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

A

absoluteTolerance(double) - Method in class com.opengamma.strata.measure.curve.RootFinderConfig.Builder

Sets the absolute tolerance for the root finder.

absoluteTolerance() - Method in class com.opengamma.strata.measure.curve.RootFinderConfig.Meta

The meta-property for the absoluteTolerance property.

ACCRUED_INTEREST - Static variable in class com.opengamma.strata.measure.Measures

Measure representing the accrued interest of the calculation target.

accruedInterest(ResolvedSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates accrued interest across one or more scenarios.

accruedInterest(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates accrued interest for a single set of market data.

AdvancedMeasures - Class in com.opengamma.strata.measure

The advanced set of measures which can be calculated by Strata.

B

beanType() - Method in class com.opengamma.strata.measure.curve.RootFinderConfig.Meta

beanType() - Method in class com.opengamma.strata.measure.fx.FxRateConfig.Meta

beanType() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Meta

beanType() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Meta

beanType() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition.Meta

beanType() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Meta

beanType() - Method in class com.opengamma.strata.measure.ValuationZoneTimeDefinition.Meta

BillMeasureCalculations - Class in com.opengamma.strata.measure.bond

Multi-scenario measure calculations for bill trades.

BillTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<Bill> & Resolvable<ResolvedBillTrade>> - Class in com.opengamma.strata.measure.bond

Perform calculations on a single BillTrade or BillPosition for each of a set of scenarios.

BillTradeCalculations - Class in com.opengamma.strata.measure.bond

Calculates pricing and risk measures for bill trades.

BillTradeCalculations(DiscountingBillTradePricer) - Constructor for class com.opengamma.strata.measure.bond.BillTradeCalculations

Creates an instance.

BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification - Class in com.opengamma.strata.measure.fxopt

The specification of how to build FX option volatilities.

BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Builder - Class in com.opengamma.strata.measure.fxopt

The bean-builder for BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.

BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Meta - Class in com.opengamma.strata.measure.fxopt

The meta-bean for BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.

BlackFxOptionSmileVolatilitiesSpecification - Class in com.opengamma.strata.measure.fxopt

The specification of how to build FX option volatilities.

BlackFxOptionSmileVolatilitiesSpecification.Builder - Class in com.opengamma.strata.measure.fxopt

The bean-builder for BlackFxOptionSmileVolatilitiesSpecification.

BlackFxOptionSmileVolatilitiesSpecification.Meta - Class in com.opengamma.strata.measure.fxopt

The meta-bean for BlackFxOptionSmileVolatilitiesSpecification.

BondFutureOptionMarketData - Interface in com.opengamma.strata.measure.bond

Market data for bond future options.

BondFutureOptionMarketDataLookup - Interface in com.opengamma.strata.measure.bond

The lookup that provides access to bond future volatilities in market data.

BondFutureOptionScenarioMarketData - Interface in com.opengamma.strata.measure.bond

Market data for bond future options, used for calculation across multiple scenarios.

BondFutureOptionTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<BondFutureOption> & Resolvable<ResolvedBondFutureOptionTrade>> - Class in com.opengamma.strata.measure.bond

Perform calculations on a single BondFutureOptionTrade or BondFutureOptionPosition for each of a set of scenarios.

BondFutureOptionTradeCalculations - Class in com.opengamma.strata.measure.bond

Calculates pricing and risk measures for trades in an option contract based on an bond future.

BondFutureOptionTradeCalculations(BlackBondFutureOptionMarginedTradePricer) - Constructor for class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculations

Creates an instance.

BondFutureTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<BondFuture> & Resolvable<ResolvedBondFutureTrade>> - Class in com.opengamma.strata.measure.bond

Perform calculations on a single BondFutureTrade or BondFuturePosition for each of a set of scenarios.

BondFutureTradeCalculations - Class in com.opengamma.strata.measure.bond

Calculates pricing and risk measures for trades in a futures contract based on a basket of bonds.

BondFutureTradeCalculations(DiscountingBondFutureTradePricer) - Constructor for class com.opengamma.strata.measure.bond.BondFutureTradeCalculations

Creates an instance.

build(CurveId, MarketDataConfig, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.curve.CurveMarketDataFunction

build() - Method in class com.opengamma.strata.measure.curve.RootFinderConfig.Builder

build() - Method in class com.opengamma.strata.measure.fx.FxRateConfig.Builder

build(FxRateId, MarketDataConfig, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.fx.FxRateMarketDataFunction

build() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Builder

build() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Builder

build(FxOptionVolatilitiesId, MarketDataConfig, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesMarketDataFunction

build() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Builder

build(RatesCurveGroupId, MarketDataConfig, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.rate.RatesCurveGroupMarketDataFunction

build(RatesCurveInputsId, MarketDataConfig, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.rate.RatesCurveInputsMarketDataFunction

builder() - Static method in class com.opengamma.strata.measure.curve.RootFinderConfig

Returns a builder used to create an instance of the bean.

builder() - Method in class com.opengamma.strata.measure.curve.RootFinderConfig.Meta

builder() - Static method in class com.opengamma.strata.measure.fx.FxRateConfig

Returns a builder used to create an instance of the bean.

builder() - Method in class com.opengamma.strata.measure.fx.FxRateConfig.Meta

builder() - Static method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification

Returns a builder used to create an instance of the bean.

builder() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Meta

builder() - Static method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification

Returns a builder used to create an instance of the bean.

builder() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Meta

builder() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition.Meta

builder() - Static method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

Returns a builder used to create an instance of the bean.

builder() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Meta

builder() - Method in class com.opengamma.strata.measure.ValuationZoneTimeDefinition.Meta

BulletPaymentTradeCalculationFunction - Class in com.opengamma.strata.measure.payment

Perform calculations on a single BulletPaymentTrade for each of a set of scenarios.

BulletPaymentTradeCalculationFunction() - Constructor for class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculationFunction

Creates an instance.

BulletPaymentTradeCalculations - Class in com.opengamma.strata.measure.payment

Calculates pricing and risk measures for bullet payment trades.

BulletPaymentTradeCalculations(DiscountingBulletPaymentTradePricer) - Constructor for class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculations

Creates an instance.

businessDayAdjustment(BusinessDayAdjustment) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Builder

Sets the business day adjustment to apply to the delivery date.

businessDayAdjustment() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Meta

The meta-property for the businessDayAdjustment property.

C

calculate(T, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.bond.BillTradeCalculationFunction

calculate(T, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculationFunction

calculate(T, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculationFunction

calculate(T, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculationFunction

calculate(T, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculationFunction

calculate(IborCapFloorTrade, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculationFunction

calculate(CmsTrade, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculationFunction

calculate(CdsIndexTrade, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.credit.CdsIndexTradeCalculationFunction

calculate(CdsTrade, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.credit.CdsTradeCalculationFunction

calculate(TermDepositTrade, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculationFunction

calculate(T, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculationFunction

calculate(FraTrade, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculationFunction

calculate(FxNdfTrade, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculationFunction

calculate(FxSingleTrade, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculationFunction

calculate(FxSwapTrade, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculationFunction

calculate(FxSingleBarrierOptionTrade, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculationFunction

calculate(FxVanillaOptionTrade, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculationFunction

calculate(T, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculationFunction

calculate(T, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculationFunction

calculate(T, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculationFunction

calculate(BulletPaymentTrade, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculationFunction

calculate(GenericSecurityPosition, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.security.GenericSecurityPositionCalculationFunction

calculate(GenericSecurityTrade, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.security.GenericSecurityTradeCalculationFunction

calculate(SecurityPosition, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.security.SecurityPositionCalculationFunction

calculate(SecurityTrade, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.security.SecurityTradeCalculationFunction

calculate(SwapTrade, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculationFunction

calculate(SwaptionTrade, Set<Measure>, CalculationParameters, ScenarioMarketData, ReferenceData) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculationFunction

calculationFunctions() - Static method in class com.opengamma.strata.measure.StandardComponents

Returns the standard calculation functions.

CapitalIndexedBondTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<CapitalIndexedBond> & Resolvable<ResolvedCapitalIndexedBondTrade>> - Class in com.opengamma.strata.measure.bond

Perform calculations on a single CapitalIndexedBondTrade or CapitalIndexedBondPosition for each of a set of scenarios.

CapitalIndexedBondTradeCalculations - Class in com.opengamma.strata.measure.bond

Calculates pricing and risk measures for forward rate agreement (capital indexed bond) trades.

CapitalIndexedBondTradeCalculations(DiscountingCapitalIndexedBondTradePricer) - Constructor for class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculations

Creates an instance.

CASH_FLOWS - Static variable in class com.opengamma.strata.measure.Measures

Measure representing the cash flows of the calculation target.

cashFlows(ResolvedFraTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates cash flows across one or more scenarios.

cashFlows(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates cash flows for a single set of market data.

cashFlows(ResolvedBulletPaymentTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculations

Calculates cash flows across one or more scenarios.

cashFlows(ResolvedBulletPaymentTrade, RatesProvider) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculations

Calculates cash flows for a single set of market data.

cashFlows(ResolvedSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates cash flows across one or more scenarios.

cashFlows(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates cash flows for a single set of market data.

CdsIndexTradeCalculationFunction - Class in com.opengamma.strata.measure.credit

Perform calculations on a single CdsIndexTrade for each of a set of scenarios.

CdsIndexTradeCalculationFunction() - Constructor for class com.opengamma.strata.measure.credit.CdsIndexTradeCalculationFunction

Creates an instance.

CdsTradeCalculationFunction - Class in com.opengamma.strata.measure.credit

Perform calculations on a single CdsTrade for each of a set of scenarios.

CdsTradeCalculationFunction() - Constructor for class com.opengamma.strata.measure.credit.CdsTradeCalculationFunction

Creates an instance.

CmsSabrExtrapolationParams - Class in com.opengamma.strata.measure.cms

The additional parameters necessary for pricing CMS using SABR extrapolation replication.

CmsTradeCalculationFunction - Class in com.opengamma.strata.measure.cms

Perform calculations on a single CmsTrade for each of a set of scenarios.

CmsTradeCalculationFunction() - Constructor for class com.opengamma.strata.measure.cms.CmsTradeCalculationFunction

Creates an instance.

CmsTradeCalculations - Class in com.opengamma.strata.measure.cms

Calculates pricing and risk measures for constant maturity swap (CMS) trades.

CmsTradeCalculations(SabrExtrapolationReplicationCmsTradePricer) - Constructor for class com.opengamma.strata.measure.cms.CmsTradeCalculations

Creates an instance specifying the SABR pricer.

com.opengamma.strata.measure - package com.opengamma.strata.measure

Provides the ability to calculate high-level measures on financial instruments.

com.opengamma.strata.measure.bond - package com.opengamma.strata.measure.bond

Base package for calculation functions.

com.opengamma.strata.measure.calc - package com.opengamma.strata.measure.calc

Additional calculation parameters.

com.opengamma.strata.measure.capfloor - package com.opengamma.strata.measure.capfloor

Calculation functions for Ibor cap/floor products.

com.opengamma.strata.measure.cms - package com.opengamma.strata.measure.cms

Calculation functions for constant maturity swap (CMS) products.

com.opengamma.strata.measure.credit - package com.opengamma.strata.measure.credit

Calculation functions for credit products.

com.opengamma.strata.measure.curve - package com.opengamma.strata.measure.curve

Integration code that allows strata-calc to use and calibrate curves.

com.opengamma.strata.measure.deposit - package com.opengamma.strata.measure.deposit

Calculation functions for deposit products.

com.opengamma.strata.measure.dsf - package com.opengamma.strata.measure.dsf

Calculation functions for DSF products.

com.opengamma.strata.measure.fra - package com.opengamma.strata.measure.fra

Calculation functions for FRA products.

com.opengamma.strata.measure.fx - package com.opengamma.strata.measure.fx

Calculation functions for FX products.

com.opengamma.strata.measure.fxopt - package com.opengamma.strata.measure.fxopt

Calculation functions for FX option products.

com.opengamma.strata.measure.index - package com.opengamma.strata.measure.index

Calculation functions for index products.

com.opengamma.strata.measure.payment - package com.opengamma.strata.measure.payment

Calculation functions for payment products.

com.opengamma.strata.measure.rate - package com.opengamma.strata.measure.rate

Base package for calculation functions.

com.opengamma.strata.measure.security - package com.opengamma.strata.measure.security

Calculation functions for futures products.

com.opengamma.strata.measure.swap - package com.opengamma.strata.measure.swap

Calculation functions for swap products.

com.opengamma.strata.measure.swaption - package com.opengamma.strata.measure.swaption

Calculation functions for swaption products.

CreditMeasures - Class in com.opengamma.strata.measure.credit

The standard set of credit measures that can be calculated by Strata.

CreditRatesMarketData - Interface in com.opengamma.strata.measure.credit

Market data for credit products.

CreditRatesMarketDataLookup - Interface in com.opengamma.strata.measure.credit

The lookup that provides access to credit rates in market data.

creditRatesProvider() - Method in interface com.opengamma.strata.measure.credit.CreditRatesMarketData

Gets the credit rates provider.

creditRatesProvider(MarketData) - Method in interface com.opengamma.strata.measure.credit.CreditRatesMarketDataLookup

Obtains credit rates provider based on the specified market data.

CreditRatesScenarioMarketData - Interface in com.opengamma.strata.measure.credit

Market data for products based on credit, discount and recovery rate curves, used for calculation across multiple scenarios.

CS01_BUCKETED - Static variable in class com.opengamma.strata.measure.credit.CreditMeasures

Measure representing the PV change under a series of 1 bps shifts in credit spread at each curve node.

CS01_PARALLEL - Static variable in class com.opengamma.strata.measure.credit.CreditMeasures

Measure representing the PV change under a 1 bps shift in credit spread.

CURRENCY_EXPOSURE - Static variable in class com.opengamma.strata.measure.Measures

Measure representing the currency exposure of the calculation target.

currencyExposure(ResolvedBillTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BillTradeCalculations

Calculates currency exposure across one or more scenarios.

currencyExposure(ResolvedBillTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.BillTradeCalculations

Calculates currency exposure for a single set of market data.

currencyExposure(ResolvedBondFutureOptionTrade, LegalEntityDiscountingMarketDataLookup, BondFutureOptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculations

Calculates currency exposure across one or more scenarios.

currencyExposure(ResolvedBondFutureOptionTrade, LegalEntityDiscountingProvider, BondFutureVolatilities) - Method in class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculations

Calculates currency exposure for a single set of market data.

currencyExposure(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculations

Calculates currency exposure across one or more scenarios.

currencyExposure(ResolvedBondFutureTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculations

Calculates currency exposure for a single set of market data.

currencyExposure(ResolvedCapitalIndexedBondTrade, RatesMarketDataLookup, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculations

Calculates currency exposure across one or more scenarios.

currencyExposure(ResolvedCapitalIndexedBondTrade, RatesProvider, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculations

Calculates currency exposure for a single set of market data.

currencyExposure(ResolvedFixedCouponBondTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculations

Calculates currency exposure across one or more scenarios.

currencyExposure(ResolvedFixedCouponBondTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculations

Calculates currency exposure for a single set of market data.

currencyExposure(ResolvedIborCapFloorTrade, RatesMarketDataLookup, IborCapFloorMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculations

Calculates currency exposure across one or more scenarios.

currencyExposure(ResolvedIborCapFloorTrade, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculations

Calculates currency exposure for a single set of market data.

currencyExposure(ResolvedCmsTrade, RatesMarketDataLookup, SwaptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculations

Calculates currency exposure across one or more scenarios.

currencyExposure(ResolvedCmsTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculations

Calculates currency exposure for a single set of market data.

currencyExposure(ResolvedTermDepositTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Calculates currency exposure across one or more scenarios.

currencyExposure(ResolvedTermDepositTrade, RatesProvider) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Calculates currency exposure for a single set of market data.

currencyExposure(ResolvedDsfTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculations

Calculates currency exposure across one or more scenarios.

currencyExposure(ResolvedDsfTrade, RatesProvider) - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculations

Calculates currency exposure for a single set of market data.

currencyExposure(ResolvedFraTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates currency exposure across one or more scenarios.

currencyExposure(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates currency exposure for a single set of market data.

currencyExposure(ResolvedFxNdfTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculations

Calculates currency exposure across one or more scenarios.

currencyExposure(ResolvedFxNdfTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculations

Calculates currency exposure for a single set of market data.

currencyExposure(ResolvedFxSingleTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Calculates currency exposure across one or more scenarios.

currencyExposure(ResolvedFxSingleTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Calculates currency exposure for a single set of market data.

currencyExposure(ResolvedFxSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculations

Calculates currency exposure across one or more scenarios.

currencyExposure(ResolvedFxSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculations

Calculates currency exposure for a single set of market data.

currencyExposure(ResolvedFxSingleBarrierOptionTrade, RatesMarketDataLookup, FxOptionMarketDataLookup, ScenarioMarketData, FxSingleBarrierOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculations

Calculates currency exposure across one or more scenarios.

currencyExposure(ResolvedFxSingleBarrierOptionTrade, RatesProvider, FxOptionVolatilities, FxSingleBarrierOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculations

Calculates currency exposure for a single set of market data.

currencyExposure(ResolvedFxVanillaOptionTrade, RatesMarketDataLookup, FxOptionMarketDataLookup, ScenarioMarketData, FxVanillaOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

Calculates currency exposure across one or more scenarios.

currencyExposure(ResolvedFxVanillaOptionTrade, RatesProvider, FxOptionVolatilities, FxVanillaOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

Calculates currency exposure for a single set of market data.

currencyExposure(ResolvedBulletPaymentTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculations

Calculates currency exposure across one or more scenarios.

currencyExposure(ResolvedBulletPaymentTrade, RatesProvider) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculations

Calculates currency exposure for a single set of market data.

currencyExposure(ResolvedSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates currency exposure across one or more scenarios.

currencyExposure(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates currency exposure for a single set of market data.

currencyExposure(ResolvedSwaptionTrade, RatesMarketDataLookup, SwaptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

Calculates currency exposure across one or more scenarios.

currencyExposure(ResolvedSwaptionTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

Calculates currency exposure for a single set of market data.

currencyPair(CurrencyPair) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Builder

Sets the currencyPair.

currencyPair() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Meta

The meta-property for the currencyPair property.

currencyPair(CurrencyPair) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Builder

Sets the currency pair that the volatilities are for.

currencyPair() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Meta

The meta-property for the currencyPair property.

currencyPair(CurrencyPair) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Builder

Sets the currency pair.

currencyPair() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Meta

The meta-property for the currencyPair property.

CURRENT_CASH - Static variable in class com.opengamma.strata.measure.Measures

Measure representing the current cash of the calculation target.

currentCash(ResolvedBillTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BillTradeCalculations

Calculates current cash across one or more scenarios.

currentCash(ResolvedBillTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.BillTradeCalculations

Calculates current cash for a single set of market data.

currentCash(ResolvedCapitalIndexedBondTrade, RatesMarketDataLookup, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculations

Calculates current cash across one or more scenarios.

currentCash(ResolvedCapitalIndexedBondTrade, RatesProvider, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculations

Calculates current cash for a single set of market data.

currentCash(ResolvedFixedCouponBondTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculations

Calculates current cash across one or more scenarios.

currentCash(ResolvedFixedCouponBondTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculations

Calculates current cash for a single set of market data.

currentCash(ResolvedIborCapFloorTrade, RatesMarketDataLookup, IborCapFloorMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculations

Calculates current cash across one or more scenarios.

currentCash(ResolvedIborCapFloorTrade, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculations

Calculates current cash for a single set of market data.

currentCash(ResolvedCmsTrade, RatesMarketDataLookup, SwaptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculations

Calculates current cash across one or more scenarios.

currentCash(ResolvedCmsTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculations

Calculates current cash for a single set of market data.

currentCash(ResolvedTermDepositTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Calculates current cash across one or more scenarios.

currentCash(ResolvedTermDepositTrade, RatesProvider) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Calculates current cash for a single set of market data.

currentCash(ResolvedFraTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates current cash across one or more scenarios.

currentCash(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates current cash for a single set of market data.

currentCash(ResolvedFxNdfTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculations

Calculates current cash across one or more scenarios.

currentCash(ResolvedFxNdfTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculations

Calculates current cash for a single set of market data.

currentCash(ResolvedFxSingleTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Calculates current cash across one or more scenarios.

currentCash(ResolvedFxSingleTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Calculates current cash for a single set of market data.

currentCash(ResolvedFxSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculations

Calculates current cash across one or more scenarios.

currentCash(ResolvedFxSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculations

Calculates current cash for a single set of market data.

currentCash(ResolvedFxSingleBarrierOptionTrade, RatesMarketDataLookup, FxOptionMarketDataLookup, ScenarioMarketData, FxSingleBarrierOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculations

Calculates current cash across one or more scenarios.

currentCash(ResolvedFxSingleBarrierOptionTrade, RatesProvider, FxOptionVolatilities, FxSingleBarrierOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculations

Calculates current cash for a single set of market data.

currentCash(ResolvedFxVanillaOptionTrade, RatesMarketDataLookup, FxOptionMarketDataLookup, ScenarioMarketData, FxVanillaOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

Calculates current cash across one or more scenarios.

currentCash(ResolvedFxVanillaOptionTrade, RatesProvider, FxOptionVolatilities, FxVanillaOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

Calculates current cash for a single set of market data.

currentCash(ResolvedBulletPaymentTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculations

Calculates current cash across one or more scenarios.

currentCash(ResolvedBulletPaymentTrade, RatesProvider) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculations

Calculates current cash for a single set of market data.

currentCash(ResolvedSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates current cash across one or more scenarios.

currentCash(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates current cash for a single set of market data.

currentCash(ResolvedSwaptionTrade, RatesMarketDataLookup, SwaptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

Calculates current cash across one or more scenarios.

currentCash(ResolvedSwaptionTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

Calculates current cash for a single set of market data.

CurveMarketDataFunction - Class in com.opengamma.strata.measure.curve

Market data function that locates a curve by name.

CurveMarketDataFunction() - Constructor for class com.opengamma.strata.measure.curve.CurveMarketDataFunction

D

dayCount(DayCount) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Builder

Sets the dayCount.

dayCount() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Meta

The meta-property for the dayCount property.

dayCount(DayCount) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Builder

Sets the day count convention used for the expiry.

dayCount() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Meta

The meta-property for the dayCount property.

DEFAULT - Static variable in class com.opengamma.strata.measure.bond.BillMeasureCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.bond.BillTradeCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.bond.BondFutureTradeCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.dsf.DsfTradeCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.fra.FraTradeCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.fx.FxNdfTradeCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.fx.FxSwapTradeCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.index.IborFutureTradeCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Default implementation.

DEFAULT - Static variable in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

Default implementation.

DEFAULT_ABSOLUTE_TOLERANCE - Static variable in class com.opengamma.strata.measure.curve.RootFinderConfig

The default absolute tolerance for the root finder.

DEFAULT_MAXIMUM_STEPS - Static variable in class com.opengamma.strata.measure.curve.RootFinderConfig

The default maximum number of steps for the root finder.

DEFAULT_RELATIVE_TOLERANCE - Static variable in class com.opengamma.strata.measure.curve.RootFinderConfig

The default relative tolerance for the root finder.

defaultLocalTime() - Method in class com.opengamma.strata.measure.ValuationZoneTimeDefinition.Meta

The meta-property for the defaultLocalTime property.

discountingProvider() - Method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketData

Gets the discounting provider.

discountingProvider(MarketData) - Method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketDataLookup

Obtains a discounting provider based on the specified market data.

DsfTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<Dsf> & Resolvable<ResolvedDsfTrade>> - Class in com.opengamma.strata.measure.dsf

Perform calculations on a single DsfTrade or DsfPosition for each of a set of scenarios.

DsfTradeCalculations - Class in com.opengamma.strata.measure.dsf

Calculates pricing and risk measures for Deliverable Swap Future (DSF) trades.

DsfTradeCalculations(DiscountingDsfTradePricer) - Constructor for class com.opengamma.strata.measure.dsf.DsfTradeCalculations

Creates an instance.

E

equals(Object) - Method in class com.opengamma.strata.measure.calc.TargetTypeCalculationParameter

equals(Object) - Method in class com.opengamma.strata.measure.calc.TradeCounterpartyCalculationParameter

equals(Object) - Method in class com.opengamma.strata.measure.cms.CmsSabrExtrapolationParams

equals(Object) - Method in class com.opengamma.strata.measure.curve.RootFinderConfig

equals(Object) - Method in class com.opengamma.strata.measure.fx.FxRateConfig

equals(Object) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification

equals(Object) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification

equals(Object) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition

equals(Object) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

equals(Object) - Method in class com.opengamma.strata.measure.ValuationZoneTimeDefinition

EXPECTED_LOSS - Static variable in class com.opengamma.strata.measure.credit.CreditMeasures

Measure representing the expected value of protection settlement.

expiryDateOffset(DaysAdjustment) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Builder

Sets the offset of the expiry date from the delivery date.

expiryDateOffset() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Meta

The meta-property for the expiryDateOffset property.

EXPLAIN_PRESENT_VALUE - Static variable in class com.opengamma.strata.measure.Measures

Measure representing a break-down of the present value calculation on the target.

explainPresentValue(ResolvedFraTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Explains the present value calculation across one or more scenarios.

explainPresentValue(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Explains the present value calculation for a single set of market data.

explainPresentValue(ResolvedSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Explains the present value calculation across one or more scenarios.

explainPresentValue(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Explains the present value calculation for a single set of market data.

F

filter(CalculationTarget, Measure) - Method in class com.opengamma.strata.measure.calc.TargetTypeCalculationParameter

filter(CalculationTarget, Measure) - Method in class com.opengamma.strata.measure.calc.TradeCounterpartyCalculationParameter

filter(CalculationTarget, Measure) - Method in enum com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionMethod

filter(CalculationTarget, Measure) - Method in enum com.opengamma.strata.measure.fxopt.FxVanillaOptionMethod

FixedCouponBondTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<FixedCouponBond> & Resolvable<ResolvedFixedCouponBondTrade>> - Class in com.opengamma.strata.measure.bond

Perform calculations on a single FixedCouponBondTrade or FixedCouponBondPosition for each of a set of scenarios.

FixedCouponBondTradeCalculations - Class in com.opengamma.strata.measure.bond

Calculates pricing and risk measures for forward rate agreement (fixed coupon bond) trades.

FixedCouponBondTradeCalculations(DiscountingFixedCouponBondTradePricer) - Constructor for class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculations

Creates an instance.

FORWARD_FX_RATE - Static variable in class com.opengamma.strata.measure.Measures

Measure representing the forward FX rate of the calculation target.

forwardFxRate(ResolvedFxNdfTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculations

Calculates the forward FX rate across one or more scenarios.

forwardFxRate(ResolvedFxNdfTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculations

Calculates the forward FX rate for a single set of market data.

forwardFxRate(ResolvedFxSingleTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Calculates the forward FX rate across one or more scenarios.

forwardFxRate(ResolvedFxSingleTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Calculates the forward FX rate for a single set of market data.

FraTradeCalculationFunction - Class in com.opengamma.strata.measure.fra

Perform calculations on a single FraTrade for each of a set of scenarios.

FraTradeCalculationFunction() - Constructor for class com.opengamma.strata.measure.fra.FraTradeCalculationFunction

Creates an instance.

FraTradeCalculations - Class in com.opengamma.strata.measure.fra

Calculates pricing and risk measures for forward rate agreement (FRA) trades.

FraTradeCalculations(DiscountingFraTradePricer) - Constructor for class com.opengamma.strata.measure.fra.FraTradeCalculations

Creates an instance.

FxNdfTradeCalculationFunction - Class in com.opengamma.strata.measure.fx

Perform calculations on a single FxNdfTrade for each of a set of scenarios.

FxNdfTradeCalculationFunction() - Constructor for class com.opengamma.strata.measure.fx.FxNdfTradeCalculationFunction

Creates an instance.

FxNdfTradeCalculations - Class in com.opengamma.strata.measure.fx

Calculates pricing and risk measures for FX Non-Deliverable Forward (NDF) trades.

FxNdfTradeCalculations(DiscountingFxNdfTradePricer) - Constructor for class com.opengamma.strata.measure.fx.FxNdfTradeCalculations

Creates an instance.

FxOptionMarketData - Interface in com.opengamma.strata.measure.fxopt

Market data for FX options.

FxOptionMarketDataLookup - Interface in com.opengamma.strata.measure.fxopt

The lookup that provides access to FX options volatilities in market data.

FxOptionScenarioMarketData - Interface in com.opengamma.strata.measure.fxopt

Market data for FX options, used for calculation across multiple scenarios.

FxOptionVolatilitiesDefinition - Class in com.opengamma.strata.measure.fxopt

The definition of how to build FX option volatilities.

FxOptionVolatilitiesDefinition.Meta - Class in com.opengamma.strata.measure.fxopt

The meta-bean for FxOptionVolatilitiesDefinition.

FxOptionVolatilitiesMarketDataFunction - Class in com.opengamma.strata.measure.fxopt

Market data function that builds FX option volatilities.

FxOptionVolatilitiesMarketDataFunction() - Constructor for class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesMarketDataFunction

FxOptionVolatilitiesNode - Class in com.opengamma.strata.measure.fxopt

A node in the configuration specifying how to build FX option volatilities.

FxOptionVolatilitiesNode.Builder - Class in com.opengamma.strata.measure.fxopt

The bean-builder for FxOptionVolatilitiesNode.

FxOptionVolatilitiesNode.Meta - Class in com.opengamma.strata.measure.fxopt

The meta-bean for FxOptionVolatilitiesNode.

FxOptionVolatilitiesSpecification - Interface in com.opengamma.strata.measure.fxopt

The specification of how to build FX option volatilities.

FxRateConfig - Class in com.opengamma.strata.measure.fx

Configuration defining how to create FxRate instances from observable market data.

FxRateConfig.Builder - Class in com.opengamma.strata.measure.fx

The bean-builder for FxRateConfig.

FxRateConfig.Meta - Class in com.opengamma.strata.measure.fx

The meta-bean for FxRateConfig.

FxRateMarketDataFunction - Class in com.opengamma.strata.measure.fx

Function which builds FxRate instances from observable market data.

FxRateMarketDataFunction() - Constructor for class com.opengamma.strata.measure.fx.FxRateMarketDataFunction

fxRateProvider() - Method in interface com.opengamma.strata.measure.rate.RatesMarketData

Gets the FX rate provider.

fxRateProvider(MarketData) - Method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Obtains an FX rate provider based on the specified market data.

FxSingleBarrierOptionMethod - Enum in com.opengamma.strata.measure.fxopt

The method to use for pricing FX single barrier options.

FxSingleBarrierOptionTradeCalculationFunction - Class in com.opengamma.strata.measure.fxopt

Perform calculations on an FX single barrier option trade for each of a set of scenarios.

FxSingleBarrierOptionTradeCalculationFunction() - Constructor for class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculationFunction

Creates an instance.

FxSingleBarrierOptionTradeCalculations - Class in com.opengamma.strata.measure.fxopt

Calculates pricing and risk measures for FX single barrier option trades.

FxSingleBarrierOptionTradeCalculations(BlackFxSingleBarrierOptionTradePricer, ImpliedTrinomialTreeFxSingleBarrierOptionTradePricer) - Constructor for class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculations

Creates an instance.

FxSingleTradeCalculationFunction - Class in com.opengamma.strata.measure.fx

Perform calculations on a single FxSingleTrade for each of a set of scenarios.

FxSingleTradeCalculationFunction() - Constructor for class com.opengamma.strata.measure.fx.FxSingleTradeCalculationFunction

Creates an instance.

FxSingleTradeCalculations - Class in com.opengamma.strata.measure.fx

Calculates pricing and risk measures for single FX trades.

FxSingleTradeCalculations(DiscountingFxSingleTradePricer) - Constructor for class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Creates an instance.

FxSwapTradeCalculationFunction - Class in com.opengamma.strata.measure.fx

Perform calculations on a single FxSwapTrade for each of a set of scenarios.

FxSwapTradeCalculationFunction() - Constructor for class com.opengamma.strata.measure.fx.FxSwapTradeCalculationFunction

Creates an instance.

FxSwapTradeCalculations - Class in com.opengamma.strata.measure.fx

Calculates pricing and risk measures for FX swap trades.

FxSwapTradeCalculations(DiscountingFxSwapTradePricer) - Constructor for class com.opengamma.strata.measure.fx.FxSwapTradeCalculations

Creates an instance.

FxVanillaOptionMethod - Enum in com.opengamma.strata.measure.fxopt

The method to use for pricing FX vanilla options.

FxVanillaOptionTradeCalculationFunction - Class in com.opengamma.strata.measure.fxopt

Perform calculations on an FX vanilla option trade for each of a set of scenarios.

FxVanillaOptionTradeCalculationFunction() - Constructor for class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculationFunction

Creates an instance.

FxVanillaOptionTradeCalculations - Class in com.opengamma.strata.measure.fxopt

Calculates pricing and risk measures for FX vanilla option trades.

FxVanillaOptionTradeCalculations(BlackFxVanillaOptionTradePricer, VannaVolgaFxVanillaOptionTradePricer) - Constructor for class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

Creates an instance.

G

GenericSecurityPositionCalculationFunction - Class in com.opengamma.strata.measure.security

Perform calculations on a single GenericSecurityPosition for each of a set of scenarios.

GenericSecurityPositionCalculationFunction() - Constructor for class com.opengamma.strata.measure.security.GenericSecurityPositionCalculationFunction

Creates an instance.

GenericSecurityTradeCalculationFunction - Class in com.opengamma.strata.measure.security

Perform calculations on a single GenericSecurityTrade for each of a set of scenarios.

GenericSecurityTradeCalculationFunction() - Constructor for class com.opengamma.strata.measure.security.GenericSecurityTradeCalculationFunction

Creates an instance.

get(String) - Method in class com.opengamma.strata.measure.curve.RootFinderConfig.Builder

get(String) - Method in class com.opengamma.strata.measure.fx.FxRateConfig.Builder

get(String) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Builder

get(String) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Builder

get(String) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Builder

getAbsoluteTolerance() - Method in class com.opengamma.strata.measure.curve.RootFinderConfig

Gets the absolute tolerance for the root finder.

getBusinessDayAdjustment() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

Gets the business day adjustment to apply to the delivery date.

getCreditLegalEntities() - Method in interface com.opengamma.strata.measure.credit.CreditRatesMarketDataLookup

Gets the set of pairs of legal entity ID and currency that credit curves are provided for.

getCreditMarketDataIds(StandardId, Currency) - Method in interface com.opengamma.strata.measure.credit.CreditRatesMarketDataLookup

Gets the identifiers used to obtain the credit curve for the pair of legal entity ID and currency.

getCurrencyPair() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification

Gets the currencyPair.

getCurrencyPair() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification

Gets the currency pair that the volatilities are for.

getCurrencyPair() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

Gets the currency pair.

getCurrencyPair() - Method in interface com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesSpecification

Gets the currency pair.

getCutOffStrike() - Method in class com.opengamma.strata.measure.cms.CmsSabrExtrapolationParams

Gets the cut-off strike.

getDayCount() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification

Gets the dayCount.

getDayCount() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification

Gets the day count convention used for the expiry.

getDefaultLocalTime() - Method in class com.opengamma.strata.measure.ValuationZoneTimeDefinition

Gets the default local time.

getDefaultParameter() - Method in class com.opengamma.strata.measure.calc.TargetTypeCalculationParameter

Gets the default underlying parameter.

getDefaultParameter() - Method in class com.opengamma.strata.measure.calc.TradeCounterpartyCalculationParameter

Gets the default underlying parameter.

getDiscountCurrencies() - Method in interface com.opengamma.strata.measure.credit.CreditRatesMarketDataLookup

Gets the set of currencies that discount factors are provided for.

getDiscountCurrencies() - Method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Gets the set of currencies that discount factors are provided for.

getDiscountMarketDataIds(Currency) - Method in interface com.opengamma.strata.measure.credit.CreditRatesMarketDataLookup

Gets the identifiers used to obtain the discount factors for the specified currency.

getDiscountMarketDataIds(Currency) - Method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Gets the identifiers used to obtain the discount factors for the specified currency.

getExpiryDateOffset() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

Gets the offset of the expiry date from the delivery date.

getForwardIndices() - Method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Gets the set of indices that forward rates are provided for.

getForwardMarketDataIds(Index) - Method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Gets the identifiers used to obtain the forward rates for the specified index.

getFxRateLookup() - Method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Gets the underlying FX lookup.

getLabel() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

Gets the label to use for the node.

getLocalTimes() - Method in class com.opengamma.strata.measure.ValuationZoneTimeDefinition

Gets the local time.

getLookup() - Method in interface com.opengamma.strata.measure.bond.BondFutureOptionMarketData

Gets the lookup that provides access to bond future volatilities.

getLookup() - Method in interface com.opengamma.strata.measure.bond.BondFutureOptionScenarioMarketData

Gets the lookup that provides access to bond future volatilities.

getLookup() - Method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketData

Gets the lookup that provides access to repo and issuer curves.

getLookup() - Method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingScenarioMarketData

Gets the lookup that provides access to repo and issuer curves.

getLookup() - Method in interface com.opengamma.strata.measure.capfloor.IborCapFloorMarketData

Gets the lookup that provides access to cap/floor volatilities.

getLookup() - Method in interface com.opengamma.strata.measure.capfloor.IborCapFloorScenarioMarketData

Gets the lookup that provides access to cap/floor volatilities.

getLookup() - Method in interface com.opengamma.strata.measure.credit.CreditRatesMarketData

Gets the lookup that provides access to credit, discount and recovery rate curves.

getLookup() - Method in interface com.opengamma.strata.measure.credit.CreditRatesScenarioMarketData

Gets the lookup that provides access to credit, discount and recovery rate curves.

getLookup() - Method in interface com.opengamma.strata.measure.fxopt.FxOptionMarketData

Gets the lookup that provides access to FX options volatilities.

getLookup() - Method in interface com.opengamma.strata.measure.fxopt.FxOptionScenarioMarketData

Gets the lookup that provides access to FX options volatilities.

getLookup() - Method in interface com.opengamma.strata.measure.index.IborFutureOptionMarketData

Gets the lookup that provides access to Ibor future option volatilities.

getLookup() - Method in interface com.opengamma.strata.measure.index.IborFutureOptionScenarioMarketData

Gets the lookup that provides access to Ibor future option volatilities.

getLookup() - Method in interface com.opengamma.strata.measure.index.OvernightFutureOptionMarketData

Gets the lookup that provides access to Overnight future option volatilities.

getLookup() - Method in interface com.opengamma.strata.measure.index.OvernightFutureOptionScenarioMarketData

Gets the lookup that provides access to Overnight future option volatilities.

getLookup() - Method in interface com.opengamma.strata.measure.rate.RatesMarketData

Gets the lookup that provides access to discount curves and forward curves.

getLookup() - Method in interface com.opengamma.strata.measure.rate.RatesScenarioMarketData

Gets the lookup that provides access to discount curves and forward curves.

getLookup() - Method in interface com.opengamma.strata.measure.swaption.SwaptionMarketData

Gets the lookup that provides access to swaption volatilities.

getLookup() - Method in interface com.opengamma.strata.measure.swaption.SwaptionScenarioMarketData

Gets the lookup that provides access to swaption volatilities.

getMarketData() - Method in interface com.opengamma.strata.measure.bond.BondFutureOptionMarketData

Gets the market data.

getMarketData() - Method in interface com.opengamma.strata.measure.bond.BondFutureOptionScenarioMarketData

Gets the market data.

getMarketData() - Method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketData

Gets the market data.

getMarketData() - Method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingScenarioMarketData

Gets the market data.

getMarketData() - Method in interface com.opengamma.strata.measure.capfloor.IborCapFloorMarketData

Gets the market data.

getMarketData() - Method in interface com.opengamma.strata.measure.capfloor.IborCapFloorScenarioMarketData

Gets the market data.

getMarketData() - Method in interface com.opengamma.strata.measure.credit.CreditRatesMarketData

Gets the market data.

getMarketData() - Method in interface com.opengamma.strata.measure.credit.CreditRatesScenarioMarketData

Gets the market data.

getMarketData() - Method in interface com.opengamma.strata.measure.fxopt.FxOptionMarketData

Gets the market data.

getMarketData() - Method in interface com.opengamma.strata.measure.fxopt.FxOptionScenarioMarketData

Gets the market data.

getMarketData() - Method in interface com.opengamma.strata.measure.index.IborFutureOptionMarketData

Gets the market data.

getMarketData() - Method in interface com.opengamma.strata.measure.index.IborFutureOptionScenarioMarketData

Gets the market data.

getMarketData() - Method in interface com.opengamma.strata.measure.index.OvernightFutureOptionMarketData

Gets the market data.

getMarketData() - Method in interface com.opengamma.strata.measure.index.OvernightFutureOptionScenarioMarketData

Gets the market data.

getMarketData() - Method in interface com.opengamma.strata.measure.rate.RatesMarketData

Gets the market data.

getMarketData() - Method in interface com.opengamma.strata.measure.rate.RatesScenarioMarketData

Gets the market data.

getMarketData() - Method in interface com.opengamma.strata.measure.swaption.SwaptionMarketData

Gets the market data.

getMarketData() - Method in interface com.opengamma.strata.measure.swaption.SwaptionScenarioMarketData

Gets the market data.

getMarketDataIdType() - Method in class com.opengamma.strata.measure.curve.CurveMarketDataFunction

getMarketDataIdType() - Method in class com.opengamma.strata.measure.fx.FxRateMarketDataFunction

getMarketDataIdType() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesMarketDataFunction

getMarketDataIdType() - Method in class com.opengamma.strata.measure.rate.RatesCurveGroupMarketDataFunction

getMarketDataIdType() - Method in class com.opengamma.strata.measure.rate.RatesCurveInputsMarketDataFunction

getMaximumSteps() - Method in class com.opengamma.strata.measure.curve.RootFinderConfig

Gets the maximum number of steps for the root finder.

getMu() - Method in class com.opengamma.strata.measure.cms.CmsSabrExtrapolationParams

Gets the tail thickness parameter.

getName() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification

Gets the name.

getName() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification

Gets the name of the volatilities.

getName() - Method in interface com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesSpecification

Gets the name of a set of FX option volatilities.

getNodes() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification

Gets the nodes.

getNodes() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification

Gets the nodes in the FX option volatilities.

getNodes() - Method in interface com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesSpecification

Gets the volatilities nodes.

getObservableRateKey(CurrencyPair) - Method in class com.opengamma.strata.measure.fx.FxRateConfig

Returns a key identifying the market quote for an observable FX rate.

getObservableSource() - Method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Gets the observable source.

getParameterCount() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition

Gets the number of parameters.

getParameterCount() - Method in interface com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesSpecification

Gets the number of parameters.

getParameters() - Method in class com.opengamma.strata.measure.calc.TargetTypeCalculationParameter

Gets the underlying parameters, keyed by target type.

getParameters() - Method in class com.opengamma.strata.measure.calc.TradeCounterpartyCalculationParameter

Gets the underlying parameters, keyed by counterparty ID.

getQueryType() - Method in class com.opengamma.strata.measure.calc.TargetTypeCalculationParameter

Gets the parameter query type.

getQueryType() - Method in class com.opengamma.strata.measure.calc.TradeCounterpartyCalculationParameter

Gets the parameter query type.

getQuoteId() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

Gets the quote ID.

getQuoteValueType() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

Gets the value type of the quote.

getRecoveryRateLegalEntities() - Method in interface com.opengamma.strata.measure.credit.CreditRatesMarketDataLookup

Gets the set of legal entity IDs that recovery rate curves are provided for.

getRecoveryRateMarketDataIds(StandardId) - Method in interface com.opengamma.strata.measure.credit.CreditRatesMarketDataLookup

Gets the identifiers used to obtain the recovery rate curve for the legal entity ID.

getRelativeTolerance() - Method in class com.opengamma.strata.measure.curve.RootFinderConfig

Gets the relative tolerance for the root finder.

getScenarioCount() - Method in interface com.opengamma.strata.measure.bond.BondFutureOptionScenarioMarketData

Gets the number of scenarios.

getScenarioCount() - Method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingScenarioMarketData

Gets the number of scenarios.

getScenarioCount() - Method in interface com.opengamma.strata.measure.capfloor.IborCapFloorScenarioMarketData

Gets the number of scenarios.

getScenarioCount() - Method in interface com.opengamma.strata.measure.credit.CreditRatesScenarioMarketData

Gets the number of scenarios.

getScenarioCount() - Method in interface com.opengamma.strata.measure.fxopt.FxOptionScenarioMarketData

Gets the number of scenarios.

getScenarioCount() - Method in interface com.opengamma.strata.measure.index.IborFutureOptionScenarioMarketData

Gets the number of scenarios.

getScenarioCount() - Method in interface com.opengamma.strata.measure.index.OvernightFutureOptionScenarioMarketData

Gets the number of scenarios.

getScenarioCount() - Method in interface com.opengamma.strata.measure.rate.RatesScenarioMarketData

Gets the number of scenarios.

getScenarioCount() - Method in interface com.opengamma.strata.measure.swaption.SwaptionScenarioMarketData

Gets the number of scenarios.

getSpecification() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition

Gets the FX option volatility specification.

getSpotDateOffset() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

Gets the offset of the spot value date from the valuation date.

getStrike() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

Gets the strike.

getStrikeExtrapolatorLeft() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification

Gets the left extrapolator used in the strike dimension.

getStrikeExtrapolatorLeft() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification

Gets the left extrapolator used in the strike dimension.

getStrikeExtrapolatorRight() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification

Gets the right extrapolator used in the strike dimension.

getStrikeExtrapolatorRight() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification

Gets the right extrapolator used in the strike dimension.

getStrikeInterpolator() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification

Gets the interpolator used in the strike dimension.

getStrikeInterpolator() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification

Gets the interpolator used in the strike dimension.

getTenor() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

Gets the tenor.

getTimeExtrapolatorLeft() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification

Gets the left extrapolator used in the time dimension.

getTimeExtrapolatorLeft() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification

Gets the left extrapolator used in the time dimension.

getTimeExtrapolatorRight() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification

Gets the right extrapolator used in the time dimension.

getTimeExtrapolatorRight() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification

Gets the right extrapolator used in the time dimension.

getTimeInterpolator() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification

Gets the interpolator used in the time dimension.

getTimeInterpolator() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification

Gets the interpolator used in the time dimension.

getValuationDate() - Method in interface com.opengamma.strata.measure.bond.BondFutureOptionMarketData

Gets the valuation date.

getValuationDate() - Method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketData

Gets the valuation date.

getValuationDate() - Method in interface com.opengamma.strata.measure.capfloor.IborCapFloorMarketData

Gets the valuation date.

getValuationDate() - Method in interface com.opengamma.strata.measure.credit.CreditRatesMarketData

Gets the valuation date.

getValuationDate() - Method in interface com.opengamma.strata.measure.fxopt.FxOptionMarketData

Gets the valuation date.

getValuationDate() - Method in interface com.opengamma.strata.measure.index.IborFutureOptionMarketData

Gets the valuation date.

getValuationDate() - Method in interface com.opengamma.strata.measure.index.OvernightFutureOptionMarketData

Gets the valuation date.

getValuationDate() - Method in interface com.opengamma.strata.measure.rate.RatesMarketData

Gets the valuation date.

getValuationDate() - Method in interface com.opengamma.strata.measure.swaption.SwaptionMarketData

Gets the valuation date.

getVolatilityCurrencyPairs() - Method in interface com.opengamma.strata.measure.fxopt.FxOptionMarketDataLookup

Gets the set of currency pairs that volatilities are provided for.

getVolatilityIds(SecurityId) - Method in interface com.opengamma.strata.measure.bond.BondFutureOptionMarketDataLookup

Gets the identifiers used to obtain the volatilities for the specified security ID.

getVolatilityIds(IborIndex) - Method in interface com.opengamma.strata.measure.capfloor.IborCapFloorMarketDataLookup

Gets the identifiers used to obtain the volatilities for the specified currency.

getVolatilityIds(CurrencyPair) - Method in interface com.opengamma.strata.measure.fxopt.FxOptionMarketDataLookup

Gets the identifiers used to obtain the volatilities for the specified currency pair.

getVolatilityIds(IborIndex) - Method in interface com.opengamma.strata.measure.index.IborFutureOptionMarketDataLookup

Gets the identifiers used to obtain the volatilities for the specified currency.

getVolatilityIds(OvernightIndex) - Method in interface com.opengamma.strata.measure.index.OvernightFutureOptionMarketDataLookup

Gets the identifiers used to obtain the volatilities for the specified currency.

getVolatilityIds(RateIndex) - Method in interface com.opengamma.strata.measure.swaption.SwaptionMarketDataLookup

Gets the identifiers used to obtain the volatilities for the specified currency.

getVolatilityIndices() - Method in interface com.opengamma.strata.measure.capfloor.IborCapFloorMarketDataLookup

Gets the set of indices that volatilities are provided for.

getVolatilityIndices() - Method in interface com.opengamma.strata.measure.index.IborFutureOptionMarketDataLookup

Gets the set of indices that volatilities are provided for.

getVolatilityIndices() - Method in interface com.opengamma.strata.measure.index.OvernightFutureOptionMarketDataLookup

Gets the set of indices that volatilities are provided for.

getVolatilityIndices() - Method in interface com.opengamma.strata.measure.swaption.SwaptionMarketDataLookup

Gets the set of indices that volatilities are provided for.

getVolatilitySecurityIds() - Method in interface com.opengamma.strata.measure.bond.BondFutureOptionMarketDataLookup

Gets the set of security IDs that volatilities are provided for.

getZoneId() - Method in class com.opengamma.strata.measure.ValuationZoneTimeDefinition

Gets the zone ID.

H

hashCode() - Method in class com.opengamma.strata.measure.calc.TargetTypeCalculationParameter

hashCode() - Method in class com.opengamma.strata.measure.calc.TradeCounterpartyCalculationParameter

hashCode() - Method in class com.opengamma.strata.measure.cms.CmsSabrExtrapolationParams

hashCode() - Method in class com.opengamma.strata.measure.curve.RootFinderConfig

hashCode() - Method in class com.opengamma.strata.measure.fx.FxRateConfig

hashCode() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification

hashCode() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification

hashCode() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition

hashCode() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

hashCode() - Method in class com.opengamma.strata.measure.ValuationZoneTimeDefinition

I

IborCapFloorMarketData - Interface in com.opengamma.strata.measure.capfloor

Market data for Ibor cap/floor.

IborCapFloorMarketDataLookup - Interface in com.opengamma.strata.measure.capfloor

The lookup that provides access to cap/floor volatilities in market data.

IborCapFloorScenarioMarketData - Interface in com.opengamma.strata.measure.capfloor

Market data for cap/floors, used for calculation across multiple scenarios.

IborCapFloorTradeCalculationFunction - Class in com.opengamma.strata.measure.capfloor

Perform calculations on a single IborCapFloorTrade for each of a set of scenarios.

IborCapFloorTradeCalculationFunction() - Constructor for class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculationFunction

Creates an instance.

IborCapFloorTradeCalculations - Class in com.opengamma.strata.measure.capfloor

Calculates pricing and risk measures for cap/floor trades.

IborCapFloorTradeCalculations(VolatilityIborCapFloorTradePricer) - Constructor for class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculations

Creates an instance.

IborFutureOptionMarketData - Interface in com.opengamma.strata.measure.index

Market data for Ibor future options.

IborFutureOptionMarketDataLookup - Interface in com.opengamma.strata.measure.index

The lookup that provides access to Ibor future option volatilities in market data.

IborFutureOptionScenarioMarketData - Interface in com.opengamma.strata.measure.index

Market data for Ibor future options, used for calculation across multiple scenarios.

IborFutureOptionTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<IborFutureOption> & Resolvable<ResolvedIborFutureOptionTrade>> - Class in com.opengamma.strata.measure.index

Perform calculations on a single IborFutureOptionTrade or IborFutureOptionPosition for each of a set of scenarios.

IborFutureOptionTradeCalculations - Class in com.opengamma.strata.measure.index

Calculates pricing and risk measures for trades in an option contract based on an Ibor index future.

IborFutureOptionTradeCalculations(NormalIborFutureOptionMarginedTradePricer) - Constructor for class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculations

Creates an instance.

IborFutureTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<IborFuture> & Resolvable<ResolvedIborFutureTrade>> - Class in com.opengamma.strata.measure.index

Perform calculations on a single IborFutureTrade or IborFuturePosition for each of a set of scenarios.

IborFutureTradeCalculations - Class in com.opengamma.strata.measure.index

Calculates pricing and risk measures for trades in a futures contract based on an Ibor index.

IborFutureTradeCalculations(DiscountingIborFutureTradePricer) - Constructor for class com.opengamma.strata.measure.index.IborFutureTradeCalculations

Creates an instance.

identifier(T) - Method in class com.opengamma.strata.measure.bond.BillTradeCalculationFunction

identifier(T) - Method in class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculationFunction

identifier(T) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculationFunction

identifier(T) - Method in class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculationFunction

identifier(T) - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculationFunction

identifier(IborCapFloorTrade) - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculationFunction

identifier(CmsTrade) - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculationFunction

identifier(CdsIndexTrade) - Method in class com.opengamma.strata.measure.credit.CdsIndexTradeCalculationFunction

identifier(CdsTrade) - Method in class com.opengamma.strata.measure.credit.CdsTradeCalculationFunction

identifier(TermDepositTrade) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculationFunction

identifier(T) - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculationFunction

identifier(FraTrade) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculationFunction

identifier(FxNdfTrade) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculationFunction

identifier(FxSingleTrade) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculationFunction

identifier(FxSwapTrade) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculationFunction

identifier(FxSingleBarrierOptionTrade) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculationFunction

identifier(FxVanillaOptionTrade) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculationFunction

identifier(T) - Method in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculationFunction

identifier(T) - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculationFunction

identifier(T) - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculationFunction

identifier(BulletPaymentTrade) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculationFunction

identifier(GenericSecurityPosition) - Method in class com.opengamma.strata.measure.security.GenericSecurityPositionCalculationFunction

identifier(GenericSecurityTrade) - Method in class com.opengamma.strata.measure.security.GenericSecurityTradeCalculationFunction

identifier(SecurityPosition) - Method in class com.opengamma.strata.measure.security.SecurityPositionCalculationFunction

identifier(SecurityTrade) - Method in class com.opengamma.strata.measure.security.SecurityTradeCalculationFunction

identifier(SwapTrade) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculationFunction

identifier(SwaptionTrade) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculationFunction

IR01_CALIBRATED_BUCKETED - Static variable in class com.opengamma.strata.measure.credit.CreditMeasures

Measure representing the PV change under a series of 1 bps shifts in calibrated curve at each curve node.

IR01_CALIBRATED_PARALLEL - Static variable in class com.opengamma.strata.measure.credit.CreditMeasures

Measure representing the PV change under a 1 bps shift in calibrated curve.

IR01_MARKET_QUOTE_BUCKETED - Static variable in class com.opengamma.strata.measure.credit.CreditMeasures

Measure representing the PV change under a series of 1 bps shifts in market quotes at each curve node.

IR01_MARKET_QUOTE_PARALLEL - Static variable in class com.opengamma.strata.measure.credit.CreditMeasures

Measure representing the PV change under a 1 bps shift to market quotes.

J

JUMP_TO_DEFAULT - Static variable in class com.opengamma.strata.measure.credit.CreditMeasures

Measure representing the PV change in case of immediate default.

L

label(String) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Builder

Sets the label to use for the node.

label() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Meta

The meta-property for the label property.

LEG_INITIAL_NOTIONAL - Static variable in class com.opengamma.strata.measure.Measures

Measure representing the initial notional amount of each leg of the calculation target.

LEG_PRESENT_VALUE - Static variable in class com.opengamma.strata.measure.Measures

Measure representing the present value of each leg of the calculation target.

LegalEntityDiscountingMarketData - Interface in com.opengamma.strata.measure.bond

Market data for products based on repo and issuer curves.

LegalEntityDiscountingMarketDataLookup - Interface in com.opengamma.strata.measure.bond

The lookup that provides access to legal entity discounting in market data.

LegalEntityDiscountingScenarioMarketData - Interface in com.opengamma.strata.measure.bond

Market data for products based on repo and issuer curves, used for calculation across multiple scenarios.

legInitialNotional(ResolvedSwapTrade) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates the initial notional of each leg.

legPresentValue(ResolvedSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates the present value of each leg across one or more scenarios.

legPresentValue(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates the present value of each leg for a single set of market data.

localTimes() - Method in class com.opengamma.strata.measure.ValuationZoneTimeDefinition.Meta

The meta-property for the localTimes property.

M

marketDataFactory() - Static method in class com.opengamma.strata.measure.StandardComponents

Returns a market data factory containing the standard set of market data functions.

marketDataFactory(ObservableDataProvider) - Static method in class com.opengamma.strata.measure.StandardComponents

Returns a market data factory containing the standard set of market data functions.

marketDataFunctions() - Static method in class com.opengamma.strata.measure.StandardComponents

Returns the standard market data functions used to build market data values from other market data.

marketDataView(ScenarioMarketData) - Method in interface com.opengamma.strata.measure.bond.BondFutureOptionMarketDataLookup

Obtains a filtered view of the complete set of market data.

marketDataView(MarketData) - Method in interface com.opengamma.strata.measure.bond.BondFutureOptionMarketDataLookup

Obtains a filtered view of the complete set of market data.

marketDataView(ScenarioMarketData) - Method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketDataLookup

Obtains a filtered view of the complete set of market data.

marketDataView(MarketData) - Method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketDataLookup

Obtains a filtered view of the complete set of market data.

marketDataView(ScenarioMarketData) - Method in interface com.opengamma.strata.measure.capfloor.IborCapFloorMarketDataLookup

Obtains a filtered view of the complete set of market data.

marketDataView(MarketData) - Method in interface com.opengamma.strata.measure.capfloor.IborCapFloorMarketDataLookup

Obtains a filtered view of the complete set of market data.

marketDataView(ScenarioMarketData) - Method in interface com.opengamma.strata.measure.credit.CreditRatesMarketDataLookup

Obtains a filtered view of the complete set of market data.

marketDataView(MarketData) - Method in interface com.opengamma.strata.measure.credit.CreditRatesMarketDataLookup

Obtains a filtered view of the complete set of market data.

marketDataView(ScenarioMarketData) - Method in interface com.opengamma.strata.measure.fxopt.FxOptionMarketDataLookup

Obtains a filtered view of the complete set of market data.

marketDataView(MarketData) - Method in interface com.opengamma.strata.measure.fxopt.FxOptionMarketDataLookup

Obtains a filtered view of the complete set of market data.

marketDataView(ScenarioMarketData) - Method in interface com.opengamma.strata.measure.index.IborFutureOptionMarketDataLookup

Obtains a filtered view of the complete set of market data.

marketDataView(MarketData) - Method in interface com.opengamma.strata.measure.index.IborFutureOptionMarketDataLookup

Obtains a filtered view of the complete set of market data.

marketDataView(ScenarioMarketData) - Method in interface com.opengamma.strata.measure.index.OvernightFutureOptionMarketDataLookup

Obtains a filtered view of the complete set of market data.

marketDataView(MarketData) - Method in interface com.opengamma.strata.measure.index.OvernightFutureOptionMarketDataLookup

Obtains a filtered view of the complete set of market data.

marketDataView(ScenarioMarketData) - Method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Obtains a filtered view of the complete set of market data.

marketDataView(MarketData) - Method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Obtains a filtered view of the complete set of market data.

marketDataView(ScenarioMarketData) - Method in interface com.opengamma.strata.measure.swaption.SwaptionMarketDataLookup

Obtains a filtered view of the complete set of market data.

marketDataView(MarketData) - Method in interface com.opengamma.strata.measure.swaption.SwaptionMarketDataLookup

Obtains a filtered view of the complete set of market data.

maximumSteps(int) - Method in class com.opengamma.strata.measure.curve.RootFinderConfig.Builder

Sets the maximum number of steps for the root finder.

maximumSteps() - Method in class com.opengamma.strata.measure.curve.RootFinderConfig.Meta

The meta-property for the maximumSteps property.

Measures - Class in com.opengamma.strata.measure

The standard set of measures that can be calculated by Strata.

meta() - Static method in class com.opengamma.strata.measure.calc.TargetTypeCalculationParameter

The meta-bean for TargetTypeCalculationParameter.

meta() - Static method in class com.opengamma.strata.measure.calc.TradeCounterpartyCalculationParameter

The meta-bean for TradeCounterpartyCalculationParameter.

meta() - Static method in class com.opengamma.strata.measure.cms.CmsSabrExtrapolationParams

The meta-bean for CmsSabrExtrapolationParams.

meta() - Static method in class com.opengamma.strata.measure.curve.RootFinderConfig

The meta-bean for RootFinderConfig.

meta() - Static method in class com.opengamma.strata.measure.fx.FxRateConfig

The meta-bean for FxRateConfig.

meta() - Static method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification

The meta-bean for BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.

meta() - Static method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification

The meta-bean for BlackFxOptionSmileVolatilitiesSpecification.

meta() - Static method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition

The meta-bean for FxOptionVolatilitiesDefinition.

meta() - Static method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

The meta-bean for FxOptionVolatilitiesNode.

meta() - Static method in class com.opengamma.strata.measure.ValuationZoneTimeDefinition

The meta-bean for ValuationZoneTimeDefinition.

metaBean() - Method in class com.opengamma.strata.measure.calc.TargetTypeCalculationParameter

metaBean() - Method in class com.opengamma.strata.measure.calc.TradeCounterpartyCalculationParameter

metaBean() - Method in class com.opengamma.strata.measure.cms.CmsSabrExtrapolationParams

metaBean() - Method in class com.opengamma.strata.measure.curve.RootFinderConfig

metaBean() - Method in class com.opengamma.strata.measure.fx.FxRateConfig

metaBean() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification

metaBean() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification

metaBean() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition

metaBean() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

metaBean() - Method in class com.opengamma.strata.measure.ValuationZoneTimeDefinition

metadata(ZonedDateTime, DayCount, ReferenceData) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

Returns metadata for the node.

metaPropertyGet(String) - Method in class com.opengamma.strata.measure.curve.RootFinderConfig.Meta

metaPropertyGet(String) - Method in class com.opengamma.strata.measure.fx.FxRateConfig.Meta

metaPropertyGet(String) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Meta

metaPropertyGet(String) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Meta

metaPropertyGet(String) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition.Meta

metaPropertyGet(String) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Meta

metaPropertyGet(String) - Method in class com.opengamma.strata.measure.ValuationZoneTimeDefinition.Meta

metaPropertyMap() - Method in class com.opengamma.strata.measure.curve.RootFinderConfig.Meta

metaPropertyMap() - Method in class com.opengamma.strata.measure.fx.FxRateConfig.Meta

metaPropertyMap() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Meta

metaPropertyMap() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Meta

metaPropertyMap() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition.Meta

metaPropertyMap() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Meta

metaPropertyMap() - Method in class com.opengamma.strata.measure.ValuationZoneTimeDefinition.Meta

N

name(FxOptionVolatilitiesName) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Builder

Sets the name.

name() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Meta

The meta-property for the name property.

name(FxOptionVolatilitiesName) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Builder

Sets the name of the volatilities.

name() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Meta

The meta-property for the name property.

naturalCurrency(T, ReferenceData) - Method in class com.opengamma.strata.measure.bond.BillTradeCalculationFunction

naturalCurrency(T, ReferenceData) - Method in class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculationFunction

naturalCurrency(T, ReferenceData) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculationFunction

naturalCurrency(T, ReferenceData) - Method in class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculationFunction

naturalCurrency(T, ReferenceData) - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculationFunction

naturalCurrency(IborCapFloorTrade, ReferenceData) - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculationFunction

naturalCurrency(CmsTrade, ReferenceData) - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculationFunction

naturalCurrency(CdsIndexTrade, ReferenceData) - Method in class com.opengamma.strata.measure.credit.CdsIndexTradeCalculationFunction

naturalCurrency(CdsTrade, ReferenceData) - Method in class com.opengamma.strata.measure.credit.CdsTradeCalculationFunction

naturalCurrency(TermDepositTrade, ReferenceData) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculationFunction

naturalCurrency(T, ReferenceData) - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculationFunction

naturalCurrency(FraTrade, ReferenceData) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculationFunction

naturalCurrency(FxNdfTrade, ReferenceData) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculationFunction

naturalCurrency(FxSingleTrade, ReferenceData) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculationFunction

naturalCurrency(FxSwapTrade, ReferenceData) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculationFunction

naturalCurrency(FxSingleBarrierOptionTrade, ReferenceData) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculationFunction

naturalCurrency(FxVanillaOptionTrade, ReferenceData) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculationFunction

naturalCurrency(T, ReferenceData) - Method in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculationFunction

naturalCurrency(T, ReferenceData) - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculationFunction

naturalCurrency(T, ReferenceData) - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculationFunction

naturalCurrency(BulletPaymentTrade, ReferenceData) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculationFunction

naturalCurrency(GenericSecurityPosition, ReferenceData) - Method in class com.opengamma.strata.measure.security.GenericSecurityPositionCalculationFunction

naturalCurrency(GenericSecurityTrade, ReferenceData) - Method in class com.opengamma.strata.measure.security.GenericSecurityTradeCalculationFunction

naturalCurrency(SecurityPosition, ReferenceData) - Method in class com.opengamma.strata.measure.security.SecurityPositionCalculationFunction

naturalCurrency(SecurityTrade, ReferenceData) - Method in class com.opengamma.strata.measure.security.SecurityTradeCalculationFunction

naturalCurrency(SwapTrade, ReferenceData) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculationFunction

naturalCurrency(SwaptionTrade, ReferenceData) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculationFunction

nodes(List<FxOptionVolatilitiesNode>) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Builder

Sets the nodes.

nodes(FxOptionVolatilitiesNode...) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Builder

Sets the nodes property in the builder from an array of objects.

nodes() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Meta

The meta-property for the nodes property.

nodes(List<FxOptionVolatilitiesNode>) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Builder

Sets the nodes in the FX option volatilities.

nodes(FxOptionVolatilitiesNode...) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Builder

Sets the nodes property in the builder from an array of objects.

nodes() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Meta

The meta-property for the nodes property.

O

observableRates(Map<CurrencyPair, QuoteId>) - Method in class com.opengamma.strata.measure.fx.FxRateConfig.Builder

Sets the keys identifying FX rates which are observable in the market.

observableRates() - Method in class com.opengamma.strata.measure.fx.FxRateConfig.Meta

The meta-property for the observableRates property.

of(SecurityId, BondFutureVolatilitiesId) - Static method in interface com.opengamma.strata.measure.bond.BondFutureOptionMarketDataLookup

Obtains an instance based on a single mapping from security ID to volatility identifier.

of(Map<SecurityId, BondFutureVolatilitiesId>) - Static method in interface com.opengamma.strata.measure.bond.BondFutureOptionMarketDataLookup

Obtains an instance based on a map of volatility identifiers.

of(Map<SecurityId, RepoGroup>, Map<LegalEntityId, RepoGroup>, Map<Pair<RepoGroup, Currency>, CurveId>, Map<LegalEntityId, LegalEntityGroup>, Map<Pair<LegalEntityGroup, Currency>, CurveId>) - Static method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketDataLookup

Obtains an instance based on a maps for repo and issuer curves.

of(Map<SecurityId, RepoGroup>, Map<LegalEntityId, RepoGroup>, Map<Pair<RepoGroup, Currency>, CurveId>, Map<LegalEntityId, LegalEntityGroup>, Map<Pair<LegalEntityGroup, Currency>, CurveId>, ObservableSource) - Static method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketDataLookup

Obtains an instance based on a maps for repo and issuer curves.

of(Map<LegalEntityId, RepoGroup>, Map<Pair<RepoGroup, Currency>, CurveId>, Map<LegalEntityId, LegalEntityGroup>, Map<Pair<LegalEntityGroup, Currency>, CurveId>) - Static method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketDataLookup

Obtains an instance based on a maps for repo and issuer curves.

of(Map<LegalEntityId, RepoGroup>, Map<Pair<RepoGroup, Currency>, CurveId>, Map<LegalEntityId, LegalEntityGroup>, Map<Pair<LegalEntityGroup, Currency>, CurveId>, ObservableSource) - Static method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketDataLookup

Obtains an instance based on a maps for repo and issuer curves.

of(LegalEntityCurveGroup, Map<SecurityId, RepoGroup>, Map<LegalEntityId, RepoGroup>, Map<LegalEntityId, LegalEntityGroup>) - Static method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketDataLookup

Obtains an instance based on a curve group and group maps.

of(LegalEntityCurveGroup, Map<LegalEntityId, RepoGroup>, Map<LegalEntityId, LegalEntityGroup>) - Static method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketDataLookup

Obtains an instance based on a curve group and group maps.

of(Map<LegalEntityId, RepoGroup>, Map<Pair<RepoGroup, Currency>, CurveId>) - Static method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketDataLookup

Obtains an instance based on maps for repo curves.

of(Map<LegalEntityId, RepoGroup>, Map<Pair<RepoGroup, Currency>, CurveId>, ObservableSource) - Static method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketDataLookup

Obtains an instance based on maps for repo curves.

of(LegalEntityCurveGroup, Map<LegalEntityId, RepoGroup>) - Static method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketDataLookup

Obtains an instance based on a curve group and group map.

of(Map<Class<?>, CalculationParameter>, CalculationParameter) - Static method in class com.opengamma.strata.measure.calc.TargetTypeCalculationParameter

Obtains an instance from the specified parameters.

of(Map<StandardId, CalculationParameter>, CalculationParameter) - Static method in class com.opengamma.strata.measure.calc.TradeCounterpartyCalculationParameter

Obtains an instance from the specified parameters.

of(IborIndex, IborCapletFloorletVolatilitiesId) - Static method in interface com.opengamma.strata.measure.capfloor.IborCapFloorMarketDataLookup

Obtains an instance based on a single mapping from index to volatility identifier.

of(Map<IborIndex, IborCapletFloorletVolatilitiesId>) - Static method in interface com.opengamma.strata.measure.capfloor.IborCapFloorMarketDataLookup

Obtains an instance based on a map of volatility identifiers.

of(double, double) - Static method in class com.opengamma.strata.measure.cms.CmsSabrExtrapolationParams

Obtains an instance based on a lookup and market data.

of(CmsSabrExtrapolationParams) - Static method in class com.opengamma.strata.measure.cms.CmsTradeCalculations

Obtains an instance specifying the SABR extrapolation parameters.

of(Map<Pair<StandardId, Currency>, CurveId>, Map<Currency, CurveId>, Map<StandardId, CurveId>) - Static method in interface com.opengamma.strata.measure.credit.CreditRatesMarketDataLookup

Obtains an instance based on a maps for credit, discount and recovery rate curves.

of(Map<Pair<StandardId, Currency>, CurveId>, Map<Currency, CurveId>, Map<StandardId, CurveId>, ObservableSource) - Static method in interface com.opengamma.strata.measure.credit.CreditRatesMarketDataLookup

Obtains an instance based on a maps for credit, discount and recovery rate curves.

of(Map<CurrencyPair, QuoteId>) - Static method in class com.opengamma.strata.measure.fx.FxRateConfig

Returns FX rate configuration built using the data in the map.

of(CurrencyPair, FxOptionVolatilitiesId) - Static method in interface com.opengamma.strata.measure.fxopt.FxOptionMarketDataLookup

Obtains an instance based on a single mapping from currency pair to volatility identifier.

of(Map<CurrencyPair, FxOptionVolatilitiesId>) - Static method in interface com.opengamma.strata.measure.fxopt.FxOptionMarketDataLookup

Obtains an instance based on a map of volatility identifiers.

of(FxOptionVolatilitiesSpecification) - Static method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition

Obtains an instance.

of(CurrencyPair, DaysAdjustment, BusinessDayAdjustment, ValueType, QuoteId, Tenor, Strike) - Static method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

Creates an instance.

of(String) - Static method in enum com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionMethod

Obtains an instance from the specified name.

of(String) - Static method in enum com.opengamma.strata.measure.fxopt.FxVanillaOptionMethod

Obtains an instance from the specified name.

of(IborIndex, IborFutureOptionVolatilitiesId) - Static method in interface com.opengamma.strata.measure.index.IborFutureOptionMarketDataLookup

Obtains an instance based on a single mapping from index to volatility identifier.

of(Map<IborIndex, IborFutureOptionVolatilitiesId>) - Static method in interface com.opengamma.strata.measure.index.IborFutureOptionMarketDataLookup

Obtains an instance based on a map of volatility identifiers.

of(OvernightIndex, OvernightFutureOptionVolatilitiesId) - Static method in interface com.opengamma.strata.measure.index.OvernightFutureOptionMarketDataLookup

Obtains an instance based on a single mapping from index to volatility identifier.

of(Map<OvernightIndex, OvernightFutureOptionVolatilitiesId>) - Static method in interface com.opengamma.strata.measure.index.OvernightFutureOptionMarketDataLookup

Obtains an instance based on a map of volatility identifiers.

of(Map<Currency, CurveId>, Map<Index, CurveId>) - Static method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Obtains an instance based on a map of discount and forward curve identifiers.

of(Map<Currency, CurveId>, Map<Index, CurveId>, ObservableSource, FxRateLookup) - Static method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Obtains an instance based on a map of discount and forward curve identifiers, specifying the source of FX rates.

of(CurveGroupName, Map<Currency, CurveName>, Map<? extends Index, CurveName>) - Static method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Obtains an instance based on a group of discount and forward curves.

of(RatesCurveGroup) - Static method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Obtains an instance based on a curve group.

of(RatesCurveGroupDefinition) - Static method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Obtains an instance based on a curve group definition.

of(RatesCurveGroupDefinition, ObservableSource, FxRateLookup) - Static method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Obtains an instance based on a curve group definition.

of(RateIndex, SwaptionVolatilitiesId) - Static method in interface com.opengamma.strata.measure.swaption.SwaptionMarketDataLookup

Obtains an instance based on a single mapping from index to volatility identifier.

of(Map<RateIndex, SwaptionVolatilitiesId>) - Static method in interface com.opengamma.strata.measure.swaption.SwaptionMarketDataLookup

Obtains an instance based on a map of volatility identifiers.

of(LocalTime, ZoneId, LocalTime...) - Static method in class com.opengamma.strata.measure.ValuationZoneTimeDefinition

Obtains an instance.

OvernightFutureOptionMarketData - Interface in com.opengamma.strata.measure.index

Market data for Overnight future options.

OvernightFutureOptionMarketDataLookup - Interface in com.opengamma.strata.measure.index

The lookup that provides access to Overnight future option volatilities in market data.

OvernightFutureOptionScenarioMarketData - Interface in com.opengamma.strata.measure.index

Market data for Overnight future options, used for calculation across multiple scenarios.

OvernightFutureTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<OvernightFuture> & Resolvable<ResolvedOvernightFutureTrade>> - Class in com.opengamma.strata.measure.index

Perform calculations on a single OvernightFutureTrade for each of a set of scenarios.

OvernightFutureTradeCalculationFunction(Class<T>) - Constructor for class com.opengamma.strata.measure.index.OvernightFutureTradeCalculationFunction

Creates an instance.

OvernightFutureTradeCalculations - Class in com.opengamma.strata.measure.index

Calculates pricing and risk measures for trades in a futures contract based on an Overnight rate index.

OvernightFutureTradeCalculations(DiscountingOvernightFutureTradePricer) - Constructor for class com.opengamma.strata.measure.index.OvernightFutureTradeCalculations

Creates an instance.

P

PAR_RATE - Static variable in class com.opengamma.strata.measure.Measures

Measure representing the par rate of the calculation target.

PAR_SPREAD - Static variable in class com.opengamma.strata.measure.Measures

Measure representing the par spread of the calculation target.

parRate(ResolvedTermDepositTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Calculates par rate across one or more scenarios.

parRate(ResolvedTermDepositTrade, RatesProvider) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Calculates par rate for a single set of market data.

parRate(ResolvedFraTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates par rate across one or more scenarios.

parRate(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates par rate for a single set of market data.

parRate(ResolvedSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates par rate across one or more scenarios.

parRate(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates par rate for a single set of market data.

parSpread(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculations

Calculates par spread across one or more scenarios.

parSpread(ResolvedBondFutureTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculations

Calculates par spread for a single set of market data.

parSpread(ResolvedTermDepositTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Calculates par spread across one or more scenarios.

parSpread(ResolvedTermDepositTrade, RatesProvider) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Calculates par spread for a single set of market data.

parSpread(ResolvedFraTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates par spread across one or more scenarios.

parSpread(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates par spread for a single set of market data.

parSpread(ResolvedFxSingleTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Calculates par spread across one or more scenarios.

parSpread(ResolvedFxSingleTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Calculates par spread for a single set of market data.

parSpread(ResolvedFxSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculations

Calculates par spread across one or more scenarios.

parSpread(ResolvedFxSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculations

Calculates par spread for a single set of market data.

parSpread(ResolvedIborFutureTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculations

Calculates par spread across one or more scenarios.

parSpread(ResolvedIborFutureTrade, RatesProvider) - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculations

Calculates par spread for a single set of market data.

parSpread(ResolvedOvernightFutureTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculations

Calculates par spread across one or more scenarios.

parSpread(ResolvedOvernightFutureTrade, RatesProvider) - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculations

Calculates par spread for a single set of market data.

parSpread(ResolvedSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates par spread across one or more scenarios.

parSpread(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates par spread for a single set of market data.

POSITION - Static variable in class com.opengamma.strata.measure.bond.BillTradeCalculationFunction

The position instance

POSITION - Static variable in class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculationFunction

The position instance

POSITION - Static variable in class com.opengamma.strata.measure.bond.BondFutureTradeCalculationFunction

The position instance

POSITION - Static variable in class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculationFunction

The position instance

POSITION - Static variable in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculationFunction

The position instance

POSITION - Static variable in class com.opengamma.strata.measure.dsf.DsfTradeCalculationFunction

The position instance

POSITION - Static variable in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculationFunction

The position instance

POSITION - Static variable in class com.opengamma.strata.measure.index.IborFutureTradeCalculationFunction

The position instance

POSITION - Static variable in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculationFunction

The position instance

PRESENT_VALUE - Static variable in class com.opengamma.strata.measure.Measures

Measure representing the present value of the calculation target.

presentValue(ResolvedBillTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BillTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedBillTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.BillTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedBondFutureOptionTrade, LegalEntityDiscountingMarketDataLookup, BondFutureOptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedBondFutureOptionTrade, LegalEntityDiscountingProvider, BondFutureVolatilities) - Method in class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedBondFutureTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedCapitalIndexedBondTrade, RatesMarketDataLookup, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedCapitalIndexedBondTrade, RatesProvider, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedFixedCouponBondTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedFixedCouponBondTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedIborCapFloorTrade, RatesMarketDataLookup, IborCapFloorMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedIborCapFloorTrade, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedCmsTrade, RatesMarketDataLookup, SwaptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedCmsTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedTermDepositTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedTermDepositTrade, RatesProvider) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedDsfTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedDsfTrade, RatesProvider) - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedFraTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedFxNdfTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedFxNdfTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedFxSingleTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedFxSingleTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedFxSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedFxSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedFxSingleBarrierOptionTrade, RatesMarketDataLookup, FxOptionMarketDataLookup, ScenarioMarketData, FxSingleBarrierOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedFxSingleBarrierOptionTrade, RatesProvider, FxOptionVolatilities, FxSingleBarrierOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedFxVanillaOptionTrade, RatesMarketDataLookup, FxOptionMarketDataLookup, ScenarioMarketData, FxVanillaOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedFxVanillaOptionTrade, RatesProvider, FxOptionVolatilities, FxVanillaOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedIborFutureOptionTrade, RatesMarketDataLookup, IborFutureOptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedIborFutureOptionTrade, RatesProvider, IborFutureOptionVolatilities) - Method in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedIborFutureTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedIborFutureTrade, RatesProvider) - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedOvernightFutureTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedOvernightFutureTrade, RatesProvider) - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedBulletPaymentTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedBulletPaymentTrade, RatesProvider) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates present value for a single set of market data.

presentValue(ResolvedSwaptionTrade, RatesMarketDataLookup, SwaptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

Calculates present value across one or more scenarios.

presentValue(ResolvedSwaptionTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

Calculates present value for a single set of market data.

PRINCIPAL - Static variable in class com.opengamma.strata.measure.credit.CreditMeasures

Measure representing the principal.

propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.measure.curve.RootFinderConfig.Meta

propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.measure.fx.FxRateConfig.Meta

propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Meta

propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Meta

propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition.Meta

propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Meta

propertyGet(Bean, String, boolean) - Method in class com.opengamma.strata.measure.ValuationZoneTimeDefinition.Meta

propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.measure.curve.RootFinderConfig.Meta

propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.measure.fx.FxRateConfig.Meta

propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Meta

propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Meta

propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition.Meta

propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Meta

propertySet(Bean, String, Object, boolean) - Method in class com.opengamma.strata.measure.ValuationZoneTimeDefinition.Meta

PV01_CALIBRATED_BUCKETED - Static variable in class com.opengamma.strata.measure.Measures

Measure representing the calibrated bucketed PV01 on the calculation target.

PV01_CALIBRATED_SUM - Static variable in class com.opengamma.strata.measure.Measures

Measure representing the calibrated sum PV01 on the calculation target.

PV01_MARKET_QUOTE_BUCKETED - Static variable in class com.opengamma.strata.measure.Measures

Measure representing the market quote bucketed PV01 on the calculation target.

PV01_MARKET_QUOTE_SUM - Static variable in class com.opengamma.strata.measure.Measures

Measure representing the market quote sum PV01 on the calculation target.

PV01_SEMI_PARALLEL_GAMMA_BUCKETED - Static variable in class com.opengamma.strata.measure.AdvancedMeasures

Measure representing the semi-parallel bucketed gamma PV01 of the calculation target.

PV01_SINGLE_NODE_GAMMA_BUCKETED - Static variable in class com.opengamma.strata.measure.AdvancedMeasures

Measure representing the single-node bucketed gamma PV01 of the calculation target.

pv01CalibratedBucketed(ResolvedBillTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BillTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedBucketed(ResolvedBillTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.BillTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedBucketed(ResolvedBondFutureOptionTrade, LegalEntityDiscountingMarketDataLookup, BondFutureOptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedBucketed(ResolvedBondFutureOptionTrade, LegalEntityDiscountingProvider, BondFutureVolatilities) - Method in class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedBucketed(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedBucketed(ResolvedBondFutureTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedBucketed(ResolvedCapitalIndexedBondTrade, RatesMarketDataLookup, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedBucketed(ResolvedCapitalIndexedBondTrade, RatesProvider, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedBucketed(ResolvedFixedCouponBondTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedBucketed(ResolvedFixedCouponBondTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedBucketed(ResolvedTermDepositTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedBucketed(ResolvedTermDepositTrade, RatesProvider) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedBucketed(ResolvedDsfTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedBucketed(ResolvedDsfTrade, RatesProvider) - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedBucketed(ResolvedFraTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedBucketed(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedBucketed(ResolvedFxNdfTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedBucketed(ResolvedFxNdfTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedBucketed(ResolvedFxSingleTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedBucketed(ResolvedFxSingleTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedBucketed(ResolvedFxSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedBucketed(ResolvedFxSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedBucketed(ResolvedIborFutureOptionTrade, RatesMarketDataLookup, IborFutureOptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedBucketed(ResolvedIborFutureOptionTrade, RatesProvider, IborFutureOptionVolatilities) - Method in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedBucketed(ResolvedIborFutureTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedBucketed(ResolvedIborFutureTrade, RatesProvider) - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedBucketed(ResolvedOvernightFutureTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedBucketed(ResolvedOvernightFutureTrade, RatesProvider) - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedBucketed(ResolvedBulletPaymentTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedBucketed(ResolvedBulletPaymentTrade, RatesProvider) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedBucketed(ResolvedSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedBucketed(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedSum(ResolvedBillTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BillTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedSum(ResolvedBillTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.BillTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedSum(ResolvedBondFutureOptionTrade, LegalEntityDiscountingMarketDataLookup, BondFutureOptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedSum(ResolvedBondFutureOptionTrade, LegalEntityDiscountingProvider, BondFutureVolatilities) - Method in class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedSum(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedSum(ResolvedBondFutureTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedSum(ResolvedCapitalIndexedBondTrade, RatesMarketDataLookup, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedSum(ResolvedCapitalIndexedBondTrade, RatesProvider, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedSum(ResolvedFixedCouponBondTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedSum(ResolvedFixedCouponBondTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedSum(ResolvedTermDepositTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedSum(ResolvedTermDepositTrade, RatesProvider) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedSum(ResolvedDsfTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedSum(ResolvedDsfTrade, RatesProvider) - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedSum(ResolvedFraTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedSum(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedSum(ResolvedFxNdfTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedSum(ResolvedFxNdfTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedSum(ResolvedFxSingleTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedSum(ResolvedFxSingleTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedSum(ResolvedFxSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedSum(ResolvedFxSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedSum(ResolvedIborFutureOptionTrade, RatesMarketDataLookup, IborFutureOptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedSum(ResolvedIborFutureOptionTrade, RatesProvider, IborFutureOptionVolatilities) - Method in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedSum(ResolvedIborFutureTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedSum(ResolvedIborFutureTrade, RatesProvider) - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedSum(ResolvedOvernightFutureTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedSum(ResolvedOvernightFutureTrade, RatesProvider) - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedSum(ResolvedBulletPaymentTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedSum(ResolvedBulletPaymentTrade, RatesProvider) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01CalibratedSum(ResolvedSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01CalibratedSum(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteBucketed(ResolvedBillTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BillTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteBucketed(ResolvedBillTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.BillTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteBucketed(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteBucketed(ResolvedBondFutureTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteBucketed(ResolvedFixedCouponBondTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteBucketed(ResolvedFixedCouponBondTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteBucketed(ResolvedTermDepositTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteBucketed(ResolvedTermDepositTrade, RatesProvider) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteBucketed(ResolvedDsfTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteBucketed(ResolvedDsfTrade, RatesProvider) - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteBucketed(ResolvedFraTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteBucketed(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteBucketed(ResolvedFxNdfTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteBucketed(ResolvedFxNdfTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteBucketed(ResolvedFxSingleTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteBucketed(ResolvedFxSingleTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteBucketed(ResolvedFxSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteBucketed(ResolvedFxSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteBucketed(ResolvedIborFutureOptionTrade, RatesMarketDataLookup, IborFutureOptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteBucketed(ResolvedIborFutureOptionTrade, RatesProvider, IborFutureOptionVolatilities) - Method in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteBucketed(ResolvedIborFutureTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteBucketed(ResolvedIborFutureTrade, RatesProvider) - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteBucketed(ResolvedOvernightFutureTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteBucketed(ResolvedOvernightFutureTrade, RatesProvider) - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteBucketed(ResolvedBulletPaymentTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteBucketed(ResolvedBulletPaymentTrade, RatesProvider) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteBucketed(ResolvedSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteBucketed(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteSum(ResolvedBillTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BillTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteSum(ResolvedBillTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.BillTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteSum(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteSum(ResolvedBondFutureTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteSum(ResolvedFixedCouponBondTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteSum(ResolvedFixedCouponBondTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteSum(ResolvedTermDepositTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteSum(ResolvedTermDepositTrade, RatesProvider) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteSum(ResolvedDsfTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteSum(ResolvedDsfTrade, RatesProvider) - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteSum(ResolvedFraTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteSum(ResolvedFraTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteSum(ResolvedFxNdfTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteSum(ResolvedFxNdfTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteSum(ResolvedFxSingleTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteSum(ResolvedFxSingleTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteSum(ResolvedFxSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteSum(ResolvedFxSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteSum(ResolvedIborFutureOptionTrade, RatesMarketDataLookup, IborFutureOptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteSum(ResolvedIborFutureOptionTrade, RatesProvider, IborFutureOptionVolatilities) - Method in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteSum(ResolvedIborFutureTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteSum(ResolvedIborFutureTrade, RatesProvider) - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteSum(ResolvedOvernightFutureTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteSum(ResolvedOvernightFutureTrade, RatesProvider) - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteSum(ResolvedBulletPaymentTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteSum(ResolvedBulletPaymentTrade, RatesProvider) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01MarketQuoteSum(ResolvedSwapTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01MarketQuoteSum(ResolvedSwapTrade, RatesProvider) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesCalibratedBucketed(ResolvedIborCapFloorTrade, RatesMarketDataLookup, IborCapFloorMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesCalibratedBucketed(ResolvedIborCapFloorTrade, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesCalibratedBucketed(ResolvedCmsTrade, RatesMarketDataLookup, SwaptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesCalibratedBucketed(ResolvedCmsTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesCalibratedBucketed(ResolvedFxSingleBarrierOptionTrade, RatesMarketDataLookup, FxOptionMarketDataLookup, ScenarioMarketData, FxSingleBarrierOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesCalibratedBucketed(ResolvedFxSingleBarrierOptionTrade, RatesProvider, FxOptionVolatilities, FxSingleBarrierOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesCalibratedBucketed(ResolvedFxVanillaOptionTrade, RatesMarketDataLookup, FxOptionMarketDataLookup, ScenarioMarketData, FxVanillaOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesCalibratedBucketed(ResolvedFxVanillaOptionTrade, RatesProvider, FxOptionVolatilities, FxVanillaOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesCalibratedBucketed(ResolvedSwaptionTrade, RatesMarketDataLookup, SwaptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesCalibratedBucketed(ResolvedSwaptionTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesCalibratedSum(ResolvedIborCapFloorTrade, RatesMarketDataLookup, IborCapFloorMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesCalibratedSum(ResolvedIborCapFloorTrade, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesCalibratedSum(ResolvedCmsTrade, RatesMarketDataLookup, SwaptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesCalibratedSum(ResolvedCmsTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesCalibratedSum(ResolvedFxSingleBarrierOptionTrade, RatesMarketDataLookup, FxOptionMarketDataLookup, ScenarioMarketData, FxSingleBarrierOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesCalibratedSum(ResolvedFxSingleBarrierOptionTrade, RatesProvider, FxOptionVolatilities, FxSingleBarrierOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesCalibratedSum(ResolvedFxVanillaOptionTrade, RatesMarketDataLookup, FxOptionMarketDataLookup, ScenarioMarketData, FxVanillaOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesCalibratedSum(ResolvedFxVanillaOptionTrade, RatesProvider, FxOptionVolatilities, FxVanillaOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesCalibratedSum(ResolvedSwaptionTrade, RatesMarketDataLookup, SwaptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesCalibratedSum(ResolvedSwaptionTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesMarketQuoteBucketed(ResolvedIborCapFloorTrade, RatesMarketDataLookup, IborCapFloorMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesMarketQuoteBucketed(ResolvedIborCapFloorTrade, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesMarketQuoteBucketed(ResolvedCmsTrade, RatesMarketDataLookup, SwaptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesMarketQuoteBucketed(ResolvedCmsTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesMarketQuoteBucketed(ResolvedFxSingleBarrierOptionTrade, RatesMarketDataLookup, FxOptionMarketDataLookup, ScenarioMarketData, FxSingleBarrierOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesMarketQuoteBucketed(ResolvedFxSingleBarrierOptionTrade, RatesProvider, FxOptionVolatilities, FxSingleBarrierOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesMarketQuoteBucketed(ResolvedFxVanillaOptionTrade, RatesMarketDataLookup, FxOptionMarketDataLookup, ScenarioMarketData, FxVanillaOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesMarketQuoteBucketed(ResolvedFxVanillaOptionTrade, RatesProvider, FxOptionVolatilities, FxVanillaOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesMarketQuoteBucketed(ResolvedSwaptionTrade, RatesMarketDataLookup, SwaptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesMarketQuoteBucketed(ResolvedSwaptionTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesMarketQuoteSum(ResolvedIborCapFloorTrade, RatesMarketDataLookup, IborCapFloorMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesMarketQuoteSum(ResolvedIborCapFloorTrade, RatesProvider, IborCapletFloorletVolatilities) - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesMarketQuoteSum(ResolvedCmsTrade, RatesMarketDataLookup, SwaptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesMarketQuoteSum(ResolvedCmsTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesMarketQuoteSum(ResolvedFxSingleBarrierOptionTrade, RatesMarketDataLookup, FxOptionMarketDataLookup, ScenarioMarketData, FxSingleBarrierOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesMarketQuoteSum(ResolvedFxSingleBarrierOptionTrade, RatesProvider, FxOptionVolatilities, FxSingleBarrierOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesMarketQuoteSum(ResolvedFxVanillaOptionTrade, RatesMarketDataLookup, FxOptionMarketDataLookup, ScenarioMarketData, FxVanillaOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesMarketQuoteSum(ResolvedFxVanillaOptionTrade, RatesProvider, FxOptionVolatilities, FxVanillaOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

Calculates present value sensitivity for a single set of market data.

pv01RatesMarketQuoteSum(ResolvedSwaptionTrade, RatesMarketDataLookup, SwaptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

Calculates present value sensitivity across one or more scenarios.

pv01RatesMarketQuoteSum(ResolvedSwaptionTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

Calculates present value sensitivity for a single set of market data.

Q

queryType() - Method in interface com.opengamma.strata.measure.bond.BondFutureOptionMarketDataLookup

Gets the type that the lookup will be queried by.

queryType() - Method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketDataLookup

Gets the type that the lookup will be queried by.

queryType() - Method in class com.opengamma.strata.measure.calc.TargetTypeCalculationParameter

queryType() - Method in class com.opengamma.strata.measure.calc.TradeCounterpartyCalculationParameter

queryType() - Method in interface com.opengamma.strata.measure.capfloor.IborCapFloorMarketDataLookup

Gets the type that the lookup will be queried by.

queryType() - Method in interface com.opengamma.strata.measure.credit.CreditRatesMarketDataLookup

Gets the type that the lookup will be queried by.

queryType() - Method in interface com.opengamma.strata.measure.fxopt.FxOptionMarketDataLookup

Gets the type that the lookup will be queried by.

queryType() - Method in interface com.opengamma.strata.measure.index.IborFutureOptionMarketDataLookup

Gets the type that the lookup will be queried by.

queryType() - Method in interface com.opengamma.strata.measure.index.OvernightFutureOptionMarketDataLookup

Gets the type that the lookup will be queried by.

queryType() - Method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Gets the type that the lookup will be queried by.

queryType() - Method in interface com.opengamma.strata.measure.swaption.SwaptionMarketDataLookup

Gets the type that the lookup will be queried by.

quoteId(QuoteId) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Builder

Sets the quote ID.

quoteId() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Meta

The meta-property for the quoteId property.

quoteValueType(ValueType) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Builder

Sets the value type of the quote.

quoteValueType() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Meta

The meta-property for the quoteValueType property.

R

RatesCurveGroupMarketDataFunction - Class in com.opengamma.strata.measure.rate

Market data function that builds a curve group.

RatesCurveGroupMarketDataFunction() - Constructor for class com.opengamma.strata.measure.rate.RatesCurveGroupMarketDataFunction

Creates a new function for building curve groups using the standard measures.

RatesCurveGroupMarketDataFunction(CalibrationMeasures) - Constructor for class com.opengamma.strata.measure.rate.RatesCurveGroupMarketDataFunction

Creates a new function for building curve groups.

RatesCurveInputsMarketDataFunction - Class in com.opengamma.strata.measure.rate

Market data function that builds the input data used when calibrating a curve.

RatesCurveInputsMarketDataFunction() - Constructor for class com.opengamma.strata.measure.rate.RatesCurveInputsMarketDataFunction

RatesMarketData - Interface in com.opengamma.strata.measure.rate

Market data for rates products.

RatesMarketDataLookup - Interface in com.opengamma.strata.measure.rate

The lookup that provides access to rates in market data.

ratesProvider() - Method in interface com.opengamma.strata.measure.rate.RatesMarketData

Gets the rates provider.

ratesProvider(MarketData) - Method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Obtains a rates provider based on the specified market data.

RatesScenarioMarketData - Interface in com.opengamma.strata.measure.rate

Market data for rates products, used for calculation across multiple scenarios.

RECOVERY01 - Static variable in class com.opengamma.strata.measure.credit.CreditMeasures

Measure representing the PV change under a 1 bps shift in recovery rate.

relativeTolerance(double) - Method in class com.opengamma.strata.measure.curve.RootFinderConfig.Builder

Sets the relative tolerance for the root finder.

relativeTolerance() - Method in class com.opengamma.strata.measure.curve.RootFinderConfig.Meta

The meta-property for the relativeTolerance property.

requirements(T, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.bond.BillTradeCalculationFunction

requirements(SecurityId...) - Method in interface com.opengamma.strata.measure.bond.BondFutureOptionMarketDataLookup

Creates market data requirements for the specified security IDs.

requirements(Set<SecurityId>) - Method in interface com.opengamma.strata.measure.bond.BondFutureOptionMarketDataLookup

Creates market data requirements for the specified security IDs.

requirements(T, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculationFunction

requirements(T, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculationFunction

requirements(T, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculationFunction

requirements(T, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculationFunction

requirements(SecurityId, LegalEntityId, Currency) - Method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketDataLookup

Creates market data requirements for the specified security and issuer.

requirements(LegalEntityId, Currency) - Method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketDataLookup

Creates market data requirements for the specified issuer.

requirements(IborIndex...) - Method in interface com.opengamma.strata.measure.capfloor.IborCapFloorMarketDataLookup

Creates market data requirements for the specified indices.

requirements(Set<IborIndex>) - Method in interface com.opengamma.strata.measure.capfloor.IborCapFloorMarketDataLookup

Creates market data requirements for the specified indices.

requirements(IborCapFloorTrade, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculationFunction

requirements(CmsTrade, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculationFunction

requirements(CdsIndexTrade, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.credit.CdsIndexTradeCalculationFunction

requirements(CdsTrade, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.credit.CdsTradeCalculationFunction

requirements(StandardId, Currency) - Method in interface com.opengamma.strata.measure.credit.CreditRatesMarketDataLookup

Creates market data requirements for the specified standard ID and currency.

requirements(CurveId, MarketDataConfig) - Method in class com.opengamma.strata.measure.curve.CurveMarketDataFunction

requirements(TermDepositTrade, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculationFunction

requirements(T, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculationFunction

requirements(FraTrade, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.fra.FraTradeCalculationFunction

requirements(FxNdfTrade, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculationFunction

requirements(FxRateId, MarketDataConfig) - Method in class com.opengamma.strata.measure.fx.FxRateMarketDataFunction

requirements(FxSingleTrade, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculationFunction

requirements(FxSwapTrade, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculationFunction

requirements(CurrencyPair...) - Method in interface com.opengamma.strata.measure.fxopt.FxOptionMarketDataLookup

Creates market data requirements for the specified currency pairs.

requirements(Set<CurrencyPair>) - Method in interface com.opengamma.strata.measure.fxopt.FxOptionMarketDataLookup

Creates market data requirements for the specified currency pairs.

requirements(FxOptionVolatilitiesId, MarketDataConfig) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesMarketDataFunction

requirements(FxSingleBarrierOptionTrade, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculationFunction

requirements(FxVanillaOptionTrade, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculationFunction

requirements(IborIndex...) - Method in interface com.opengamma.strata.measure.index.IborFutureOptionMarketDataLookup

Creates market data requirements for the specified indices.

requirements(Set<IborIndex>) - Method in interface com.opengamma.strata.measure.index.IborFutureOptionMarketDataLookup

Creates market data requirements for the specified indices.

requirements(T, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculationFunction

requirements(T, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculationFunction

requirements(OvernightIndex...) - Method in interface com.opengamma.strata.measure.index.OvernightFutureOptionMarketDataLookup

Creates market data requirements for the specified indices.

requirements(Set<OvernightIndex>) - Method in interface com.opengamma.strata.measure.index.OvernightFutureOptionMarketDataLookup

Creates market data requirements for the specified indices.

requirements(T, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculationFunction

requirements(BulletPaymentTrade, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculationFunction

requirements(RatesCurveGroupId, MarketDataConfig) - Method in class com.opengamma.strata.measure.rate.RatesCurveGroupMarketDataFunction

requirements(RatesCurveInputsId, MarketDataConfig) - Method in class com.opengamma.strata.measure.rate.RatesCurveInputsMarketDataFunction

requirements(Set<Currency>) - Method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Creates market data requirements for the specified currencies.

requirements(Currency, Index...) - Method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Creates market data requirements for the specified currency and indices.

requirements(Set<Currency>, Set<? extends Index>) - Method in interface com.opengamma.strata.measure.rate.RatesMarketDataLookup

Creates market data requirements for the specified currencies and indices.

requirements(GenericSecurityPosition, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.security.GenericSecurityPositionCalculationFunction

requirements(GenericSecurityTrade, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.security.GenericSecurityTradeCalculationFunction

requirements(SecurityPosition, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.security.SecurityPositionCalculationFunction

requirements(SecurityTrade, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.security.SecurityTradeCalculationFunction

requirements(SwapTrade, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculationFunction

requirements(RateIndex...) - Method in interface com.opengamma.strata.measure.swaption.SwaptionMarketDataLookup

Creates market data requirements for the specified indices.

requirements(Set<RateIndex>) - Method in interface com.opengamma.strata.measure.swaption.SwaptionMarketDataLookup

Creates market data requirements for the specified indices.

requirements(SwaptionTrade, Set<Measure>, CalculationParameters, ReferenceData) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculationFunction

RESOLVED_TARGET - Static variable in class com.opengamma.strata.measure.Measures

Measure representing the resolved form of the calculation target.

RootFinderConfig - Class in com.opengamma.strata.measure.curve

Configuration for the root finder used when calibrating curves.

RootFinderConfig.Builder - Class in com.opengamma.strata.measure.curve

The bean-builder for RootFinderConfig.

RootFinderConfig.Meta - Class in com.opengamma.strata.measure.curve

The meta-bean for RootFinderConfig.

S

scenario(int) - Method in interface com.opengamma.strata.measure.bond.BondFutureOptionScenarioMarketData

Returns market data for a single scenario.

scenario(int) - Method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingScenarioMarketData

Returns market data for a single scenario.

scenario(int) - Method in interface com.opengamma.strata.measure.capfloor.IborCapFloorScenarioMarketData

Returns market data for a single scenario.

scenario(int) - Method in interface com.opengamma.strata.measure.credit.CreditRatesScenarioMarketData

Returns market data for a single scenario.

scenario(int) - Method in interface com.opengamma.strata.measure.fxopt.FxOptionScenarioMarketData

Returns market data for a single scenario.

scenario(int) - Method in interface com.opengamma.strata.measure.index.IborFutureOptionScenarioMarketData

Returns market data for a single scenario.

scenario(int) - Method in interface com.opengamma.strata.measure.index.OvernightFutureOptionScenarioMarketData

Returns market data for a single scenario.

scenario(int) - Method in interface com.opengamma.strata.measure.rate.RatesScenarioMarketData

Returns market data for a single scenario.

scenario(int) - Method in interface com.opengamma.strata.measure.swaption.SwaptionScenarioMarketData

Returns market data for a single scenario.

SecurityPositionCalculationFunction - Class in com.opengamma.strata.measure.security

Perform calculations on a single SecurityPosition for each of a set of scenarios.

SecurityPositionCalculationFunction() - Constructor for class com.opengamma.strata.measure.security.SecurityPositionCalculationFunction

Creates an instance.

SecurityTradeCalculationFunction - Class in com.opengamma.strata.measure.security

Perform calculations on a single SecurityTrade for each of a set of scenarios.

SecurityTradeCalculationFunction() - Constructor for class com.opengamma.strata.measure.security.SecurityTradeCalculationFunction

Creates an instance.

set(String, Object) - Method in class com.opengamma.strata.measure.curve.RootFinderConfig.Builder

set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.measure.curve.RootFinderConfig.Builder

set(String, Object) - Method in class com.opengamma.strata.measure.fx.FxRateConfig.Builder

set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.measure.fx.FxRateConfig.Builder

set(String, Object) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Builder

set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Builder

set(String, Object) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Builder

set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Builder

set(String, Object) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Builder

set(MetaProperty<?>, Object) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Builder

specification() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition.Meta

The meta-property for the specification property.

spotDateOffset(DaysAdjustment) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Builder

Sets the offset of the spot value date from the valuation date.

spotDateOffset() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Meta

The meta-property for the spotDateOffset property.

standard() - Static method in class com.opengamma.strata.measure.curve.RootFinderConfig

Returns standard root finder configuration, using the DEFAULT constants from this class.

StandardComponents - Class in com.opengamma.strata.measure

Factory methods for creating standard Strata components.

strike(Strike) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Builder

Sets the strike.

strike() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Meta

The meta-property for the strike property.

strikeExtrapolatorLeft(CurveExtrapolator) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Builder

Sets the left extrapolator used in the strike dimension.

strikeExtrapolatorLeft() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Meta

The meta-property for the strikeExtrapolatorLeft property.

strikeExtrapolatorLeft(CurveExtrapolator) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Builder

Sets the left extrapolator used in the strike dimension.

strikeExtrapolatorLeft() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Meta

The meta-property for the strikeExtrapolatorLeft property.

strikeExtrapolatorRight(CurveExtrapolator) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Builder

Sets the right extrapolator used in the strike dimension.

strikeExtrapolatorRight() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Meta

The meta-property for the strikeExtrapolatorRight property.

strikeExtrapolatorRight(CurveExtrapolator) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Builder

Sets the right extrapolator used in the strike dimension.

strikeExtrapolatorRight() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Meta

The meta-property for the strikeExtrapolatorRight property.

strikeInterpolator(CurveInterpolator) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Builder

Sets the interpolator used in the strike dimension.

strikeInterpolator() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Meta

The meta-property for the strikeInterpolator property.

strikeInterpolator(CurveInterpolator) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Builder

Sets the interpolator used in the strike dimension.

strikeInterpolator() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Meta

The meta-property for the strikeInterpolator property.

supportedMeasures() - Method in class com.opengamma.strata.measure.bond.BillTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.credit.CdsIndexTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.credit.CdsTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.fra.FraTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.security.GenericSecurityPositionCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.security.GenericSecurityTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.security.SecurityPositionCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.security.SecurityTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculationFunction

supportedMeasures() - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculationFunction

SwaptionMarketData - Interface in com.opengamma.strata.measure.swaption

Market data for swaptions.

SwaptionMarketDataLookup - Interface in com.opengamma.strata.measure.swaption

The lookup that provides access to swaption volatilities in market data.

SwaptionScenarioMarketData - Interface in com.opengamma.strata.measure.swaption

Market data for swaptions, used for calculation across multiple scenarios.

SwaptionTradeCalculationFunction - Class in com.opengamma.strata.measure.swaption

Perform calculations on a single SwaptionTrade for each of a set of scenarios.

SwaptionTradeCalculationFunction() - Constructor for class com.opengamma.strata.measure.swaption.SwaptionTradeCalculationFunction

Creates an instance.

SwaptionTradeCalculations - Class in com.opengamma.strata.measure.swaption

Calculates pricing and risk measures for swaption trades.

SwaptionTradeCalculations(VolatilitySwaptionTradePricer, SabrSwaptionTradePricer) - Constructor for class com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

Creates an instance.

SwapTradeCalculationFunction - Class in com.opengamma.strata.measure.swap

Perform calculations on a single SwapTrade for each of a set of scenarios.

SwapTradeCalculationFunction() - Constructor for class com.opengamma.strata.measure.swap.SwapTradeCalculationFunction

Creates an instance.

SwapTradeCalculations - Class in com.opengamma.strata.measure.swap

Calculates pricing and risk measures for swap trades.

SwapTradeCalculations(DiscountingSwapTradePricer) - Constructor for class com.opengamma.strata.measure.swap.SwapTradeCalculations

Creates an instance.

T

targetType() - Method in class com.opengamma.strata.measure.bond.BillTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.capfloor.IborCapFloorTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.cms.CmsTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.credit.CdsIndexTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.credit.CdsTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.deposit.TermDepositTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.fra.FraTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.fx.FxNdfTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.fx.FxSingleTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.fx.FxSwapTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.payment.BulletPaymentTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.security.GenericSecurityPositionCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.security.GenericSecurityTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.security.SecurityPositionCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.security.SecurityTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.swap.SwapTradeCalculationFunction

targetType() - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculationFunction

TargetTypeCalculationParameter - Class in com.opengamma.strata.measure.calc

A calculation parameter that selects the parameter based on the type of the target.

tenor(Tenor) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Builder

Sets the tenor.

tenor() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Meta

The meta-property for the tenor property.

TermDepositTradeCalculationFunction - Class in com.opengamma.strata.measure.deposit

Perform calculations on a single TermDepositTrade for each of a set of scenarios.

TermDepositTradeCalculationFunction() - Constructor for class com.opengamma.strata.measure.deposit.TermDepositTradeCalculationFunction

Creates an instance.

TermDepositTradeCalculations - Class in com.opengamma.strata.measure.deposit

Calculates pricing and risk measures for term deposit trades.

TermDepositTradeCalculations(DiscountingTermDepositTradePricer) - Constructor for class com.opengamma.strata.measure.deposit.TermDepositTradeCalculations

Creates an instance.

timeExtrapolatorLeft(CurveExtrapolator) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Builder

Sets the left extrapolator used in the time dimension.

timeExtrapolatorLeft() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Meta

The meta-property for the timeExtrapolatorLeft property.

timeExtrapolatorLeft(CurveExtrapolator) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Builder

Sets the left extrapolator used in the time dimension.

timeExtrapolatorLeft() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Meta

The meta-property for the timeExtrapolatorLeft property.

timeExtrapolatorRight(CurveExtrapolator) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Builder

Sets the right extrapolator used in the time dimension.

timeExtrapolatorRight() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Meta

The meta-property for the timeExtrapolatorRight property.

timeExtrapolatorRight(CurveExtrapolator) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Builder

Sets the right extrapolator used in the time dimension.

timeExtrapolatorRight() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Meta

The meta-property for the timeExtrapolatorRight property.

timeInterpolator(CurveInterpolator) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Builder

Sets the interpolator used in the time dimension.

timeInterpolator() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Meta

The meta-property for the timeInterpolator property.

timeInterpolator(CurveInterpolator) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Builder

Sets the interpolator used in the time dimension.

timeInterpolator() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Meta

The meta-property for the timeInterpolator property.

timeToExpiry(ZonedDateTime, DayCount, ReferenceData) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

Calculates the time to expiry for the valuation date time.

toBuilder() - Method in class com.opengamma.strata.measure.curve.RootFinderConfig

Returns a builder that allows this bean to be mutated.

toBuilder() - Method in class com.opengamma.strata.measure.fx.FxRateConfig

Returns a builder that allows this bean to be mutated.

toBuilder() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification

Returns a builder that allows this bean to be mutated.

toBuilder() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification

Returns a builder that allows this bean to be mutated.

toBuilder() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

Returns a builder that allows this bean to be mutated.

toString() - Method in class com.opengamma.strata.measure.calc.TargetTypeCalculationParameter

toString() - Method in class com.opengamma.strata.measure.calc.TradeCounterpartyCalculationParameter

toString() - Method in class com.opengamma.strata.measure.cms.CmsSabrExtrapolationParams

toString() - Method in class com.opengamma.strata.measure.curve.RootFinderConfig.Builder

toString() - Method in class com.opengamma.strata.measure.curve.RootFinderConfig

toString() - Method in class com.opengamma.strata.measure.fx.FxRateConfig.Builder

toString() - Method in class com.opengamma.strata.measure.fx.FxRateConfig

toString() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification.Builder

toString() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification

toString() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification.Builder

toString() - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification

toString() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition

toString() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode.Builder

toString() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode

toString() - Method in enum com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionMethod

Returns the formatted name of the type.

toString() - Method in enum com.opengamma.strata.measure.fxopt.FxVanillaOptionMethod

Returns the formatted name of the type.

toString() - Method in class com.opengamma.strata.measure.ValuationZoneTimeDefinition

toZonedDateTime(MarketDataBox<LocalDate>) - Method in class com.opengamma.strata.measure.ValuationZoneTimeDefinition

Creates zoned date time.

TRADE - Static variable in class com.opengamma.strata.measure.bond.BillTradeCalculationFunction

The trade instance

TRADE - Static variable in class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculationFunction

The trade instance

TRADE - Static variable in class com.opengamma.strata.measure.bond.BondFutureTradeCalculationFunction

The trade instance

TRADE - Static variable in class com.opengamma.strata.measure.bond.CapitalIndexedBondTradeCalculationFunction

The trade instance

TRADE - Static variable in class com.opengamma.strata.measure.bond.FixedCouponBondTradeCalculationFunction

The trade instance

TRADE - Static variable in class com.opengamma.strata.measure.dsf.DsfTradeCalculationFunction

The trade instance

TRADE - Static variable in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculationFunction

The trade instance

TRADE - Static variable in class com.opengamma.strata.measure.index.IborFutureTradeCalculationFunction

The trade instance

TRADE - Static variable in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculationFunction

The trade instance

TradeCounterpartyCalculationParameter - Class in com.opengamma.strata.measure.calc

A calculation parameter that selects the parameter based on the counterparty of the target.

U

UNIT_PRICE - Static variable in class com.opengamma.strata.measure.Measures

Measure representing the unit price of the instrument.

unitPrice(ResolvedBondFutureOptionTrade, LegalEntityDiscountingMarketDataLookup, BondFutureOptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculations

Calculates unit price across one or more scenarios.

unitPrice(ResolvedBondFutureOptionTrade, LegalEntityDiscountingProvider, BondFutureVolatilities) - Method in class com.opengamma.strata.measure.bond.BondFutureOptionTradeCalculations

Calculates unit price for a single set of market data.

unitPrice(ResolvedBondFutureTrade, LegalEntityDiscountingMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculations

Calculates unit price across one or more scenarios.

unitPrice(ResolvedBondFutureTrade, LegalEntityDiscountingProvider) - Method in class com.opengamma.strata.measure.bond.BondFutureTradeCalculations

Calculates unit price for a single set of market data.

unitPrice(ResolvedDsfTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculations

Calculates unit price across one or more scenarios.

unitPrice(ResolvedDsfTrade, RatesProvider) - Method in class com.opengamma.strata.measure.dsf.DsfTradeCalculations

Calculates unit price for a single set of market data.

unitPrice(ResolvedIborFutureOptionTrade, RatesMarketDataLookup, IborFutureOptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculations

Calculates unit price across one or more scenarios.

unitPrice(ResolvedIborFutureOptionTrade, RatesProvider, IborFutureOptionVolatilities) - Method in class com.opengamma.strata.measure.index.IborFutureOptionTradeCalculations

Calculates unit price for a single set of market data.

unitPrice(ResolvedIborFutureTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculations

Calculates unit price across one or more scenarios.

unitPrice(ResolvedIborFutureTrade, RatesProvider) - Method in class com.opengamma.strata.measure.index.IborFutureTradeCalculations

Calculates unit price for a single set of market data.

unitPrice(ResolvedOvernightFutureTrade, RatesMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculations

Calculates unit price across one or more scenarios.

unitPrice(ResolvedOvernightFutureTrade, RatesProvider) - Method in class com.opengamma.strata.measure.index.OvernightFutureTradeCalculations

Calculates unit price for a single set of market data.

V

ValuationZoneTimeDefinition - Class in com.opengamma.strata.measure

Definition of valuation zone and time.

ValuationZoneTimeDefinition.Meta - Class in com.opengamma.strata.measure

The meta-bean for ValuationZoneTimeDefinition.

valueOf(String) - Static method in enum com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionMethod

Returns the enum constant of this type with the specified name.

valueOf(String) - Static method in enum com.opengamma.strata.measure.fxopt.FxVanillaOptionMethod

Returns the enum constant of this type with the specified name.

values() - Static method in enum com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionMethod

Returns an array containing the constants of this enum type, in the order they are declared.

values() - Static method in enum com.opengamma.strata.measure.fxopt.FxVanillaOptionMethod

Returns an array containing the constants of this enum type, in the order they are declared.

VEGA_MARKET_QUOTE_BUCKETED - Static variable in class com.opengamma.strata.measure.Measures

Measure representing the market quote bucketed vega on the calculation target.

vegaMarketQuoteBucketed(ResolvedFxSingleBarrierOptionTrade, RatesMarketDataLookup, FxOptionMarketDataLookup, ScenarioMarketData, FxSingleBarrierOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculations

Calculates present value vega sensitivity across one or more scenarios.

vegaMarketQuoteBucketed(ResolvedFxSingleBarrierOptionTrade, RatesProvider, FxOptionVolatilities, FxSingleBarrierOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxSingleBarrierOptionTradeCalculations

Calculates present value vega sensitivity for a single set of market data.

vegaMarketQuoteBucketed(ResolvedFxVanillaOptionTrade, RatesMarketDataLookup, FxOptionMarketDataLookup, ScenarioMarketData, FxVanillaOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

Calculates present value vega sensitivity across one or more scenarios.

vegaMarketQuoteBucketed(ResolvedFxVanillaOptionTrade, RatesProvider, FxOptionVolatilities, FxVanillaOptionMethod) - Method in class com.opengamma.strata.measure.fxopt.FxVanillaOptionTradeCalculations

Calculates present value vega sensitivity for a single set of market data.

vegaMarketQuoteBucketed(ResolvedSwaptionTrade, RatesMarketDataLookup, SwaptionMarketDataLookup, ScenarioMarketData) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

Calculates present value vega sensitivity across one or more scenarios.

vegaMarketQuoteBucketed(ResolvedSwaptionTrade, RatesProvider, SwaptionVolatilities) - Method in class com.opengamma.strata.measure.swaption.SwaptionTradeCalculations

Calculates present value vega sensitivity for a single set of market data.

volatilities(SecurityId) - Method in interface com.opengamma.strata.measure.bond.BondFutureOptionMarketData

Gets the volatilities for the specified security ID.

volatilities(SecurityId, MarketData) - Method in interface com.opengamma.strata.measure.bond.BondFutureOptionMarketDataLookup

Obtains bond future volatilities based on the specified market data.

volatilities(IborIndex) - Method in interface com.opengamma.strata.measure.capfloor.IborCapFloorMarketData

Gets the volatilities for the specified Ibor index.

volatilities(IborIndex, MarketData) - Method in interface com.opengamma.strata.measure.capfloor.IborCapFloorMarketDataLookup

Obtains cap/floor volatilities based on the specified market data.

volatilities(ZonedDateTime, DoubleArray, ReferenceData) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification

volatilities(ZonedDateTime, DoubleArray, ReferenceData) - Method in class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification

volatilities(CurrencyPair) - Method in interface com.opengamma.strata.measure.fxopt.FxOptionMarketData

Gets the volatilities for the specified currency pair.

volatilities(CurrencyPair, MarketData) - Method in interface com.opengamma.strata.measure.fxopt.FxOptionMarketDataLookup

Obtains FX options volatilities based on the specified market data.

volatilities(ZonedDateTime, DoubleArray, ReferenceData) - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition

Creates FX option volatilities.

volatilities(ZonedDateTime, DoubleArray, ReferenceData) - Method in interface com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesSpecification

Creates FX option volatilities.

volatilities(IborIndex) - Method in interface com.opengamma.strata.measure.index.IborFutureOptionMarketData

Gets the volatilities for the specified Ibor index.

volatilities(IborIndex, MarketData) - Method in interface com.opengamma.strata.measure.index.IborFutureOptionMarketDataLookup

Obtains Ibor future option volatilities based on the specified market data.

volatilities(OvernightIndex) - Method in interface com.opengamma.strata.measure.index.OvernightFutureOptionMarketData

Gets the volatilities for the specified Overnight index.

volatilities(OvernightIndex, MarketData) - Method in interface com.opengamma.strata.measure.index.OvernightFutureOptionMarketDataLookup

Obtains Overnight future option volatilities based on the specified market data.

volatilities(RateIndex) - Method in interface com.opengamma.strata.measure.swaption.SwaptionMarketData

Gets the volatilities for the specified index.

volatilities(RateIndex, MarketData) - Method in interface com.opengamma.strata.measure.swaption.SwaptionMarketDataLookup

Obtains swaption volatilities based on the specified market data.

volatilitiesInputs() - Method in class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition

Obtains the inputs required to create the FX option volatilities.

volatilitiesInputs() - Method in interface com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesSpecification

Obtains the inputs required to create the FX option volatilities.

W

withMarketData(MarketData) - Method in interface com.opengamma.strata.measure.bond.BondFutureOptionMarketData

Returns a copy of this instance with the specified market data.

withMarketData(ScenarioMarketData) - Method in interface com.opengamma.strata.measure.bond.BondFutureOptionScenarioMarketData

Returns a copy of this instance with the specified market data.

withMarketData(MarketData) - Method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingMarketData

Returns a copy of this instance with the specified market data.

withMarketData(ScenarioMarketData) - Method in interface com.opengamma.strata.measure.bond.LegalEntityDiscountingScenarioMarketData

Returns a copy of this instance with the specified market data.

withMarketData(MarketData) - Method in interface com.opengamma.strata.measure.capfloor.IborCapFloorMarketData

Returns a copy of this instance with the specified market data.

withMarketData(ScenarioMarketData) - Method in interface com.opengamma.strata.measure.capfloor.IborCapFloorScenarioMarketData

Returns a copy of this instance with the specified market data.

withMarketData(MarketData) - Method in interface com.opengamma.strata.measure.credit.CreditRatesMarketData

Returns a copy of this instance with the specified market data.

withMarketData(ScenarioMarketData) - Method in interface com.opengamma.strata.measure.credit.CreditRatesScenarioMarketData

Returns a copy of this instance with the specified market data.

withMarketData(MarketData) - Method in interface com.opengamma.strata.measure.fxopt.FxOptionMarketData

Returns a copy of this instance with the specified market data.

withMarketData(ScenarioMarketData) - Method in interface com.opengamma.strata.measure.fxopt.FxOptionScenarioMarketData

Returns a copy of this instance with the specified market data.

withMarketData(MarketData) - Method in interface com.opengamma.strata.measure.index.IborFutureOptionMarketData

Returns a copy of this instance with the specified market data.

withMarketData(ScenarioMarketData) - Method in interface com.opengamma.strata.measure.index.IborFutureOptionScenarioMarketData

Returns a copy of this instance with the specified market data.

withMarketData(MarketData) - Method in interface com.opengamma.strata.measure.index.OvernightFutureOptionMarketData

Returns a copy of this instance with the specified market data.

withMarketData(ScenarioMarketData) - Method in interface com.opengamma.strata.measure.index.OvernightFutureOptionScenarioMarketData

Returns a copy of this instance with the specified market data.

withMarketData(MarketData) - Method in interface com.opengamma.strata.measure.rate.RatesMarketData

Returns a copy of this instance with the specified market data.

withMarketData(ScenarioMarketData) - Method in interface com.opengamma.strata.measure.rate.RatesScenarioMarketData

Returns a copy of this instance with the specified market data.

withMarketData(MarketData) - Method in interface com.opengamma.strata.measure.swaption.SwaptionMarketData

Returns a copy of this instance with the specified market data.

withMarketData(ScenarioMarketData) - Method in interface com.opengamma.strata.measure.swaption.SwaptionScenarioMarketData

Returns a copy of this instance with the specified market data.

Z

zoneId() - Method in class com.opengamma.strata.measure.ValuationZoneTimeDefinition.Meta

The meta-property for the zoneId property.

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