Serialized Form (OpenGamma Strata Measure)

Package com.opengamma.strata.measure
- Class com.opengamma.strata.measure.ValuationZoneTimeDefinition extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - defaultLocalTime
```
LocalTime defaultLocalTime
```
      The default local time.
      The default local time will be used if the input date is not scenario value or if the scenario size of the input date exceeds the size of localTimes.
    - zoneId
```
ZoneId zoneId
```
      The zone ID.
    - localTimes
```
ImmutableList<E> localTimes
```
      The local time.
      The local time in zoneId. The size is not necessarily the same as the scenario size. defaultLocalTime will be used if extra LocalTime is required.
Package com.opengamma.strata.measure.calc
- Class com.opengamma.strata.measure.calc.TargetTypeCalculationParameter extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - queryType
```
Class<T> queryType
```
      The parameter query type.
    - parameters
```
ImmutableMap<K,V> parameters
```
      The underlying parameters, keyed by target type.
    - defaultParameter
```
CalculationParameter defaultParameter
```
      The default underlying parameter.
- Class com.opengamma.strata.measure.calc.TradeCounterpartyCalculationParameter extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - queryType
```
Class<T> queryType
```
      The parameter query type.
    - parameters
```
ImmutableMap<K,V> parameters
```
      The underlying parameters, keyed by counterparty ID.
    - defaultParameter
```
CalculationParameter defaultParameter
```
      The default underlying parameter.
Package com.opengamma.strata.measure.cms
- Class com.opengamma.strata.measure.cms.CmsSabrExtrapolationParams extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - cutOffStrike
```
double cutOffStrike
```
      The cut-off strike.
      The smile is extrapolated above that level.
    - mu
```
double mu
```
      The tail thickness parameter.
      This must be greater than 0 in order to ensure that the call price converges to 0 for infinite strike.
Package com.opengamma.strata.measure.curve
- Class com.opengamma.strata.measure.curve.RootFinderConfig extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - absoluteTolerance
```
double absoluteTolerance
```
      The absolute tolerance for the root finder.
    - relativeTolerance
```
double relativeTolerance
```
      The relative tolerance for the root finder.
    - maximumSteps
```
int maximumSteps
```
      The maximum number of steps for the root finder.
Package com.opengamma.strata.measure.fxopt
- Class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - name
```
FxOptionVolatilitiesName name
```
    - currencyPair
```
CurrencyPair currencyPair
```
    - dayCount
```
DayCount dayCount
```
    - nodes
```
ImmutableList<E> nodes
```
    - timeInterpolator
```
CurveInterpolator timeInterpolator
```
      The interpolator used in the time dimension.
    - timeExtrapolatorLeft
```
CurveExtrapolator timeExtrapolatorLeft
```
      The left extrapolator used in the time dimension.
    - timeExtrapolatorRight
```
CurveExtrapolator timeExtrapolatorRight
```
      The right extrapolator used in the time dimension.
    - strikeInterpolator
```
CurveInterpolator strikeInterpolator
```
      The interpolator used in the strike dimension.
    - strikeExtrapolatorLeft
```
CurveExtrapolator strikeExtrapolatorLeft
```
      The left extrapolator used in the strike dimension.
    - strikeExtrapolatorRight
```
CurveExtrapolator strikeExtrapolatorRight
```
      The right extrapolator used in the strike dimension.
- Class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - name
```
FxOptionVolatilitiesName name
```
      The name of the volatilities.
    - currencyPair
```
CurrencyPair currencyPair
```
      The currency pair that the volatilities are for.
    - dayCount
```
DayCount dayCount
```
      The day count convention used for the expiry.
    - nodes
```
ImmutableList<E> nodes
```
      The nodes in the FX option volatilities.
      The nodes are used to find the quotes and build the volatilities.
    - timeInterpolator
```
CurveInterpolator timeInterpolator
```
      The interpolator used in the time dimension.
    - timeExtrapolatorLeft
```
CurveExtrapolator timeExtrapolatorLeft
```
      The left extrapolator used in the time dimension.
    - timeExtrapolatorRight
```
CurveExtrapolator timeExtrapolatorRight
```
      The right extrapolator used in the time dimension.
    - strikeInterpolator
```
CurveInterpolator strikeInterpolator
```
      The interpolator used in the strike dimension.
    - strikeExtrapolatorLeft
```
CurveExtrapolator strikeExtrapolatorLeft
```
      The left extrapolator used in the strike dimension.
    - strikeExtrapolatorRight
```
CurveExtrapolator strikeExtrapolatorRight
```
      The right extrapolator used in the strike dimension.
- Class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - specification
```
FxOptionVolatilitiesSpecification specification
```
      The FX option volatility specification.
- Class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - currencyPair
```
CurrencyPair currencyPair
```
      The currency pair.
      The quote must be based on this currency pair and direction.
    - label
```
String label
```
      The label to use for the node.
    - spotDateOffset
```
DaysAdjustment spotDateOffset
```
      The offset of the spot value date from the valuation date.
      Typically this is the same as the standard convention of the spot date offset of the underlying FX forward.
    - businessDayAdjustment
```
BusinessDayAdjustment businessDayAdjustment
```
      The business day adjustment to apply to the delivery date.
      Typically this is the same as the standard convention of the business day adjustment applied to the delivery date of the underlying FX forward.
    - expiryDateOffset
```
DaysAdjustment expiryDateOffset
```
      The offset of the expiry date from the delivery date.
      By default the expiry date offset is the inverse of spotDateOffset. In this case BusinessDayAdjustment in spotDateOffset must be NONE.
    - quoteValueType
```
ValueType quoteValueType
```
      The value type of the quote.
    - quoteId
```
QuoteId quoteId
```
      The quote ID.
    - tenor
```
Tenor tenor
```
      The tenor.
      Typically the tenor is coherent to that of the underlying FX forward. Thus it spans the period between spot date to delivery date.
    - strike
```
Strike strike
```
      The strike.

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

Serialized Form

Package com.opengamma.strata.measure

Class com.opengamma.strata.measure.ValuationZoneTimeDefinition extends Object implements Serializable

Serialized Fields

defaultLocalTime

zoneId

localTimes

Package com.opengamma.strata.measure.calc

Class com.opengamma.strata.measure.calc.TargetTypeCalculationParameter extends Object implements Serializable

Serialized Fields

queryType

parameters

defaultParameter

Class com.opengamma.strata.measure.calc.TradeCounterpartyCalculationParameter extends Object implements Serializable

Serialized Fields

queryType

parameters

defaultParameter

Package com.opengamma.strata.measure.cms

Class com.opengamma.strata.measure.cms.CmsSabrExtrapolationParams extends Object implements Serializable

Serialized Fields

cutOffStrike

mu

Package com.opengamma.strata.measure.curve

Class com.opengamma.strata.measure.curve.RootFinderConfig extends Object implements Serializable

Serialized Fields

absoluteTolerance

relativeTolerance

maximumSteps

Package com.opengamma.strata.measure.fxopt

Class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification extends Object implements Serializable

Serialized Fields

name

currencyPair

dayCount

nodes

timeInterpolator

timeExtrapolatorLeft

timeExtrapolatorRight

strikeInterpolator

strikeExtrapolatorLeft

strikeExtrapolatorRight

Class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification extends Object implements Serializable

Serialized Fields

name

currencyPair

dayCount

nodes

timeInterpolator

timeExtrapolatorLeft

timeExtrapolatorRight

strikeInterpolator

strikeExtrapolatorLeft

strikeExtrapolatorRight

Class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition extends Object implements Serializable

Serialized Fields

specification

Class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode extends Object implements Serializable

Serialized Fields

currencyPair

label

spotDateOffset

businessDayAdjustment

expiryDateOffset

quoteValueType

quoteId

tenor

strike