Package com.opengamma.strata.measure.index

Calculation functions for index products.

See: Description

Interface Summary

Interface	Description
IborFutureOptionMarketData	Market data for Ibor future options.
IborFutureOptionMarketDataLookup	The lookup that provides access to Ibor future option volatilities in market data.
IborFutureOptionScenarioMarketData	Market data for Ibor future options, used for calculation across multiple scenarios.
OvernightFutureOptionMarketData	Market data for Overnight future options.
OvernightFutureOptionMarketDataLookup	The lookup that provides access to Overnight future option volatilities in market data.
OvernightFutureOptionScenarioMarketData	Market data for Overnight future options, used for calculation across multiple scenarios.

Class Summary

Class	Description
IborFutureOptionTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<IborFutureOption> & Resolvable<ResolvedIborFutureOptionTrade>>	Perform calculations on a single IborFutureOptionTrade or IborFutureOptionPosition for each of a set of scenarios.
IborFutureOptionTradeCalculations	Calculates pricing and risk measures for trades in an option contract based on an Ibor index future.
IborFutureTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<IborFuture> & Resolvable<ResolvedIborFutureTrade>>	Perform calculations on a single IborFutureTrade or IborFuturePosition for each of a set of scenarios.
IborFutureTradeCalculations	Calculates pricing and risk measures for trades in a futures contract based on an Ibor index.
OvernightFutureTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<OvernightFuture> & Resolvable<ResolvedOvernightFutureTrade>>	Perform calculations on a single OvernightFutureTrade for each of a set of scenarios.
OvernightFutureTradeCalculations	Calculates pricing and risk measures for trades in a futures contract based on an Overnight rate index.

Package com.opengamma.strata.measure.index Description

Calculation functions for index products.