| Package | Description |
|---|---|
| com.opengamma.strata.product.credit |
Entity objects describing Credit Default Swap (CDS) and CDS index.
|
| com.opengamma.strata.product.credit.type |
Conventions and templates to aid the construction of credit instruments.
|
| Modifier and Type | Method and Description |
|---|---|
CdsTrade |
CdsTrade.Builder.build() |
CdsTrade |
CdsCalibrationTrade.getUnderlyingTrade()
Gets the underlying CDS trade.
|
CdsTrade |
CdsTrade.withInfo(PortfolioItemInfo info) |
| Modifier and Type | Method and Description |
|---|---|
Class<? extends CdsTrade> |
CdsTrade.Meta.beanType() |
org.joda.beans.MetaProperty<CdsTrade> |
CdsCalibrationTrade.Meta.underlyingTrade()
The meta-property for the
underlyingTrade property. |
| Modifier and Type | Method and Description |
|---|---|
static CdsCalibrationTrade |
CdsCalibrationTrade.of(CdsTrade trade,
CdsQuote quote)
Creates an instance.
|
| Modifier and Type | Method and Description |
|---|---|
CdsTrade |
TenorCdsTemplate.createTrade(StandardId legalEntityId,
LocalDate tradeDate,
BuySell buySell,
double notional,
double fixedRate,
AdjustablePayment upFrontFee,
ReferenceData refData) |
CdsTrade |
DatesCdsTemplate.createTrade(StandardId legalEntityId,
LocalDate tradeDate,
BuySell buySell,
double notional,
double fixedRate,
AdjustablePayment upFrontFee,
ReferenceData refData) |
CdsTrade |
CdsTemplate.createTrade(StandardId legalEntityId,
LocalDate tradeDate,
BuySell buySell,
double notional,
double fixedRate,
AdjustablePayment upFrontFee,
ReferenceData refData)
Creates a trade based on this template.
|
CdsTrade |
TenorCdsTemplate.createTrade(StandardId legalEntityId,
LocalDate tradeDate,
BuySell buySell,
double notional,
double fixedRate,
ReferenceData refData) |
CdsTrade |
DatesCdsTemplate.createTrade(StandardId legalEntityId,
LocalDate tradeDate,
BuySell buySell,
double notional,
double fixedRate,
ReferenceData refData) |
CdsTrade |
CdsTemplate.createTrade(StandardId legalEntityId,
LocalDate tradeDate,
BuySell buySell,
double notional,
double fixedRate,
ReferenceData refData)
Creates a trade based on this template.
|
default CdsTrade |
CdsConvention.createTrade(StandardId legalEntityId,
LocalDate tradeDate,
LocalDate startDate,
LocalDate endDate,
BuySell buySell,
double notional,
double fixedRate,
AdjustablePayment upFrontFee,
ReferenceData refData)
Creates a CDS trade with upfront fee from trade date, start date and end date.
|
default CdsTrade |
CdsConvention.createTrade(StandardId legalEntityId,
LocalDate tradeDate,
LocalDate startDate,
LocalDate endDate,
BuySell buySell,
double notional,
double fixedRate,
ReferenceData refData)
Creates a CDS trade from trade date, start date and end date.
|
default CdsTrade |
CdsConvention.createTrade(StandardId legalEntityId,
LocalDate tradeDate,
LocalDate startDate,
Tenor tenor,
BuySell buySell,
double notional,
double fixedRate,
AdjustablePayment upFrontFee,
ReferenceData refData)
Creates a CDS trade with upfront fee based on the trade date, start date and the IMM date logic.
|
default CdsTrade |
CdsConvention.createTrade(StandardId legalEntityId,
LocalDate tradeDate,
LocalDate startDate,
Tenor tenor,
BuySell buySell,
double notional,
double fixedRate,
ReferenceData refData)
Creates a CDS trade based on the trade date, start date and the IMM date logic.
|
default CdsTrade |
CdsConvention.createTrade(StandardId legalEntityId,
LocalDate tradeDate,
Tenor tenor,
BuySell buySell,
double notional,
double fixedRate,
AdjustablePayment upFrontFee,
ReferenceData refData)
Creates a CDS trade with upfront fee based on the trade date and the IMM date logic.
|
default CdsTrade |
CdsConvention.createTrade(StandardId legalEntityId,
LocalDate tradeDate,
Tenor tenor,
BuySell buySell,
double notional,
double fixedRate,
ReferenceData refData)
Creates a CDS trade based on the trade date and the IMM date logic.
|
CdsTrade |
ImmutableCdsConvention.toTrade(StandardId legalEntityId,
TradeInfo tradeInfo,
LocalDate startDate,
LocalDate endDate,
BuySell buySell,
double notional,
double fixedRate) |
CdsTrade |
CdsConvention.toTrade(StandardId legalEntityId,
TradeInfo tradeInfo,
LocalDate startDate,
LocalDate endDate,
BuySell buySell,
double notional,
double fixedRate)
Creates a CDS trade with
TradeInfo. |
CdsTrade |
ImmutableCdsConvention.toTrade(StandardId legalEntityId,
TradeInfo tradeInfo,
LocalDate startDate,
LocalDate endDate,
BuySell buySell,
double notional,
double fixedRate,
AdjustablePayment upfrontFee) |
CdsTrade |
CdsConvention.toTrade(StandardId legalEntityId,
TradeInfo tradeInfo,
LocalDate startDate,
LocalDate endDate,
BuySell buySell,
double notional,
double fixedRate,
AdjustablePayment upFrontFee)
Creates a CDS trade with upfront fee and
TradeInfo. |
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.