SabrInArrearsVolatilityFunction.Meta - Class in com.opengamma.strata.pricer.impl.volatility.smile: The meta-bean for SabrInArrearsVolatilityFunction.
SabrInterestRateParameters - Class in com.opengamma.strata.pricer.model: The volatility surface description under SABR model.
SabrModelFitter - Class in com.opengamma.strata.pricer.impl.volatility.smile: SABR model fitter.
SabrModelFitter(double, DoubleArray, double, DoubleArray, DoubleArray, SabrVolatilityFormula) - Constructor for class com.opengamma.strata.pricer.impl.volatility.smile.SabrModelFitter: Constructs SABR model fitter from forward, strikes, time to expiry, implied volatilities and error values.
SabrModelFitter(double, DoubleArray, double, DoubleArray, DoubleArray, VolatilityFunctionProvider<SabrFormulaData>) - Constructor for class com.opengamma.strata.pricer.impl.volatility.smile.SabrModelFitter: Constructs SABR model fitter from forward, strikes, time to expiry, implied volatilities and error values.
SabrOvernightInArrearsCapletFloorletPeriodPricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for in-arrears caplets and floorlets (Asian style options) in the SABR with effective parameters approach.
SabrParameters - Class in com.opengamma.strata.pricer.model: The volatility surface description under SABR model.
SabrParametersIborCapletFloorletVolatilities - Class in com.opengamma.strata.pricer.capfloor: Volatility environment for Ibor caplet/floorlet in the SABR model.
SabrParametersIborCapletFloorletVolatilities.Builder - Class in com.opengamma.strata.pricer.capfloor: The bean-builder for SabrParametersIborCapletFloorletVolatilities.
SabrParametersIborCapletFloorletVolatilities.Meta - Class in com.opengamma.strata.pricer.capfloor: The meta-bean for SabrParametersIborCapletFloorletVolatilities.
SabrParametersSwaptionVolatilities - Class in com.opengamma.strata.pricer.swaption: Volatility environment for swaptions in the SABR model.
SabrParametersSwaptionVolatilities.Builder - Class in com.opengamma.strata.pricer.swaption: The bean-builder for SabrParametersSwaptionVolatilities.
SabrParametersSwaptionVolatilities.Meta - Class in com.opengamma.strata.pricer.swaption: The meta-bean for SabrParametersSwaptionVolatilities.
SabrSwaptionCalibrator - Class in com.opengamma.strata.pricer.swaption: Swaption SABR calibrator.
SabrSwaptionCashParYieldProductPricer - Class in com.opengamma.strata.pricer.swaption: Pricer for swaption with par yield curve method of cash settlement in SABR model.
SabrSwaptionCashParYieldProductPricer(DiscountingSwapProductPricer) - Constructor for class com.opengamma.strata.pricer.swaption.SabrSwaptionCashParYieldProductPricer: Creates an instance.
SabrSwaptionDefinition - Class in com.opengamma.strata.pricer.swaption: Definition of standard inputs to SABR swaption calibration.
SabrSwaptionDefinition.Meta - Class in com.opengamma.strata.pricer.swaption: The meta-bean for SabrSwaptionDefinition.
SabrSwaptionPhysicalProductPricer - Class in com.opengamma.strata.pricer.swaption: Pricer for swaption with physical settlement in SABR model on the swap rate.
SabrSwaptionPhysicalProductPricer(DiscountingSwapProductPricer) - Constructor for class com.opengamma.strata.pricer.swaption.SabrSwaptionPhysicalProductPricer: Creates an instance.
SabrSwaptionRawDataSensitivityCalculator - Class in com.opengamma.strata.pricer.swaption: Calculator to obtain the raw data sensitivities for swaption related products using calibrated SABR data.
SabrSwaptionRawDataSensitivityCalculator() - Constructor for class com.opengamma.strata.pricer.swaption.SabrSwaptionRawDataSensitivityCalculator
SabrSwaptionTradePricer - Class in com.opengamma.strata.pricer.swaption: Pricer for swaption trade in the SABR model on the swap rate.
SabrSwaptionTradePricer(SabrSwaptionCashParYieldProductPricer, SabrSwaptionPhysicalProductPricer, DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.swaption.SabrSwaptionTradePricer: Creates an instance.
SabrSwaptionVolatilities - Interface in com.opengamma.strata.pricer.swaption: Volatility for swaptions in SABR model.
sabrVolatilityFormula(SabrVolatilityFormula) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder: Sets the SABR formula.
sabrVolatilityFormula() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta: The meta-property for the sabrVolatilityFormula property.
sabrVolatilityFormula(SabrVolatilityFormula) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder: Sets the SABR formula.
sabrVolatilityFormula() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta: The meta-property for the sabrVolatilityFormula property.
SabrVolatilityFormula - Interface in com.opengamma.strata.pricer.model: Provides volatility and sensitivity in the SABR model.
sensitivities(T, RatesProvider) - Method in interface com.opengamma.strata.pricer.curve.CalibrationMeasure: Calculates the parameter sensitivities that relate to the value.
sensitivities(T, RatesProvider) - Method in class com.opengamma.strata.pricer.curve.MarketQuoteMeasure
sensitivities(T, RatesProvider) - Method in class com.opengamma.strata.pricer.curve.PresentValueCalibrationMeasure
sensitivities(T, RatesProvider) - Method in class com.opengamma.strata.pricer.curve.TradeCalibrationMeasure
sensitivities() - Method in class com.opengamma.strata.pricer.fxopt.VolatilityAndBucketedSensitivities.Meta: The meta-property for the sensitivities property.
sensitivity() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity.Meta: The meta-property for the sensitivity property.
sensitivity() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity.Meta: The meta-property for the sensitivity property.
sensitivity() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity.Meta: The meta-property for the sensitivity property.
sensitivity() - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity.Meta: The meta-property for the sensitivity property.
sensitivity() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity.Meta: The meta-property for the sensitivity property.
sensitivity() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity.Meta: The meta-property for the sensitivity property.
sensitivity() - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity.Meta: The meta-property for the sensitivity property.
sensitivity() - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity.Meta: The meta-property for the sensitivity property.
sensitivity() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity.Meta: The meta-property for the sensitivity property.
sensitivity() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity.Meta: The meta-property for the sensitivity property.
sensitivity() - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity.Meta: The meta-property for the sensitivity property.
sensitivity() - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity.Meta: The meta-property for the sensitivity property.
sensitivity() - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity.Meta: The meta-property for the sensitivity property.
sensitivity(CurrencyParameterSensitivities, RatesProvider) - Method in class com.opengamma.strata.pricer.sensitivity.MarketQuoteSensitivityCalculator: Calculates the market quote sensitivities from parameter sensitivity.
sensitivity(CurrencyParameterSensitivities, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.pricer.sensitivity.MarketQuoteSensitivityCalculator: Calculates the market quote sensitivities from parameter sensitivity.
sensitivity(CurrencyParameterSensitivities, CreditRatesProvider) - Method in class com.opengamma.strata.pricer.sensitivity.MarketQuoteSensitivityCalculator: Calculates the market quote sensitivities from parameter sensitivity.
sensitivity(RatesProvider, Function<ImmutableRatesProvider, CurrencyAmount>) - Method in class com.opengamma.strata.pricer.sensitivity.RatesFiniteDifferenceSensitivityCalculator: Computes the first order sensitivities of a function of a RatesProvider to a double by finite difference.
sensitivity(LegalEntityDiscountingProvider, Function<ImmutableLegalEntityDiscountingProvider, CurrencyAmount>) - Method in class com.opengamma.strata.pricer.sensitivity.RatesFiniteDifferenceSensitivityCalculator: Computes the first order sensitivities of a function of a LegalEntityDiscountingProvider to a double by finite difference.
sensitivity(CreditRatesProvider, Function<ImmutableCreditRatesProvider, CurrencyAmount>) - Method in class com.opengamma.strata.pricer.sensitivity.RatesFiniteDifferenceSensitivityCalculator: Computes the first order sensitivities of a function of a CreditRatesProvider to a double by finite difference.
sensitivity() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity.Meta: The meta-property for the sensitivity property.
sensitivity() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity.Meta: The meta-property for the sensitivity property.
sensitivity() - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity.Meta: The meta-property for the sensitivity property.
sensitivityType() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity.Meta: The meta-property for the sensitivityType property.
sensitivityType() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity.Meta: The meta-property for the sensitivityType property.
set(String, Object) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities.Builder
set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities.Builder
set(String, Object) - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Builder
set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Builder
set(String, Object) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Builder
set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Builder
set(String, Object) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Builder
set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Builder
set(String, Object) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts.Builder
set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts.Builder
set(String, Object) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts.Builder
set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts.Builder
set(String, Object) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder
set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder
set(String, Object) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder
set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder
set(String, Object) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Builder
set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Builder
set(String, Object) - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider.Builder
set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider.Builder
set(String, Object) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities.Builder
set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities.Builder
set(String, Object) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities.Builder
set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities.Builder
set(String, Object) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities.Builder
set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities.Builder
set(String, Object) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction.Builder
set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction.Builder
set(String, Object) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Builder
set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Builder
set(String, Object) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Builder
set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Builder
shift(double) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
shift(double) - Method in interface com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilities: Calculates the shift parameter for the specified time to expiry.
shift(double) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
shift(double, double) - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters: Calculates the shift parameter for a pair of time to expiry and instrument tenor.
shift(double) - Method in class com.opengamma.strata.pricer.model.SabrParameters: Calculates the shift parameter for time to expiry.
shift(double, double) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
shift(double, double) - Method in interface com.opengamma.strata.pricer.swaption.SabrSwaptionVolatilities: Calculates the shift parameter for the specified time to expiry and instrument tenor.
shiftCurve(Curve) - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Builder: Sets the shift parameter of shifted Black model.
shiftCurve() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Meta: The meta-property for the shiftCurve property.
shiftCurve(Curve) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder: Sets the shift curve.
shiftCurve() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Meta: The meta-property for the shiftCurve property.
shiftCurve(Curve) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder: Sets the shift curve.
shiftCurve() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Meta: The meta-property for the shiftCurve property.
shiftCurve() - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta: The meta-property for the shiftCurve property.
shiftCurve() - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta: The meta-property for the shiftCurve property.
ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities - Class in com.opengamma.strata.pricer.capfloor: Volatility for Ibor caplet/floorlet in the shifted log-normal or shifted Black model based on a surface.
ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta - Class in com.opengamma.strata.pricer.capfloor: The meta-bean for ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.
sign() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction.Meta: The meta-property for the sign property.
sign() - Method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction.Meta: The meta-property for the sign property.
SimpleCreditCurveCalibrator - Class in com.opengamma.strata.pricer.credit: Simple credit curve calibrator.
SimpleCreditCurveCalibrator(AccrualOnDefaultFormula) - Constructor for class com.opengamma.strata.pricer.credit.SimpleCreditCurveCalibrator: Constructors a credit curve calibrator with the accrual-on-default formula specified.
simpleDelta(double, double, double, double, boolean) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the simple delta.
SimpleDiscountFactors - Class in com.opengamma.strata.pricer: Provides access to discount factors for a currency based on a discount factor curve.
SimpleDiscountFactors.Meta - Class in com.opengamma.strata.pricer: The meta-bean for SimpleDiscountFactors.
SimpleIborIndexRates - Class in com.opengamma.strata.pricer.rate: An Ibor index curve providing rates directly from a forward rates curve.
SimpleIborIndexRates.Meta - Class in com.opengamma.strata.pricer.rate: The meta-bean for SimpleIborIndexRates.
simpleMoneyness() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.Meta: The meta-property for the simpleMoneyness property.
SimplePriceIndexValues - Class in com.opengamma.strata.pricer.rate: Provides values for a Price index from a forward curve.
SimplePriceIndexValues.Meta - Class in com.opengamma.strata.pricer.rate: The meta-bean for SimplePriceIndexValues.
singleCreditCurveParameterSensitivity(PointSensitivities, StandardId, Currency) - Method in interface com.opengamma.strata.pricer.credit.CreditRatesProvider: Computes the parameter sensitivity for a specific credit curve.
singleCreditCurveParameterSensitivity(PointSensitivities, StandardId, Currency) - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider
singleDiscountCurveParameterSensitivity(PointSensitivities, Currency) - Method in interface com.opengamma.strata.pricer.credit.CreditRatesProvider: Computes the parameter sensitivity for a specific discount curve.
singleDiscountCurveParameterSensitivity(PointSensitivities, Currency) - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider
smile(SmileDeltaTermStructure) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities.Builder: Sets the volatility model.
smile() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities.Meta: The meta-property for the smile property.
SmileAndBucketedSensitivities - Class in com.opengamma.strata.pricer.fxopt: Combines information about a volatility smile expressed in delta form and its sensitivities.
smileAndSensitivitiesForExpiry(double, DoubleArray) - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure
smileAndSensitivitiesForExpiry(double, DoubleArray) - Method in interface com.opengamma.strata.pricer.fxopt.SmileDeltaTermStructure: Calculates the smile at a given time and the sensitivities with respect to the volatility data points.
SmileDeltaParameters - Class in com.opengamma.strata.pricer.fxopt: A delta dependent smile as used in Forex market.
SmileDeltaParameters.Meta - Class in com.opengamma.strata.pricer.fxopt: The meta-bean for SmileDeltaParameters.
SmileDeltaTermStructure - Interface in com.opengamma.strata.pricer.fxopt: A term structure of smile as used in Forex market.
smileForExpiry(double) - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure
smileForExpiry(double) - Method in interface com.opengamma.strata.pricer.fxopt.SmileDeltaTermStructure: Calculates the smile at a given time.
SmileModelData - Interface in com.opengamma.strata.pricer.impl.volatility.smile: A data bundle of a volatility model.
SmileModelFitter<T extends SmileModelData> - Class in com.opengamma.strata.pricer.impl.volatility.smile: Smile model fitter.
SmileModelFitter(double, DoubleArray, double, DoubleArray, DoubleArray, VolatilityFunctionProvider<T>) - Constructor for class com.opengamma.strata.pricer.impl.volatility.smile.SmileModelFitter: Constructs smile model fitter from forward, strikes, time to expiry, implied volatilities and error values.
solve(DoubleArray) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SmileModelFitter: Solves using the default NonLinearParameterTransforms for the concrete implementation.
solve(DoubleArray, BitSet) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SmileModelFitter: Solve using the default NonLinearParameterTransforms for the concrete implementation with some parameters fixed to their initial values (indicated by fixed).
solve(DoubleArray, NonLinearParameterTransforms) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SmileModelFitter: Solve using a user supplied NonLinearParameterTransforms.
SpreadSensitivityCalculator - Class in com.opengamma.strata.pricer.credit: The spread sensitivity calculator.
SpreadSensitivityCalculator(AccrualOnDefaultFormula) - Constructor for class com.opengamma.strata.pricer.credit.SpreadSensitivityCalculator: Constructor with accrual-on-default formula.
SsviFormulaData - Class in com.opengamma.strata.pricer.impl.volatility.smile: The data bundle for SSVI smile formula.
SsviVolatilityFunction - Class in com.opengamma.strata.pricer.impl.volatility.smile: Surface Stochastic Volatility Inspired (SSVI) formula.
standard() - Static method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityCalibrator: Obtains the standard instance.
standard() - Static method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityCalibrator: Obtains the standard instance.
standard() - Static method in class com.opengamma.strata.pricer.credit.FastCreditCurveCalibrator: Obtains the standard calibrator.
STANDARD - Static variable in class com.opengamma.strata.pricer.credit.IsdaCompliantDiscountCurveCalibrator: Default implementation.
standard() - Static method in class com.opengamma.strata.pricer.credit.IsdaCompliantDiscountCurveCalibrator: Obtains the standard curve calibrator.
standard() - Static method in class com.opengamma.strata.pricer.credit.IsdaCompliantIndexCurveCalibrator: Obtains the standard curve calibrator.
standard() - Static method in class com.opengamma.strata.pricer.credit.SimpleCreditCurveCalibrator: Obtains the standard calibrator.
standard() - Static method in class com.opengamma.strata.pricer.curve.RatesCurveCalibrator: The standard curve calibrator.
standard() - Static method in class com.opengamma.strata.pricer.curve.SyntheticRatesCurveCalibrator: The standard synthetic curve calibrator.
standard() - Static method in interface com.opengamma.strata.pricer.rate.RateComputationFn: Returns the standard instance of the function.
standard() - Static method in interface com.opengamma.strata.pricer.swap.SwapPaymentEventPricer: Returns the standard instance of the function.
standard() - Static method in interface com.opengamma.strata.pricer.swap.SwapPaymentPeriodPricer: Returns the standard instance of the function.
stateValue() - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData.Meta: The meta-property for the stateValue property.
strike() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity.Meta: The meta-property for the strike property.
strike() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity.Meta: The meta-property for the strike property.
strike() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata.Meta: The meta-property for the strike property.
strike() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata.Meta: The meta-property for the strike property.
strike() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity.Meta: The meta-property for the strike property.
strike() - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata.Meta: The meta-property for the strike property.
strike(double) - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters: Calculates the strikes in ascending order.
strike() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction.Meta: The meta-property for the strike property.
strike() - Method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction.Meta: The meta-property for the strike property.
strike() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity.Meta: The meta-property for the strike property.
strike() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata.Meta: The meta-property for the strike property.
strikeExtrapolatorLeft() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure.Meta: The meta-property for the strikeExtrapolatorLeft property.
strikeExtrapolatorRight() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure.Meta: The meta-property for the strikeExtrapolatorRight property.
strikeForDelta(double, double, double, double, boolean) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the strike for the delta.
strikeForDelta(double, double, double, double, double, double, boolean) - Static method in class com.opengamma.strata.pricer.impl.option.BlackScholesFormulaRepository: Computes the strike for the delta.
strikeInterpolator() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure.Meta: The meta-property for the strikeInterpolator property.
strikePrice() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity.Meta: The meta-property for the strikePrice property.
strikePrice() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity.Meta: The meta-property for the strikePrice property.
surface(Surface) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities.Builder: Sets the Black volatility surface.
surface() - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities.Meta: The meta-property for the surface property.
surface() - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities.Meta: The meta-property for the surface property.
surface() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities.Meta: The meta-property for the surface property.
surface() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities.Meta: The meta-property for the surface property.
surface() - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta: The meta-property for the surface property.
surface(Surface) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities.Builder: Sets the Black volatility surface.
surface() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities.Meta: The meta-property for the surface property.
surface(Surface) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Builder: Sets the normal volatility surface.
surface() - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Meta: The meta-property for the surface property.
surface() - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities.Meta: The meta-property for the surface property.
surface() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities.Meta: The meta-property for the surface property.
surface() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities.Meta: The meta-property for the surface property.
surface() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities.Meta: The meta-property for the surface property.
SurfaceIborCapletFloorletVolatilityBootstrapDefinition - Class in com.opengamma.strata.pricer.capfloor: Definition of caplet volatilities calibration.
SurfaceIborCapletFloorletVolatilityBootstrapDefinition.Meta - Class in com.opengamma.strata.pricer.capfloor: The meta-bean for SurfaceIborCapletFloorletVolatilityBootstrapDefinition.
SurfaceIborCapletFloorletVolatilityBootstrapper - Class in com.opengamma.strata.pricer.capfloor: Caplet volatilities calibration to cap volatilities based on interpolated surface.
survivalProbabilities(StandardId, Currency) - Method in interface com.opengamma.strata.pricer.credit.CreditRatesProvider: Gets the survival probabilities for a standard ID and a currency.
survivalProbabilities(StandardId, Currency) - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider
survivalProbabilities() - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities.Meta: The meta-property for the survivalProbabilities property.
survivalProbability(LocalDate) - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities: Gets the survival probability for the specified date.
SWAP_MQ - Static variable in class com.opengamma.strata.pricer.curve.MarketQuoteMeasure: The measure for ResolvedSwapTrade using par rate discounting.
SWAP_PAR_SPREAD - Static variable in class com.opengamma.strata.pricer.curve.TradeCalibrationMeasure: The calibrator for ResolvedSwapTrade using par spread discounting.
SWAP_PV - Static variable in class com.opengamma.strata.pricer.curve.PresentValueCalibrationMeasure: The calibrator for SwapTrade using present value discounting.
SwapPaymentEventPricer<T extends SwapPaymentEvent> - Interface in com.opengamma.strata.pricer.swap: Pricer for payment events.
SwapPaymentPeriodPricer<T extends SwapPaymentPeriod> - Interface in com.opengamma.strata.pricer.swap: Pricer for payment periods.
swapRate(double, DoubleArray, DoubleArray, DoubleArray, DoubleArray) - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: Calculates the swap rate for a given value of the standard normal random variable in the P(*,theta) numeraire.
swapRateDaf1(double, DoubleArray, DoubleArray, DoubleArray, DoubleArray) - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: Calculates the first order derivative of the swap rate with respect to the alphaFixed in the P(*,theta) numeraire.
swapRateDai1(double, DoubleArray, DoubleArray, DoubleArray, DoubleArray) - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: Calculates the first order derivative of the swap rate with respect to the alphaIbor in the P(*,theta) numeraire.
swapRateDdcff1(double, DoubleArray, DoubleArray, DoubleArray, DoubleArray) - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: Calculates the first order derivative of the swap rate with respect to the discountedCashFlowFixed in the P(*,theta) numeraire.
swapRateDdcfi1(double, DoubleArray, DoubleArray, DoubleArray, DoubleArray) - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: Calculates the first order derivative of the swap rate with respect to the discountedCashFlowIbor in the P(*,theta) numeraire.
swapRateDx1(double, DoubleArray, DoubleArray, DoubleArray, DoubleArray) - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: Calculates the first order derivative of the swap rate with respect to the value of the standard normal random variable in the P(*,theta) numeraire.
swapRateDx2(double, DoubleArray, DoubleArray, DoubleArray, DoubleArray) - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: Calculates the second order derivative of the swap rate with respect to the value of the standard normal random variable in the P(*,theta) numeraire.
swapRateDx2Da1(double, DoubleArray, DoubleArray, DoubleArray, DoubleArray) - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: Calculates the first order derivative with respect to the alphaFixed and to the alphaIbor of the of swap rate second derivative with respect to the random variable x in the P(*,theta) numeraire.
swapRateDx2Ddcf1(double, DoubleArray, DoubleArray, DoubleArray, DoubleArray) - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: Calculates the first order derivative with respect to the discountedCashFlowFixed and to the discountedCashFlowIbor of the of swap rate second derivative with respect to the random variable x in the P(*,theta) numeraire.
SwaptionSabrSensitivity - Class in com.opengamma.strata.pricer.swaption: Sensitivity of a swaption to SABR model parameters.
SwaptionSabrSensitivity.Meta - Class in com.opengamma.strata.pricer.swaption: The meta-bean for SwaptionSabrSensitivity.
SwaptionSensitivity - Class in com.opengamma.strata.pricer.swaption: Point sensitivity to a swaption implied parameter point.
SwaptionSensitivity.Meta - Class in com.opengamma.strata.pricer.swaption: The meta-bean for SwaptionSensitivity.
SwaptionSurfaceExpirySimpleMoneynessParameterMetadata - Class in com.opengamma.strata.pricer.swaption: Surface node metadata for a surface node for swaptions with a specific time to expiry and simple moneyness.
SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.Meta - Class in com.opengamma.strata.pricer.swaption: The meta-bean for SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.
SwaptionSurfaceExpiryStrikeParameterMetadata - Class in com.opengamma.strata.pricer.swaption: Surface node metadata for a surface node for swaptions with a specific time to expiry and strike.
SwaptionSurfaceExpiryStrikeParameterMetadata.Meta - Class in com.opengamma.strata.pricer.swaption: The meta-bean for SwaptionSurfaceExpiryStrikeParameterMetadata.
SwaptionSurfaceExpiryTenorParameterMetadata - Class in com.opengamma.strata.pricer.swaption: Surface node metadata for a surface node for swaptions with a specific time to expiry and underlying swap tenor.
SwaptionSurfaceExpiryTenorParameterMetadata.Meta - Class in com.opengamma.strata.pricer.swaption: The meta-bean for SwaptionSurfaceExpiryTenorParameterMetadata.
SwaptionVolatilities - Interface in com.opengamma.strata.pricer.swaption: Volatilities for pricing swaptions.
SwaptionVolatilitiesId - Class in com.opengamma.strata.pricer.swaption: An identifier used to access swaption volatilities by name.
SwaptionVolatilitiesName - Class in com.opengamma.strata.pricer.swaption: The name of a set of swaption volatilities.
SyntheticRatesCurveCalibrator - Class in com.opengamma.strata.pricer.curve: Synthetic curve calibrator.

T

tenor(LocalDate, LocalDate) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
tenor(LocalDate, LocalDate) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
tenor(LocalDate, LocalDate) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
tenor(LocalDate, LocalDate) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
tenor(LocalDate, LocalDate) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
tenor() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity.Meta: The meta-property for the tenor property.
tenor() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity.Meta: The meta-property for the tenor property.
tenor() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata.Meta: The meta-property for the tenor property.
tenor(LocalDate, LocalDate) - Method in interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities: Calculates the tenor of the swap based on its start date and end date.
TenorRawOptionData - Class in com.opengamma.strata.pricer.option: Raw data from the volatility market for a set of tenors.
TERM_DEPOSIT_MQ - Static variable in class com.opengamma.strata.pricer.curve.MarketQuoteMeasure: The measure for ResolvedTermDepositTrade using par rate discounting.
TERM_DEPOSIT_PAR_SPREAD - Static variable in class com.opengamma.strata.pricer.curve.TradeCalibrationMeasure: The calibrator for ResolvedTermDepositTrade using par spread discounting.
TERM_DEPOSIT_PV - Static variable in class com.opengamma.strata.pricer.curve.PresentValueCalibrationMeasure: The calibrator for TermDepositTrade using present value discounting.
theta(ResolvedBondFutureOption, LegalEntityDiscountingProvider, BlackBondFutureVolatilities) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedProductPricer: Calculates the theta of the bond future option product.
theta(ResolvedBondFutureOption, LegalEntityDiscountingProvider, BlackBondFutureVolatilities, double) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureOptionMarginedProductPricer: Calculates the theta of the bond future option product based on the price of the underlying future.
theta(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionProductPricer: Calculates the theta of the FX barrier option product.
theta(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionProductPricer: Calculates the Black theta of the foreign exchange vanilla option product.
theta(double, double, double, double, boolean, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the theta (non-forward).
theta(double, double, double, double, double, double, boolean) - Static method in class com.opengamma.strata.pricer.impl.option.BlackScholesFormulaRepository: Computes the theta.
theta(double, double, double, double, PutCall) - Static method in class com.opengamma.strata.pricer.impl.option.NormalFormulaRepository: Computes the theta.
thetaMod(double, double, double, double, boolean, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the theta (non-forward).
time() - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData.Meta: The meta-property for the time property.
timeExtrapolatorLeft() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure.Meta: The meta-property for the timeExtrapolatorLeft property.
timeExtrapolatorRight() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure.Meta: The meta-property for the timeExtrapolatorRight property.
timeInterpolator() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure.Meta: The meta-property for the timeInterpolator property.
timeSeries() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider.Meta: The meta-property for the timeSeries property.
timeSeries(Index) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
timeSeries(Index, LocalDateDoubleTimeSeries) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProviderBuilder: Adds a time-series to the provider.
timeSeries(Map<? extends Index, LocalDateDoubleTimeSeries>) - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProviderBuilder: Adds time-series to the provider.
timeSeries(Index) - Method in interface com.opengamma.strata.pricer.rate.RatesProvider: Gets the time series.
timeToExpiry() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction.Meta: The meta-property for the timeToExpiry property.
timeToExpiry() - Method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction.Meta: The meta-property for the timeToExpiry property.
toBuilder() - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities: Returns a builder that allows this bean to be mutated.
toBuilder() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider: Returns a builder that allows this bean to be mutated.
toBuilder() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition: Returns a builder that allows this bean to be mutated.
toBuilder() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition: Returns a builder that allows this bean to be mutated.
toBuilder() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts: Returns a builder that allows this bean to be mutated.
toBuilder() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts: Returns a builder that allows this bean to be mutated.
toBuilder() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition: Returns a builder that allows this bean to be mutated.
toBuilder() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition: Returns a builder that allows this bean to be mutated.
toBuilder() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities: Returns a builder that allows this bean to be mutated.
toBuilder() - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider: Returns a builder that allows this bean to be mutated.
toBuilder() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities: Returns a builder that allows this bean to be mutated.
toBuilder() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities: Returns a builder that allows this bean to be mutated.
toBuilder() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities: Returns a builder that allows this bean to be mutated.
toBuilder() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction: Returns a builder that allows this bean to be mutated.
toBuilder() - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities: Returns a builder that allows this bean to be mutated.
toBuilder() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider: Converts this instance to a builder allowing changes to be made.
toBuilder() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities: Returns a builder that allows this bean to be mutated.
toDiscountFactors() - Method in interface com.opengamma.strata.pricer.credit.CreditDiscountFactors: Creates an instance of DiscountFactors.
toDiscountFactors() - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
toFxForwardSensitivity() - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity: Converts this sensitivity to an FxForwardSensitivity.
toImmutableCreditRatesProvider() - Method in interface com.opengamma.strata.pricer.credit.CreditRatesProvider: Converts this provider to an equivalent ImmutableCreditRatesProvider.
toImmutableCreditRatesProvider() - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider
toImmutableLegalEntityDiscountingProvider() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider
toImmutableLegalEntityDiscountingProvider() - Method in interface com.opengamma.strata.pricer.bond.LegalEntityDiscountingProvider: Converts this provider to an equivalent ImmutableLegalEntityDiscountingProvider.
toImmutableRatesProvider() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
toImmutableRatesProvider() - Method in interface com.opengamma.strata.pricer.rate.RatesProvider: Converts this provider to an equivalent ImmutableRatesProvider.
toSmileModelData(DoubleArray) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrModelFitter
toSmileModelData(DoubleArray) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SmileModelFitter: Obtains SmileModelData instance from the model parameters.
toString() - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities.Builder
toString() - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities
toString() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity
toString() - Method in class com.opengamma.strata.pricer.bond.BondFutureVolatilitiesId
toString() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity
toString() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Builder
toString() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider
toString() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors
toString() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity
toString() - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities
toString() - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors
toString() - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity
toString() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
toString() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
toString() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition.Builder
toString() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition
toString() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition.Builder
toString() - Method in class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition
toString() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts.Builder
toString() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts
toString() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts.Builder
toString() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts
toString() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity
toString() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity
toString() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilitiesId
toString() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityCalibrationResult
toString() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
toString() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
toString() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
toString() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition.Builder
toString() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition
toString() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition.Builder
toString() - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition
toString() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Builder
toString() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
toString() - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
toString() - Method in class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition
toString() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata
toString() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata
toString() - Method in enum com.opengamma.strata.pricer.common.PriceType: Returns the formatted name of the type.
toString() - Method in enum com.opengamma.strata.pricer.CompoundedRateType: Returns the formatted name of the type.
toString() - Method in enum com.opengamma.strata.pricer.credit.AccrualOnDefaultFormula: Returns the formatted name of the type.
toString() - Method in enum com.opengamma.strata.pricer.credit.ArbitrageHandling: Returns the formatted name of the type.
toString() - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates
toString() - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity
toString() - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider.Builder
toString() - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider
toString() - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
toString() - Method in class com.opengamma.strata.pricer.credit.JumpToDefault
toString() - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities
toString() - Method in class com.opengamma.strata.pricer.curve.CalibrationMeasures
toString() - Method in class com.opengamma.strata.pricer.curve.MarketQuoteMeasure
toString() - Method in class com.opengamma.strata.pricer.curve.PresentValueCalibrationMeasure
toString() - Method in class com.opengamma.strata.pricer.curve.RatesCurveCalibrator
toString() - Method in class com.opengamma.strata.pricer.curve.SyntheticRatesCurveCalibrator
toString() - Method in class com.opengamma.strata.pricer.curve.TradeCalibrationMeasure
toString() - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates
toString() - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates
toString() - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity
toString() - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity
toString() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities.Builder
toString() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities
toString() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities.Builder
toString() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities
toString() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities.Builder
toString() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities
toString() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity
toString() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionVolatilitiesId
toString() - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata
toString() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure
toString() - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData
toString() - Method in class com.opengamma.strata.pricer.fxopt.SmileAndBucketedSensitivities
toString() - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters
toString() - Method in class com.opengamma.strata.pricer.fxopt.VolatilityAndBucketedSensitivities
toString() - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel
toString() - Method in class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction
toString() - Method in class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction
toString() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData
toString() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProvider
toString() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction.Builder
toString() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction
toString() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData
toString() - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviVolatilityFunction
toString() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity
toString() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionVolatilitiesId
toString() - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Builder
toString() - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities
toString() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParameters
toString() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider
toString() - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters
toString() - Method in class com.opengamma.strata.pricer.model.SabrParameters
toString() - Method in class com.opengamma.strata.pricer.option.RawOptionData
toString() - Method in class com.opengamma.strata.pricer.option.TenorRawOptionData
toString() - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates
toString() - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
toString() - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates
toString() - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates
toString() - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues
toString() - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity
toString() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider
toString() - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity
toString() - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity
toString() - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates
toString() - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues
toString() - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors
toString() - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
toString() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
toString() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
toString() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
toString() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Builder
toString() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
toString() - Method in class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition
toString() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity
toString() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity
toString() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata
toString() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata
toString() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata
toString() - Method in class com.opengamma.strata.pricer.swaption.SwaptionVolatilitiesId
toString() - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors
toString() - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
toString() - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity
toZeroRateSensitivity() - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity: Obtains the underlying ZeroRateSensitivity.
TradeCalibrationMeasure<T extends ResolvedTrade> - Class in com.opengamma.strata.pricer.curve: Provides calibration measures for a single type of trade based on functions.
transitionProbability() - Method in class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData.Meta: The meta-property for the transitionProbability property.
TrigeorgisLatticeSpecification - Class in com.opengamma.strata.pricer.impl.tree: Trigeorgis lattice specification.
TrigeorgisLatticeSpecification() - Constructor for class com.opengamma.strata.pricer.impl.tree.TrigeorgisLatticeSpecification
TrinomialTree - Class in com.opengamma.strata.pricer.impl.tree: Trinomial tree.
TrinomialTree() - Constructor for class com.opengamma.strata.pricer.impl.tree.TrinomialTree
truncateSetInclusive(double, double, DoubleArray) - Static method in class com.opengamma.strata.pricer.credit.DoublesScheduleGenerator: Truncates an array of doubles.

U

upfrontPayment(ResolvedFixedCouponBondTrade) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondTradePricer: Calculates the payment that was made for the trade.

V

validate(IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletPeriodPricer
validate(IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletPeriodPricer
validate(IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletPeriodPricer
validate(RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorLegPricer
validate(IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.pricer.capfloor.VolatilityIborCapletFloorletPeriodPricer: Validate the volatilities provider.
validate(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer: Validates that the rates and volatilities providers are coherent and that the swaption is single currency cash par-yield.
validate(ResolvedSwaption, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionPhysicalProductPricer: Validates that the rates and volatilities providers are coherent and that the swaption is single currency physical.
validateSwaption(ResolvedSwaption) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer: Validates that the swaption is single currency cash par-yield.
validateSwaption(ResolvedSwaption) - Method in class com.opengamma.strata.pricer.swaption.VolatilitySwaptionPhysicalProductPricer: Validates that the swaption is single currency physical.
valuationDate(LocalDate) - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Builder: Sets the valuation date.
valuationDate() - Method in class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider.Meta: The meta-property for the valuationDate property.
valuationDate() - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates.Meta: The meta-property for the valuationDate property.
valuationDate(LocalDate) - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider.Builder: Sets the valuation date.
valuationDate() - Method in class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider.Meta: The meta-property for the valuationDate property.
valuationDate() - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors.Meta: The meta-property for the valuationDate property.
valuationDate() - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates.Meta: The meta-property for the valuationDate property.
valuationDate() - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates.Meta: The meta-property for the valuationDate property.
valuationDate() - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues.Meta: The meta-property for the valuationDate property.
valuationDate() - Method in class com.opengamma.strata.pricer.rate.ImmutableRatesProvider.Meta: The meta-property for the valuationDate property.
valuationDate() - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates.Meta: The meta-property for the valuationDate property.
valuationDate() - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues.Meta: The meta-property for the valuationDate property.
valuationDate() - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors.Meta: The meta-property for the valuationDate property.
valuationDate() - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors.Meta: The meta-property for the valuationDate property.
valuationDate() - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors.Meta: The meta-property for the valuationDate property.
valuationDateTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities.Builder: Sets the valuation date-time.
valuationDateTime() - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities.Meta: The meta-property for the valuationDateTime property.
valuationDateTime() - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities.Meta: The meta-property for the valuationDateTime property.
valuationDateTime() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities.Meta: The meta-property for the valuationDateTime property.
valuationDateTime() - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities.Meta: The meta-property for the valuationDateTime property.
valuationDateTime() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities.Meta: The meta-property for the valuationDateTime property.
valuationDateTime() - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities.Meta: The meta-property for the valuationDateTime property.
valuationDateTime() - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities.Meta: The meta-property for the valuationDateTime property.
valuationDateTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Builder: Sets the valuation date-time.
valuationDateTime() - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities.Meta: The meta-property for the valuationDateTime property.
valuationDateTime() - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities.Meta: The meta-property for the valuationDateTime property.
valuationDateTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities.Builder: Sets the valuation date-time.
valuationDateTime() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities.Meta: The meta-property for the valuationDateTime property.
valuationDateTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities.Builder: Sets the valuation date-time.
valuationDateTime() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities.Meta: The meta-property for the valuationDateTime property.
valuationDateTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities.Builder: Sets the valuation date-time.
valuationDateTime() - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities.Meta: The meta-property for the valuationDateTime property.
valuationDateTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Builder: Sets the valuation date-time.
valuationDateTime() - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Meta: The meta-property for the valuationDateTime property.
valuationDateTime() - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta: The meta-property for the valuationDateTime property.
valuationDateTime() - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities.Meta: The meta-property for the valuationDateTime property.
valuationDateTime() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities.Meta: The meta-property for the valuationDateTime property.
valuationDateTime() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities.Meta: The meta-property for the valuationDateTime property.
valuationDateTime() - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities.Meta: The meta-property for the valuationDateTime property.
valuationDateTime(ZonedDateTime) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Builder: Sets the valuation date-time.
valuationDateTime() - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities.Meta: The meta-property for the valuationDateTime property.
value(T, RatesProvider) - Method in interface com.opengamma.strata.pricer.curve.CalibrationMeasure: Calculates the value, such as par spread.
value(ResolvedTrade, RatesProvider) - Method in class com.opengamma.strata.pricer.curve.CalibrationMeasures: Calculates the value, such as par spread.
value(T, RatesProvider) - Method in class com.opengamma.strata.pricer.curve.MarketQuoteMeasure
value(T, RatesProvider) - Method in class com.opengamma.strata.pricer.curve.PresentValueCalibrationMeasure
value(T, RatesProvider) - Method in class com.opengamma.strata.pricer.curve.TradeCalibrationMeasure
value(PriceIndexObservation) - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues
value(PriceIndexObservation) - Method in interface com.opengamma.strata.pricer.rate.PriceIndexValues: Gets the historic or forward rate at the specified fixing month.
value(PriceIndexObservation) - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues
valueOf(String) - Static method in enum com.opengamma.strata.pricer.common.PriceType: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum com.opengamma.strata.pricer.CompoundedRateType: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum com.opengamma.strata.pricer.credit.AccrualOnDefaultFormula: Returns the enum constant of this type with the specified name.
valueOf(String) - Static method in enum com.opengamma.strata.pricer.credit.ArbitrageHandling: Returns the enum constant of this type with the specified name.
valuePointSensitivity(PriceIndexObservation) - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues
valuePointSensitivity(PriceIndexObservation) - Method in interface com.opengamma.strata.pricer.rate.PriceIndexValues: Calculates the point sensitivity of the historic or forward value at the specified fixing month.
valuePointSensitivity(PriceIndexObservation) - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues
values() - Static method in enum com.opengamma.strata.pricer.common.PriceType: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum com.opengamma.strata.pricer.CompoundedRateType: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum com.opengamma.strata.pricer.credit.AccrualOnDefaultFormula: Returns an array containing the constants of this enum type, in the order they are declared.
values() - Static method in enum com.opengamma.strata.pricer.credit.ArbitrageHandling: Returns an array containing the constants of this enum type, in the order they are declared.
vanillaOptionVerticalSpreadPair(OvernightInArrearsCapletFloorletBinaryPeriod) - Method in class com.opengamma.strata.pricer.capfloor.VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer: Creates pair of vanilla caplet for binary caplet/floorlet pricing by call spread.
vanillaOptionVerticalSpreadPair(IborCapletFloorletBinaryPeriod) - Method in class com.opengamma.strata.pricer.capfloor.VerticalSpreadVolatilityIborCapletFloorletBinaryPeriodPricer: Creates pair of vanilla caplet for binary caplet/floorlet pricing by call spread.
vanna(double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the driftless vanna.
vanna(double, double, double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackScholesFormulaRepository: Computes the vanna.
VannaVolgaFxVanillaOptionProductPricer - Class in com.opengamma.strata.pricer.fxopt: Pricing method for vanilla Forex option transactions with Vanna-Volga method.
VannaVolgaFxVanillaOptionProductPricer(DiscountingFxSingleProductPricer) - Constructor for class com.opengamma.strata.pricer.fxopt.VannaVolgaFxVanillaOptionProductPricer: Creates an instance.
VannaVolgaFxVanillaOptionTradePricer - Class in com.opengamma.strata.pricer.fxopt: Pricer for FX vanilla option trades with a Vanna-Volga method.
VannaVolgaFxVanillaOptionTradePricer(VannaVolgaFxVanillaOptionProductPricer, DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.fxopt.VannaVolgaFxVanillaOptionTradePricer: Creates an instance.
vega(ResolvedFxSingleBarrierOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxSingleBarrierOptionProductPricer: Calculates the vega of the FX barrier option product.
vega(ResolvedFxVanillaOption, RatesProvider, BlackFxOptionVolatilities) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxVanillaOptionProductPricer: Calculates the vega of the foreign exchange vanilla option product.
vega(double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the forward vega.
vega(double, double, double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackScholesFormulaRepository: Computes the spot vega.
vega(double, double, double, double, PutCall) - Static method in class com.opengamma.strata.pricer.impl.option.NormalFormulaRepository: Computes the vega.
vegaBleed(double, double, double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackScholesFormulaRepository: Computes the vega bleed.
VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for binary caplet/floorlet based on volatilities.
VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer(SabrOvernightInArrearsCapletFloorletPeriodPricer, double) - Constructor for class com.opengamma.strata.pricer.capfloor.VerticalSpreadSabrOvernightInArrearsCapletFloorletBinaryPeriodPricer: Creates an instance.
VerticalSpreadVolatilityIborCapletFloorletBinaryPeriodPricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for binary caplet/floorlet based on volatilities.
VerticalSpreadVolatilityIborCapletFloorletBinaryPeriodPricer(VolatilityIborCapletFloorletPeriodPricer, double) - Constructor for class com.opengamma.strata.pricer.capfloor.VerticalSpreadVolatilityIborCapletFloorletBinaryPeriodPricer: Creates an instance.
volatilities() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityCalibrationResult.Meta: The meta-property for the volatilities property.
volatilitiesName() - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity.Meta: The meta-property for the volatilitiesName property.
volatilitiesName() - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity.Meta: The meta-property for the volatilitiesName property.
volatilitiesName() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity.Meta: The meta-property for the volatilitiesName property.
volatilitiesName() - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity.Meta: The meta-property for the volatilitiesName property.
volatilitiesName() - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity.Meta: The meta-property for the volatilitiesName property.
volatilitiesName() - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity.Meta: The meta-property for the volatilitiesName property.
volatilitiesName() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity.Meta: The meta-property for the volatilitiesName property.
volatilitiesName() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity.Meta: The meta-property for the volatilitiesName property.
volatility(double, LocalDate, double, double) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities
volatility(ZonedDateTime, LocalDate, double, double) - Method in interface com.opengamma.strata.pricer.bond.BondFutureVolatilities: Calculates the volatility at the specified expiry.
volatility(double, LocalDate, double, double) - Method in interface com.opengamma.strata.pricer.bond.BondFutureVolatilities: Calculates the volatility at the specified expiry.
volatility(double, double, double, double) - Method in interface com.opengamma.strata.pricer.bond.BondYieldVolatilities: Calculates the volatility at the specified expiry.
volatility(ZonedDateTime, double, double, double) - Method in interface com.opengamma.strata.pricer.bond.BondYieldVolatilities: Calculates the volatility at the specified expiry.
volatility(double, double, double, double) - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities
volatility(double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
volatility(double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
volatility(ZonedDateTime, double, double) - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities: Calculates the volatility at the specified expiry.
volatility(double, double, double) - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities: Calculates the volatility at the specified expiry.
volatility(double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
volatility(double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
volatility(double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
volatility(double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
volatility(double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
volatility(CurrencyPair, double, double, double) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities
volatility(CurrencyPair, double, double, double) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities
volatility(CurrencyPair, double, double, double) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities
volatility(CurrencyPair, ZonedDateTime, double, double) - Method in interface com.opengamma.strata.pricer.fxopt.FxOptionVolatilities: Calculates the volatility at the specified expiry.
volatility(CurrencyPair, double, double, double) - Method in interface com.opengamma.strata.pricer.fxopt.FxOptionVolatilities: Calculates the volatility at the specified expiry.
volatility(double, double, double) - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure
volatility() - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters.Meta: The meta-property for the volatility property.
volatility(double, double, double) - Method in interface com.opengamma.strata.pricer.fxopt.SmileDeltaTermStructure: Calculates the volatility at a given time/strike/forward from the term structure.
volatility() - Method in class com.opengamma.strata.pricer.fxopt.VolatilityAndBucketedSensitivities.Meta: The meta-property for the volatility property.
volatility(double, double, double, double, double, double, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganNormalVolatilityFormula
volatility(double, double, double, SabrFormulaData) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProvider
volatility(double, double, double, double, double, double, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProvider
volatility(double, double, double, SsviFormulaData) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviVolatilityFunction
volatility(double, double, double, T) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.VolatilityFunctionProvider: Calculates the volatility.
volatility(ZonedDateTime, LocalDate, double, double) - Method in interface com.opengamma.strata.pricer.index.IborFutureOptionVolatilities: Calculates the volatility at the specified expiry.
volatility(double, LocalDate, double, double) - Method in interface com.opengamma.strata.pricer.index.IborFutureOptionVolatilities: Calculates the volatility at the specified expiry.
volatility(double, LocalDate, double, double) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities
volatility(double, double, double, double) - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters: Calculates the volatility for given expiry, tenor, strike and forward rate.
volatility(double, double, double) - Method in class com.opengamma.strata.pricer.model.SabrParameters: Calculates the volatility for given expiry, strike and forward rate.
volatility(double, double, double, double, double, double, double) - Method in interface com.opengamma.strata.pricer.model.SabrVolatilityFormula: Calculates the volatility.
volatility(double, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
volatility(double, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
volatility(double, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
volatility(double, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
volatility(double, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
volatility(ZonedDateTime, double, double, double) - Method in interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities: Calculates the volatility at the specified expiry.
volatility(double, double, double, double) - Method in interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities: Calculates the volatility at the specified expiry.
volatilityAdjoint(double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
volatilityAdjoint(double, double, double) - Method in interface com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilities: Calculates the volatility and associated sensitivities.
volatilityAdjoint(double, double, double) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
volatilityAdjoint(double, double, double, double, double, double, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganNormalVolatilityFormula
volatilityAdjoint(double, double, double, SabrFormulaData) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProvider: Computes the implied volatility in the SABR model and its derivatives.
volatilityAdjoint(double, double, double, double, double, double, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProvider: Computes the implied volatility in the SABR model and its derivatives.
volatilityAdjoint(double, double, double, SsviFormulaData) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviVolatilityFunction: Computes the implied volatility in the SSVI formula and its derivatives.
volatilityAdjoint(double, double, double, T) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.VolatilityFunctionProvider: Calculates volatility and the adjoint (volatility sensitivity to forward, strike and model parameters).
volatilityAdjoint(double, double, double, double) - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters: Calculates the volatility and associated sensitivities.
volatilityAdjoint(double, double, double) - Method in class com.opengamma.strata.pricer.model.SabrParameters: Calculates the volatility and associated sensitivities.
volatilityAdjoint(double, double, double, double, double, double, double) - Method in interface com.opengamma.strata.pricer.model.SabrVolatilityFormula: Calculates volatility and the adjoint (volatility sensitivity to forward, strike and model parameters).
volatilityAdjoint(double, double, double, double) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
volatilityAdjoint(double, double, double, double) - Method in interface com.opengamma.strata.pricer.swaption.SabrSwaptionVolatilities: Calculates the volatility and associated sensitivities.
volatilityAdjoint2(double, double, double, SabrFormulaData, double[], double[][]) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProvider: Computes the first and second order derivatives of the Black implied volatility in the SABR model.
volatilityAdjoint2(double, double, double, SsviFormulaData, double[], double[][]) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviVolatilityFunction
volatilityAdjoint2(double, double, double, T, double[], double[][]) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.VolatilityFunctionProvider: Computes the first and second order derivatives of the volatility.
VolatilityAndBucketedSensitivities - Class in com.opengamma.strata.pricer.fxopt: Combines information about a volatility and its sensitivities.
VolatilityAndBucketedSensitivities.Meta - Class in com.opengamma.strata.pricer.fxopt: The meta-bean for VolatilityAndBucketedSensitivities.
volatilityAndSensitivities(double, double, double) - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure
volatilityAndSensitivities(double, double, double) - Method in interface com.opengamma.strata.pricer.fxopt.SmileDeltaTermStructure: Calculates the volatility and the volatility sensitivity with respect to the volatility data points.
volatilityBeta0(double, double, double, double, double, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganNormalVolatilityFormula: Calculates the normal implied volatility for the special case of beta=0.
volatilityBeta0Adjoint(double, double, double, double, double, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganNormalVolatilityFormula: Calculates the normal implied volatility and its derivatives (w.r.t.
volatilityBetaNonZero(double, double, double, double, double, double, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganNormalVolatilityFormula: Returns the volatility using the generic formula with barrier at 0.
volatilityBetaNonZeroAdjoint(double, double, double, double, double, double, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganNormalVolatilityFormula: Returns the volatility using the generic formula with barrier at 0 at its derivatives.
VolatilityFunctionProvider<T extends SmileModelData> - Class in com.opengamma.strata.pricer.impl.volatility.smile: Provides functions that return volatility and its sensitivity to volatility model parameters.
VolatilityFunctionProvider() - Constructor for class com.opengamma.strata.pricer.impl.volatility.smile.VolatilityFunctionProvider
VolatilityIborCapFloorLegPricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for cap/floor legs based on volatilities.
VolatilityIborCapFloorLegPricer(VolatilityIborCapletFloorletPeriodPricer) - Constructor for class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorLegPricer: Creates an instance.
VolatilityIborCapFloorProductPricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for cap/floor products based on volatilities.
VolatilityIborCapFloorProductPricer(VolatilityIborCapFloorLegPricer, DiscountingSwapLegPricer) - Constructor for class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorProductPricer: Creates an instance.
VolatilityIborCapFloorTradePricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for cap/floor trades based on volatilities.
VolatilityIborCapFloorTradePricer(VolatilityIborCapFloorProductPricer, DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.capfloor.VolatilityIborCapFloorTradePricer: Creates an instance.
VolatilityIborCapletFloorletPeriodPricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for caplet/floorlet based on volatilities.
VolatilityIborCapletFloorletPeriodPricer() - Constructor for class com.opengamma.strata.pricer.capfloor.VolatilityIborCapletFloorletPeriodPricer
volatilityMaturityPart(HullWhiteOneFactorPiecewiseConstantParameters, double, DoubleMatrix) - Method in class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel: Calculates the maturity dependent part of the volatility (function called H in the implementation note).
VolatilityOvernightInArrearsCapletFloorletPeriodPricer - Class in com.opengamma.strata.pricer.capfloor: Pricer for overnight in-arrears caplet/floorlet based on volatilities.
VolatilityOvernightInArrearsCapletFloorletPeriodPricer() - Constructor for class com.opengamma.strata.pricer.capfloor.VolatilityOvernightInArrearsCapletFloorletPeriodPricer
VolatilitySwaptionCashParYieldProductPricer - Class in com.opengamma.strata.pricer.swaption: Pricer for swaption with par yield curve method of cash settlement based on volatilities.
VolatilitySwaptionCashParYieldProductPricer(DiscountingSwapProductPricer) - Constructor for class com.opengamma.strata.pricer.swaption.VolatilitySwaptionCashParYieldProductPricer: Creates an instance.
VolatilitySwaptionPhysicalProductPricer - Class in com.opengamma.strata.pricer.swaption: Pricer for swaption with physical settlement based on volatilities.
VolatilitySwaptionPhysicalProductPricer(DiscountingSwapProductPricer) - Constructor for class com.opengamma.strata.pricer.swaption.VolatilitySwaptionPhysicalProductPricer: Creates an instance.
VolatilitySwaptionProductPricer - Class in com.opengamma.strata.pricer.swaption: Pricer for swaptions handling physical and cash par yield settlement based on volatilities.
VolatilitySwaptionProductPricer(VolatilitySwaptionCashParYieldProductPricer, VolatilitySwaptionPhysicalProductPricer) - Constructor for class com.opengamma.strata.pricer.swaption.VolatilitySwaptionProductPricer: Creates an instance.
VolatilitySwaptionTradePricer - Class in com.opengamma.strata.pricer.swaption: Pricer for swaptions handling physical and cash par yield settlement based on volatilities.
VolatilitySwaptionTradePricer(VolatilitySwaptionProductPricer, DiscountingPaymentPricer) - Constructor for class com.opengamma.strata.pricer.swaption.VolatilitySwaptionTradePricer: Creates an instance.
volatilityTerm() - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure.Meta: The meta-property for the volatilityTerm property.
volga(double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the driftless volga (aka vomma).
vomma(double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackFormulaRepository: Computes the driftless vomma (aka volga).
vomma(double, double, double, double, double, double) - Static method in class com.opengamma.strata.pricer.impl.option.BlackScholesFormulaRepository: Computes the vomma (aka volga).

W

with(int, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData
with(int, double) - Method in interface com.opengamma.strata.pricer.impl.volatility.smile.SmileModelData: Creates a new smile model data bundle with a model parameter replaced.
with(int, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData
withAlpha(double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData: Returns a copy of this instance with alpha replaced.
withBeta(double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData: Returns a copy of this instance with beta replaced.
withCurrency(Currency) - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity
withCurrency(Currency) - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity
withCurrency(Currency) - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity
withCurrency(Currency) - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity
withCurrency(Currency) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity
withCurrency(Currency) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity
withCurrency(Currency) - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity
withCurrency(Currency) - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity
withCurrency(Currency) - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity
withCurrency(Currency) - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity
withCurrency(Currency) - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity
withCurrency(Currency) - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity
withCurrency(Currency) - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity
withCurrency(Currency) - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity
withCurrency(Currency) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity
withCurrency(Currency) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity
withCurrency(Currency) - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity
withCurve(NodalCurve) - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors: Returns a new instance with a different curve.
withCurve(Curve) - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates: Returns a new instance with a different curve.
withCurve(Curve) - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues: Returns a new instance with a different curve.
withCurve(Curve) - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors: Returns a new instance with a different curve.
withCurve(Curve) - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors: Returns a new instance with a different curve.
withCurve(Curve) - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors: Returns a new instance with a different curve.
withDiscountFactors(DiscountFactors, DiscountFactors) - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates: Returns a new instance with different discount factors.
withDiscountFactors(DiscountFactors) - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates: Returns a new instance with different discount factors.
withDiscountFactors(DiscountFactors) - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates: Returns a new instance with different discount factors.
withEta(double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData: Returns a copy of this instance with eta replaced.
withFxForwardRates(FxForwardRates) - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates: Returns a new instance with different FX forward rates.
withLastVolatility(double) - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParameters: Returns a copy with the last volatility of the volatility parameters changed.
withNu(double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData: Returns a copy of this instance with nu replaced.
withParameter(int, double) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.bond.BlackBondFutureVolatilities
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.bond.BondFutureVolatilities
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.bond.BondYieldVolatilities
withParameter(int, double) - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities
withParameter(int, double) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
withParameter(int, double) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletVolatilities
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities
withParameter(int, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
withParameter(int, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletVolatilities
withParameter(int, double) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilities
withParameter(int, double) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
withParameter(int, double) - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
withParameter(int, double) - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.credit.CreditDiscountFactors
withParameter(int, double) - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.credit.RecoveryRates
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.DiscountFactors
withParameter(int, double) - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates
withParameter(int, double) - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.fx.FxForwardRates
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.fx.FxIndexRates
withParameter(int, double) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities
withParameter(int, double) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities
withParameter(int, double) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.fxopt.FxOptionVolatilities
withParameter(int, double) - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure
withParameter(int, double) - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.fxopt.SmileDeltaTermStructure
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.index.IborFutureOptionVolatilities
withParameter(int, double) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.index.NormalIborFutureOptionVolatilities
withParameter(int, double) - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters
withParameter(int, double) - Method in class com.opengamma.strata.pricer.model.SabrParameters
withParameter(int, double) - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates
withParameter(int, double) - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
withParameter(int, double) - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates
withParameter(int, double) - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates
withParameter(int, double) - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.rate.IborIndexRates
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.rate.OvernightIndexRates
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.rate.PriceIndexValues
withParameter(int, double) - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates
withParameter(int, double) - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues
withParameter(int, double) - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors
withParameter(int, double) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.swaption.BlackSwaptionVolatilities
withParameter(int, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
withParameter(int, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
withParameter(int, double) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.swaption.NormalSwaptionVolatilities
withParameter(int, double) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.swaption.SabrSwaptionVolatilities
withParameter(int, double) - Method in interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities
withParameter(int, double) - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors
withParameter(int, double) - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.bond.BlackBondFutureVolatilities
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.bond.BondFutureVolatilities
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.bond.BondYieldVolatilities
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletVolatilities
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilities
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletVolatilities
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilities
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.credit.ConstantRecoveryRates
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.credit.CreditDiscountFactors
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.credit.RecoveryRates
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.DiscountFactors
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.fx.DiscountFxForwardRates
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.fx.ForwardFxIndexRates
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.fx.FxForwardRates
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.fx.FxIndexRates
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.fxopt.BlackFxOptionVolatilities
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.fxopt.FxOptionVolatilities
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.fxopt.SmileDeltaTermStructure
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.index.IborFutureOptionVolatilities
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.index.NormalIborFutureOptionVolatilities
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.model.SabrInterestRateParameters
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.model.SabrParameters
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.rate.DiscountIborIndexRates
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.rate.HistoricIborIndexRates
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.rate.IborIndexRates
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.rate.OvernightIndexRates
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.rate.PriceIndexValues
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.rate.SimpleIborIndexRates
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.rate.SimplePriceIndexValues
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.swaption.BlackSwaptionVolatilities
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.swaption.NormalSwaptionVolatilities
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.swaption.SabrSwaptionVolatilities
withPerturbation(ParameterPerturbation) - Method in interface com.opengamma.strata.pricer.swaption.SwaptionVolatilities
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors
withPerturbation(ParameterPerturbation) - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
withRho(double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData: Returns a copy of this instance with rho replaced.
withRho(double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData: Returns a copy of this instance with rho replaced.
withSensitivity(double) - Method in class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity
withSensitivity(double) - Method in class com.opengamma.strata.pricer.bond.BondYieldSensitivity
withSensitivity(double) - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity
withSensitivity(double) - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity
withSensitivity(double) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity
withSensitivity(double) - Method in class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity
withSensitivity(double) - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity
withSensitivity(double) - Method in class com.opengamma.strata.pricer.fx.FxForwardSensitivity
withSensitivity(double) - Method in class com.opengamma.strata.pricer.fx.FxIndexSensitivity
withSensitivity(double) - Method in class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity
withSensitivity(double) - Method in class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity
withSensitivity(double) - Method in class com.opengamma.strata.pricer.rate.IborRateSensitivity
withSensitivity(double) - Method in class com.opengamma.strata.pricer.rate.InflationRateSensitivity
withSensitivity(double) - Method in class com.opengamma.strata.pricer.rate.OvernightRateSensitivity
withSensitivity(double) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity
withSensitivity(double) - Method in class com.opengamma.strata.pricer.swaption.SwaptionSensitivity
withSensitivity(double) - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity
withSigma(double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData: Returns a copy of this instance with sigma replaced.
withVolatility(DoubleArray) - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParameters: Returns a copy with the volatility parameters changed.
withVolatilityAdded(double, double) - Method in class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParameters: Returns a copy with an extra volatility and volatility time added at the end of the respective arrays.

Y

yearFraction() - Method in class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity.Meta: The meta-property for the yearFraction property.
yearFraction() - Method in class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity.Meta: The meta-property for the yearFraction property.
yearFraction() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata.Meta: The meta-property for the yearFraction property.
yearFraction() - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata.Meta: The meta-property for the yearFraction property.
yearFraction() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata.Meta: The meta-property for the yearFraction property.
yearFraction() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata.Meta: The meta-property for the yearFraction property.
yearFraction() - Method in class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata.Meta: The meta-property for the yearFraction property.
yearFraction() - Method in class com.opengamma.strata.pricer.ZeroRateSensitivity.Meta: The meta-property for the yearFraction property.
yearFractionTenor() - Method in class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata.Meta: The meta-property for the yearFractionTenor property.
yearFractionTenor() - Method in class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata.Meta: The meta-property for the yearFractionTenor property.
yieldFromCurves(ResolvedBill, LegalEntityDiscountingProvider, LocalDate) - Method in class com.opengamma.strata.pricer.bond.DiscountingBillProductPricer: Calculates the yield for settlement at a given settlement date using curves.
yieldFromCurvesWithZSpread(ResolvedBill, LegalEntityDiscountingProvider, LocalDate, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingBillProductPricer: Calculates the yield for settlement at a given settlement date using curves with z-spread.
yieldFromDirtyPrice(ResolvedFixedCouponBond, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the yield of the fixed coupon bond product from dirty price.
yieldFromDirtyPriceAd(ResolvedFixedCouponBond, LocalDate, double) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the yield of the fixed coupon bond product from dirty price and its derivative wrt the price.

Z

zeroRate(LocalDate) - Method in interface com.opengamma.strata.pricer.credit.CreditDiscountFactors: Gets the continuously compounded zero rate for the specified date.
zeroRate(double) - Method in interface com.opengamma.strata.pricer.credit.CreditDiscountFactors: Gets the continuously compounded zero rate for specified year fraction.
zeroRate(double) - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
zeroRate(double) - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities: Gets the continuously compounded zero hazard rate for specified year fraction.
zeroRate(LocalDate) - Method in interface com.opengamma.strata.pricer.DiscountFactors: Gets the continuously compounded zero rate for the specified date.
zeroRate(double) - Method in interface com.opengamma.strata.pricer.DiscountFactors: Gets the continuously compounded zero rate for specified year fraction.
zeroRate(double) - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors
zeroRate(double) - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors
zeroRate(double) - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
ZeroRateDiscountFactors - Class in com.opengamma.strata.pricer: Provides access to discount factors for a currency based on a zero rate continuously compounded curve.
ZeroRateDiscountFactors.Meta - Class in com.opengamma.strata.pricer: The meta-bean for ZeroRateDiscountFactors.
ZeroRatePeriodicDiscountFactors - Class in com.opengamma.strata.pricer: Provides access to discount factors for a currency based on a zero rate periodically-compounded curve.
ZeroRatePeriodicDiscountFactors.Meta - Class in com.opengamma.strata.pricer: The meta-bean for ZeroRatePeriodicDiscountFactors.
zeroRatePointSensitivity(LocalDate) - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors: Calculates the zero rate point sensitivity at the specified date.
zeroRatePointSensitivity(LocalDate, Currency) - Method in class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors: Calculates the zero rate point sensitivity at the specified date specifying the currency of the sensitivity.
zeroRatePointSensitivity(LocalDate) - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors: Calculates the zero rate point sensitivity at the specified date.
zeroRatePointSensitivity(LocalDate, Currency) - Method in class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors: Calculates the zero rate point sensitivity at the specified date specifying the currency of the sensitivity.
zeroRatePointSensitivity(LocalDate) - Method in interface com.opengamma.strata.pricer.credit.CreditDiscountFactors: Calculates the zero rate point sensitivity at the specified date.
zeroRatePointSensitivity(double) - Method in interface com.opengamma.strata.pricer.credit.CreditDiscountFactors: Calculates the zero rate point sensitivity at the specified year fraction.
zeroRatePointSensitivity(LocalDate, Currency) - Method in interface com.opengamma.strata.pricer.credit.CreditDiscountFactors: Calculates the zero rate point sensitivity at the specified date specifying the currency of the sensitivity.
zeroRatePointSensitivity(double, Currency) - Method in interface com.opengamma.strata.pricer.credit.CreditDiscountFactors: Calculates the zero rate point sensitivity at the specified year fraction specifying the currency of the sensitivity.
zeroRatePointSensitivity(double, Currency) - Method in class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors
zeroRatePointSensitivity(LocalDate) - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities: Calculates the zero rate point sensitivity at the specified date.
zeroRatePointSensitivity(double) - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities: Calculates the zero rate point sensitivity at the specified year fraction.
zeroRatePointSensitivity(LocalDate, Currency) - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities: Calculates the zero rate point sensitivity at the specified date specifying the currency of the sensitivity.
zeroRatePointSensitivity(double, Currency) - Method in class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities: Calculates the zero rate point sensitivity at the specified year fraction specifying the currency of the sensitivity.
zeroRatePointSensitivity(LocalDate) - Method in interface com.opengamma.strata.pricer.DiscountFactors: Calculates the zero rate point sensitivity at the specified date.
zeroRatePointSensitivity(double) - Method in interface com.opengamma.strata.pricer.DiscountFactors: Calculates the zero rate point sensitivity at the specified year fraction.
zeroRatePointSensitivity(LocalDate, Currency) - Method in interface com.opengamma.strata.pricer.DiscountFactors: Calculates the zero rate point sensitivity at the specified date specifying the currency of the sensitivity.
zeroRatePointSensitivity(double, Currency) - Method in interface com.opengamma.strata.pricer.DiscountFactors: Calculates the zero rate point sensitivity at the specified year fraction specifying the currency of the sensitivity.
zeroRatePointSensitivity(double, Currency) - Method in class com.opengamma.strata.pricer.SimpleDiscountFactors
zeroRatePointSensitivity(double, Currency) - Method in class com.opengamma.strata.pricer.ZeroRateDiscountFactors
zeroRatePointSensitivity(double, Currency) - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
zeroRatePointSensitivityWithSpread(LocalDate, double, CompoundedRateType, int) - Method in interface com.opengamma.strata.pricer.DiscountFactors: Calculates the zero rate point sensitivity with z-spread at the specified date.
zeroRatePointSensitivityWithSpread(double, double, CompoundedRateType, int) - Method in interface com.opengamma.strata.pricer.DiscountFactors: Calculates the zero rate point sensitivity with z-spread at the specified year fraction.
zeroRatePointSensitivityWithSpread(LocalDate, Currency, double, CompoundedRateType, int) - Method in interface com.opengamma.strata.pricer.DiscountFactors: Calculates the zero rate point sensitivity with z-spread at the specified date specifying the currency of the sensitivity.
zeroRatePointSensitivityWithSpread(double, Currency, double, CompoundedRateType, int) - Method in interface com.opengamma.strata.pricer.DiscountFactors: Calculates the zero rate point sensitivity with z-spread at the specified year fraction specifying the currency of the sensitivity.
zeroRatePointSensitivityWithSpread(double, Currency, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors
zeroRateSensitivity() - Method in class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity.Meta: The meta-property for the zeroRateSensitivity property.
ZeroRateSensitivity - Class in com.opengamma.strata.pricer: Point sensitivity to the zero rate curve.
ZeroRateSensitivity.Meta - Class in com.opengamma.strata.pricer: The meta-bean for ZeroRateSensitivity.
zetaOverXhat(double, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganNormalVolatilityFormula: Computes the ratio zeta over xHat.
zetaOverXhatAdjoint(double, double) - Method in class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganNormalVolatilityFormula: Computes the ratio zeta over xHat and its derivatives.
zSpreadFromCurvesAndCleanPrice(ResolvedCapitalIndexedBond, RatesProvider, LegalEntityDiscountingProvider, ReferenceData, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the z-spread of the bond from curves and clean price.
zSpreadFromCurvesAndDirtyPrice(ResolvedFixedCouponBond, LegalEntityDiscountingProvider, ReferenceData, double, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingFixedCouponBondProductPricer: Calculates the z-spread of the fixed coupon bond from curves and dirty price.
zSpreadFromCurvesAndPv(ResolvedCapitalIndexedBond, RatesProvider, LegalEntityDiscountingProvider, ReferenceData, CurrencyAmount, CompoundedRateType, int) - Method in class com.opengamma.strata.pricer.bond.DiscountingCapitalIndexedBondProductPricer: Calculates the z-spread of the bond from curves and present value.

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Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.