Serialized Form
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Package com.opengamma.strata.basics
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Class com.opengamma.strata.basics.CalculationTargetList extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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targets
ImmutableList<CalculationTarget> targets
The targets.
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Class com.opengamma.strata.basics.ImmutableReferenceData extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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values
ImmutableMap<ReferenceDataId<?>,Object> values
The typed reference data values by identifier.
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Class com.opengamma.strata.basics.ReferenceDataNotFoundException extends RuntimeException implements Serializable
- serialVersionUID:
- 1L
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Class com.opengamma.strata.basics.StandardId extends Object implements Serializable
- serialVersionUID:
- 1L
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Package com.opengamma.strata.basics.currency
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Class com.opengamma.strata.basics.currency.AdjustablePayment extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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date
AdjustableDate date
The date that the payment is made.This date should normally be a valid business day.
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value
CurrencyAmount value
The amount of the payment.The amount is signed. A negative value indicates the amount is to be paid while a positive value indicates the amount is received.
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Class com.opengamma.strata.basics.currency.BigMoney extends Object implements Serializable
- serialVersionUID:
- 1L
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Class com.opengamma.strata.basics.currency.Currency extends Object implements Serializable
- serialVersionUID:
- 1L
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Class com.opengamma.strata.basics.currency.CurrencyAmount extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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amount
double amount
The amount of the currency.For example, in the value 'GBP 12.34' the amount is 12.34.
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currency
Currency currency
The currency.For example, in the value 'GBP 12.34' the currency is 'GBP'.
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Class com.opengamma.strata.basics.currency.CurrencyAmountArray extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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currency
Currency currency
The currency. All amounts have the same currency. -
values
DoubleArray values
The values.
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Class com.opengamma.strata.basics.currency.CurrencyPair extends Object implements Serializable
- serialVersionUID:
- 1L
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Class com.opengamma.strata.basics.currency.FxMatrix extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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currencies
ImmutableMap<Currency,Integer> currencies
The map between the currencies and their position within therates
array. Generally the position reflects the order in which the currencies were added, so the first currency added will be assigned 0, the second 1 etc.An ImmutableMap is used so that the currencies are correctly ordered when the
FxMatrix.toString()
method is called. -
rates
DoubleMatrix rates
The matrix with all the exchange rates. Each row represents the rates required to convert a unit of particular currency to all other currencies in the matrix.If currencies c1 and c2 are assigned indexes i and j respectively in the
currencies
map, then the entry [i][j] is such that 1 unit of currency c1 is worthrates[i][j]
units of currency c2.If
currencies.get(EUR)
= 0 andcurrencies.get(USD)
= 1, then the elementrates[0][1]
is likely to be around 1.40 andrates[1][0]
around 0.7142. The raterates[1][0]
will be computed from fxRate[0][1] when the object is constructed by the builder. All the element of the matrix are meaningful and coherent.
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Class com.opengamma.strata.basics.currency.FxRate extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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pair
CurrencyPair pair
The currency pair. The pair is formed of two parts, the base and the counter. In the pair 'AAA/BBB' the base is 'AAA' and the counter is 'BBB'. -
rate
double rate
The rate applicable to the currency pair. One unit of the base currency is exchanged for this amount of the counter currency.
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Class com.opengamma.strata.basics.currency.Money extends Object implements Serializable
- serialVersionUID:
- 1L
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Class com.opengamma.strata.basics.currency.MultiCurrencyAmount extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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amounts
ImmutableSortedSet<CurrencyAmount> amounts
The set of currency amounts. Each currency will occur only once, as per a map keyed by currency.
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Class com.opengamma.strata.basics.currency.MultiCurrencyAmountArray extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialization Methods
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readResolve
private Object readResolve()
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Serialized Fields
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size
int size
The size of this array. -
values
ImmutableSortedMap<Currency,DoubleArray> values
The currency values, keyed by currency.
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Class com.opengamma.strata.basics.currency.Payment extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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date
LocalDate date
The date that the payment is made.This date should normally be a valid business day.
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value
CurrencyAmount value
The amount of the payment.The amount is signed. A negative value indicates the amount is to be paid while a positive value indicates the amount is received.
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Package com.opengamma.strata.basics.date
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Class com.opengamma.strata.basics.date.AdjustableDate extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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adjustment
BusinessDayAdjustment adjustment
The business day adjustment that is to be applied to the unadjusted date.This is used to adjust the date if it is not a business day.
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unadjusted
LocalDate unadjusted
The unadjusted date.This date may be a non-business day. The business day adjustment is used to ensure it is a valid business day.
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Class com.opengamma.strata.basics.date.AdjustableDates extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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adjustment
BusinessDayAdjustment adjustment
The business day adjustment that is to be applied to the unadjusted dates.This is used to adjust each date if it is not a business day.
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unadjusted
ImmutableList<LocalDate> unadjusted
The unadjusted dates, in order.These dates may be non-business days. The business day adjustment is used to ensure each date is a valid business day.
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Class com.opengamma.strata.basics.date.BusinessDayAdjustment extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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calendar
HolidayCalendarId calendar
The calendar that defines holidays and business days.When the adjustment is made, this calendar is used to skip holidays.
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convention
BusinessDayConvention convention
The convention used to the adjust the date if it does not fall on a business day.The convention determines whether to move forwards or backwards when it is a holiday.
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Class com.opengamma.strata.basics.date.DaysAdjustment extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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adjustment
BusinessDayAdjustment adjustment
The business day adjustment that is performed to the result of the addition.This adjustment is applied to the result of the period addition calculation. If the addition is performed using business days then any adjustment here is expected to have a different holiday calendar to that used during addition.
If no adjustment is required, use the 'None' business day adjustment.
See the class-level documentation for more information.
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calendar
HolidayCalendarId calendar
The holiday calendar that defines the meaning of a day when performing the addition.When the adjustment is performed, this calendar is used to determine which days are business days.
If the holiday calendar is 'None' then addition uses simple date addition arithmetic without considering any days as holidays or weekends. If the holiday calendar is anything other than 'None' then addition uses that calendar, effectively repeatedly finding the next business day.
See the class-level documentation for more information.
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days
int days
The number of days to be added.When the adjustment is performed, this amount will be added to the input date using the calendar to determine the addition type.
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Class com.opengamma.strata.basics.date.HolidayCalendarId extends Object implements Serializable
- serialVersionUID:
- 1L
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Class com.opengamma.strata.basics.date.ImmutableHolidayCalendar extends Object implements Serializable
- serialVersionUID:
- 2L
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Serialized Fields
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id
HolidayCalendarId id
The identifier, such as 'GBLO'. -
lookup
int[] lookup
The lookup table, where each item represents a month from January of startYear onwards. Bits 0 to 31 are used for each day-of-month, where 0 is a holiday and 1 is a business day. Trailing bits are set to 0 so they act as holidays, avoiding month length logic. -
startYear
int startYear
The start year. Used as the base year for the lookup table. -
weekends
int weekends
The set of weekend days.Each date that has a day-of-week matching one of these days is not a business day.
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Class com.opengamma.strata.basics.date.MarketTenor extends Object implements Serializable
- serialVersionUID:
- 1L
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Class com.opengamma.strata.basics.date.PeriodAdjustment extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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additionConvention
PeriodAdditionConvention additionConvention
The addition convention to apply.When the adjustment is performed, this convention is used to refine the adjusted date. The most common convention is to move the end date to the last business day of the month if the start date is the last business day of the month.
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adjustment
BusinessDayAdjustment adjustment
The business day adjustment that is performed to the result of the addition.This adjustment is applied to the result of the addition calculation.
If no adjustment is required, use the 'None' business day adjustment.
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period
Period period
The period to be added.When the adjustment is performed, this period will be added to the input date.
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Class com.opengamma.strata.basics.date.SequenceDate extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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fullSequence
boolean fullSequence
Whether to use the full sequence (true) or base sequence (false).Many date sequences have two interlinked sequences. One is considered to be the base sequence, selected by setting this to false. The other is considered to be the full sequence, selected by setting this to true.
For example, the "base sequence" of a future is often March, June, September and December. But additionally, the nearest two "serial" months are also listed. Together these make the "full sequence".
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minimumPeriod
Period minimumPeriod
The minimum period before using the sequence number.This is added to the input date before starting to count the sequence.
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sequenceNumber
int sequenceNumber
The 1-based sequence number.A value of 1 obtains the first date in the sequence.
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yearMonth
YearMonth yearMonth
The base year-month.The start of this month is used instead of the input date when starting to count the sequence.
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Class com.opengamma.strata.basics.date.Tenor extends Object implements Serializable
- serialVersionUID:
- 1L
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Class com.opengamma.strata.basics.date.TenorAdjustment extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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additionConvention
PeriodAdditionConvention additionConvention
The addition convention to apply.When the adjustment is performed, this convention is used to refine the adjusted date. The most common convention is to move the end date to the last business day of the month if the start date is the last business day of the month.
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adjustment
BusinessDayAdjustment adjustment
The business day adjustment that is performed to the result of the addition.This adjustment is applied to the result of the addition calculation.
If no adjustment is required, use the 'None' business day adjustment.
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tenor
Tenor tenor
The tenor to be added.When the adjustment is performed, this tenor will be added to the input date.
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Package com.opengamma.strata.basics.index
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Class com.opengamma.strata.basics.index.FxIndexObservation extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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fixingDate
LocalDate fixingDate
The date of the index fixing.This is an adjusted date with any business day rule applied. Valid business days are defined by
FxIndex.getFixingCalendar()
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index
FxIndex index
The FX index.The rate will be queried from this index.
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maturityDate
LocalDate maturityDate
The date of the transfer implied by the fixing date.This is an adjusted date with any business day rule applied. This must be equal to
FxIndex.calculateMaturityFromFixing(LocalDate, ReferenceData)
.
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Class com.opengamma.strata.basics.index.IborIndexObservation extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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effectiveDate
LocalDate effectiveDate
The effective date of the investment implied by the fixing date.This is an adjusted date with any business day rule applied. This must be equal to
IborIndex.calculateEffectiveFromFixing(LocalDate, ReferenceData)
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fixingDate
LocalDate fixingDate
The date of the index fixing.This is an adjusted date with any business day rule applied. Valid business days are defined by
RateIndex.getFixingCalendar()
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index
IborIndex index
The Ibor index.The rate to be paid is based on this index. It will be a well known market index such as 'GBP-LIBOR-3M'.
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maturityDate
LocalDate maturityDate
The maturity date of the investment implied by the fixing date.This is an adjusted date with any business day rule applied. This must be equal to
IborIndex.calculateMaturityFromEffective(LocalDate, ReferenceData)
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yearFraction
double yearFraction
The year fraction of the investment implied by the fixing date.This is calculated using the day count of the index. It represents the fraction of the year between the effective date and the maturity date. Typically the value will be close to 1 for one year and close to 0.5 for six months.
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Class com.opengamma.strata.basics.index.ImmutableFloatingRateName extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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externalName
String externalName
The external name, typically from FpML, such as 'GBP-LIBOR-BBA'. -
fixingDateOffsetDays
Integer fixingDateOffsetDays
The fixing date offset, in days, optional. This is used when a floating rate name implies a non-standard fixing date offset. This is only used for Ibor Indices, and currently only for DKK CIBOR. -
indexName
String indexName
The root of the name of the index, such as 'GBP-LIBOR', to which the tenor is appended. This name matches that used byIborIndex
orOvernightIndex
. Typically, multipleFloatingRateName
names map to one Ibor or Overnight index. -
type
FloatingRateType type
The type of the index.
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Class com.opengamma.strata.basics.index.ImmutableFxIndex extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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currencyPair
CurrencyPair currencyPair
The currency pair.An index defines an FX rate in a single direction, such as from EUR to USD. This currency pair defines that direction.
In most cases, the same index can be used to convert in both directions by taking the rate or the reciprocal as necessary.
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fixingCalendar
HolidayCalendarId fixingCalendar
The calendar that determines which dates are fixing dates.The fixing date is when the rate is determined.
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fixingDateOffset
DaysAdjustment fixingDateOffset
The adjustment applied to the maturity date to obtain the fixing date.The maturity date is the start date of the indexed deposit. In most cases, the fixing date is 2 days before the maturity date.
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maturityDateOffset
DaysAdjustment maturityDateOffset
The adjustment applied to the fixing date to obtain the maturity date.The maturity date is the start date of the indexed deposit. In most cases, the maturity date is 2 days after the fixing date.
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name
String name
The index name, such as 'EUR/GBP-ECB'.
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Class com.opengamma.strata.basics.index.ImmutableIborIndex extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialization Methods
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readResolve
private Object readResolve()
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Serialized Fields
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active
boolean active
Whether the index is active, defaulted to true.Over time some indices become inactive and are no longer produced. If this occurs, this flag will be set to false.
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currency
Currency currency
The currency of the index. -
dayCount
DayCount dayCount
The day count convention. -
defaultFixedLegDayCount
DayCount defaultFixedLegDayCount
The default day count convention for the associated fixed leg.A rate index is often paid against a fixed leg, such as in a vanilla Swap. The day count convention of the fixed leg often differs from that of the index, and the default is value is available here.
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effectiveDateOffset
DaysAdjustment effectiveDateOffset
The adjustment applied to the fixing date to obtain the effective date.The effective date is the start date of the indexed deposit. In most cases, the effective date is 0 or 2 days after the fixing date. This data structure allows the complex rules of some indices to be represented.
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fixingCalendar
HolidayCalendarId fixingCalendar
The calendar that determines which dates are fixing dates.The fixing date is when the rate is determined.
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fixingDateOffset
DaysAdjustment fixingDateOffset
The adjustment applied to the effective date to obtain the fixing date.The fixing date is the date on which the index is to be observed. In most cases, the fixing date is 0 or 2 days before the effective date. This data structure allows the complex rules of some indices to be represented.
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fixingTime
LocalTime fixingTime
The fixing time.The rate is fixed at the fixing time of the fixing date.
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fixingZone
ZoneId fixingZone
The fixing time-zone.The time-zone of the fixing time.
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maturityDateOffset
TenorAdjustment maturityDateOffset
The adjustment applied to the effective date to obtain the maturity date.The maturity date is the end date of the indexed deposit and is relative to the effective date. This data structure allows the complex rules of some indices to be represented.
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name
String name
The index name, such as 'GBP-LIBOR-3M'.
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Class com.opengamma.strata.basics.index.ImmutableOvernightIndex extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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active
boolean active
Whether the index is active, defaulted to true.Over time some indices become inactive and are no longer produced. If this occurs, this flag will be set to false.
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currency
Currency currency
The currency of the index. -
dayCount
DayCount dayCount
The day count convention. -
defaultFixedLegDayCount
DayCount defaultFixedLegDayCount
The default day count convention for the associated fixed leg.A rate index is often paid against a fixed leg, such as in a vanilla Swap. The day count convention of the fixed leg often differs from that of the index, and the default is value is available here.
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effectiveDateOffset
int effectiveDateOffset
The number of days to add to the fixing date to obtain the effective date.In most cases, the settlement date and start of the implied deposit is on the fixing date. In a few cases, the settlement date is the following business day. This property is zero if settlement is on the fixing date, or one if it is the next day. Maturity is always one business day after the settlement date.
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fixingCalendar
HolidayCalendarId fixingCalendar
The calendar that the index uses.All dates are calculated with reference to the same calendar.
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name
String name
The index name, such as 'GBP-SONIA'. -
publicationDateOffset
int publicationDateOffset
The number of days to add to the fixing date to obtain the publication date.In most cases, the fixing rate is available on the fixing date. In a few cases, publication of the fixing rate is delayed until the following business day. This property is zero if publication is on the fixing date, or one if it is the next day.
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Class com.opengamma.strata.basics.index.ImmutablePriceIndex extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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active
boolean active
Whether the index is active, defaulted to true.Over time some indices become inactive and are no longer produced. If this occurs, this flag will be set to false.
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currency
Currency currency
The currency of the index. -
name
String name
The index name, such as 'GB-HICP'. -
publicationFrequency
Frequency publicationFrequency
The publication frequency of the index. Most price indices are published monthly, but some are published quarterly. -
region
Country region
The region of the index.
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Class com.opengamma.strata.basics.index.OvernightIndexObservation extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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effectiveDate
LocalDate effectiveDate
The effective date of the investment implied by the fixing date.This is an adjusted date with any business day rule applied. This must be equal to
OvernightIndex.calculateEffectiveFromFixing(LocalDate, ReferenceData)
. -
fixingDate
LocalDate fixingDate
The date of the index fixing.This is an adjusted date with any business day rule applied. Valid business days are defined by
RateIndex.getFixingCalendar()
. -
index
OvernightIndex index
The Overnight index.The rate will be queried from this index.
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maturityDate
LocalDate maturityDate
The maturity date of the investment implied by the fixing date.This is an adjusted date with any business day rule applied. This must be equal to
OvernightIndex.calculateMaturityFromEffective(LocalDate, ReferenceData)
. -
publicationDate
LocalDate publicationDate
The date that the rate implied by the fixing date is published.This is an adjusted date with any business day rule applied. This must be equal to
OvernightIndex.calculatePublicationFromFixing(LocalDate, ReferenceData)
. -
yearFraction
double yearFraction
The year fraction of the investment implied by the fixing date.This is calculated using the day count of the index. It represents the fraction of the year between the effective date and the maturity date. Typically the value will be close to 1 for one year and close to 0.5 for six months.
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Class com.opengamma.strata.basics.index.PriceIndexObservation extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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fixingMonth
YearMonth fixingMonth
The fixing month.The index will be observed for this month.
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index
PriceIndex index
The FX index.The rate will be queried from this index.
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Package com.opengamma.strata.basics.location
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Class com.opengamma.strata.basics.location.Country extends Object implements Serializable
- serialVersionUID:
- 1L
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Package com.opengamma.strata.basics.schedule
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Class com.opengamma.strata.basics.schedule.Frequency extends Object implements Serializable
- serialVersionUID:
- 1L
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Class com.opengamma.strata.basics.schedule.PeriodicSchedule extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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businessDayAdjustment
BusinessDayAdjustment businessDayAdjustment
The business day adjustment to apply.Each date in the calculated schedule is determined without taking into account weekends and holidays. The adjustment specified here is used to convert those dates to valid business days.
The start date and end date may have their own business day adjustment rules. If those are not present, then this adjustment is used instead.
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endDate
LocalDate endDate
The end date, which is the end of the last schedule period.This is the end date of the schedule, it is unadjusted and as such might be a weekend or holiday. Any applicable business day adjustment will be applied when creating the schedule. This is also known as the unadjusted maturity date or unadjusted termination date. This date must be after the start date.
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endDateBusinessDayAdjustment
BusinessDayAdjustment endDateBusinessDayAdjustment
The optional business day adjustment to apply to the end date.The end date property is an unadjusted date and as such might be a weekend or holiday. The adjustment specified here is used to convert the end date to a valid business day.
If this property is not present, the standard
businessDayAdjustment
property is used instead. -
firstRegularStartDate
LocalDate firstRegularStartDate
The optional start date of the first regular schedule period, which is the end date of the initial stub.This is used to identify the boundary date between the initial stub and the first regular schedule period.
This is an unadjusted date, and as such it might not be a valid business day. This date must be on or after 'startDate' and on or before 'endDate'.
During schedule generation, if this is present it will be used to determine the schedule. If not present, then the overall schedule start date will be used instead, resulting in no initial stub.
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frequency
Frequency frequency
The regular periodic frequency to use.Most dates are calculated using a regular periodic frequency, such as every 3 months. The actual day-of-month or day-of-week is selected using the roll and stub conventions.
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lastRegularEndDate
LocalDate lastRegularEndDate
The optional end date of the last regular schedule period, which is the start date of the final stub.This is used to identify the boundary date between the last regular schedule period and the final stub.
This is an unadjusted date, and as such it might not be a valid business day. This date must be one or after 'startDate', on or after 'firstRegularStartDate' and on or before 'endDate'.
During schedule generation, if this is present it will be used to determine the schedule. If not present, then the overall schedule end date will be used instead, resulting in no final stub.
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overrideStartDate
AdjustableDate overrideStartDate
The optional start date of the first schedule period, overriding normal schedule generation.This property is rarely used, and is generally needed when accrual starts before the effective date. If specified, it overrides the start date of the first period once schedule generation has been completed. Note that all schedule generation rules apply to 'startDate', with this applied as a final step. This field primarily exists to support the FpML 'firstPeriodStartDate' concept.
If a roll convention is explicitly specified and the regular start date does not match it, then the override will be used when generating regular periods.
If set, it should be different to the start date, although this is not validated. Validation does check that it is on or before 'firstRegularStartDate' and 'lastRegularEndDate', and before 'endDate'.
During schedule generation, if this is present it will be used to override the start date of the first generated schedule period. If not present, then the start of the first period will be the normal start date.
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rollConvention
RollConvention rollConvention
The optional convention defining how to roll dates.The schedule periods are determined at the high level by repeatedly adding the frequency to the start date, or subtracting it from the end date. The roll convention provides the detailed rule to adjust the day-of-month or day-of-week.
During schedule generation, if this is present it will be used to determine the schedule. If not present, then the roll convention will be implied.
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startDate
LocalDate startDate
The start date, which is the start of the first schedule period.This is the start date of the schedule, it is unadjusted and as such might be a weekend or holiday. Any applicable business day adjustment will be applied when creating the schedule. This is also known as the unadjusted effective date.
In most cases, the start date of a financial instrument is just after the trade date, such as two business days later. However, the start date of a schedule is permitted to be any date, which includes dates before or after the trade date.
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startDateBusinessDayAdjustment
BusinessDayAdjustment startDateBusinessDayAdjustment
The optional business day adjustment to apply to the start date.The start date property is an unadjusted date and as such might be a weekend or holiday. The adjustment specified here is used to convert the start date to a valid business day.
If this property is not present, the standard
businessDayAdjustment
property is used instead. -
stubConvention
StubConvention stubConvention
The optional convention defining how to handle stubs.The stub convention is used during schedule construction to determine whether the irregular remaining period occurs at the start or end of the schedule. It also determines whether the irregular period is shorter or longer than the regular period. This property interacts with the "explicit dates" of
PeriodicSchedule.getFirstRegularStartDate()
andPeriodicSchedule.getLastRegularEndDate()
.The convention 'None' may be used to explicitly indicate there are no stubs. There must be no explicit dates. This will be validated during schedule construction.
The convention 'Both' may be used to explicitly indicate there is both an initial and final stub. The stubs themselves must be specified using explicit dates. This will be validated during schedule construction.
The conventions 'ShortInitial', 'LongInitial', 'SmartInitial', 'ShortFinal', 'LongFinal' and 'SmartFinal' are used to indicate the type of stub to be generated. The exact behavior varies depending on whether there are explicit dates or not:
If explicit dates are specified, then the combination of stub convention an explicit date will be validated during schedule construction. For example, the combination of an explicit dated initial stub and a stub convention of 'ShortInitial', 'LongInitial' or 'SmartInitial' is valid, but other stub conventions, such as 'ShortFinal' or 'None' would be invalid.
If explicit dates are not specified, then it is not required that a stub is generated. The convention determines whether to generate dates from the start date forward, or the end date backwards. Date generation may or may not result in a stub, but if it does then the stub will be of the correct type.
When the stub convention is not present, the generation of stubs is based on the presence or absence of the explicit dates. When there are no explicit stubs and there is a roll convention that matches the start or end date, then the stub convention will be defaulted to 'SmartInitial' or 'SmartFinal'.
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Class com.opengamma.strata.basics.schedule.Schedule extends Object implements Serializable
- serialVersionUID:
- 1L
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Serialized Fields
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frequency
Frequency frequency
The periodic frequency used when building the schedule.If the schedule was not built from a regular periodic frequency, then the frequency should be a suitable estimate.
-
periods
ImmutableList<SchedulePeriod> periods
The schedule periods.There will be at least one period. The periods are ordered from earliest to latest. It is intended that each period is adjacent to the next one, however each period is independent and non-adjacent periods are allowed.
-
rollConvention
RollConvention rollConvention
The roll convention used when building the schedule.If the schedule was not built from a regular periodic frequency, then the convention should be 'None'.
-
-
Class com.opengamma.strata.basics.schedule.ScheduleException extends IllegalArgumentException implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
definition
PeriodicSchedule definition
The invalid schedule definition.
-
-
Class com.opengamma.strata.basics.schedule.SchedulePeriod extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
endDate
LocalDate endDate
The end date of this period, used for financial calculations such as interest accrual.The last date in the schedule period, typically treated as exclusive. If the schedule adjusts for business days, then this is the adjusted date.
-
startDate
LocalDate startDate
The start date of this period, used for financial calculations such as interest accrual.The first date in the schedule period, typically treated as inclusive. If the schedule adjusts for business days, then this is the adjusted date.
-
unadjustedEndDate
LocalDate unadjustedEndDate
The unadjusted end date.The end date before any business day adjustment. If the schedule adjusts for business days, then this is typically the regular periodic date. If the schedule does not adjust for business days, then this is the same as the end date.
When building, this will default to the end date if not specified.
-
unadjustedStartDate
LocalDate unadjustedStartDate
The unadjusted start date.The start date before any business day adjustment. If the schedule adjusts for business days, then this is typically the regular periodic date. If the schedule does not adjust for business days, then this is the same as the start date.
When building, this will default to the start date if not specified.
-
-
-
Package com.opengamma.strata.basics.value
-
Class com.opengamma.strata.basics.value.ValueAdjustment extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
modifyingValue
double modifyingValue
The value used to modify the base value. This value is given meaning by the associated type. -
type
ValueAdjustmentType type
The type of adjustment to make.
-
-
Class com.opengamma.strata.basics.value.ValueDerivatives extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
derivatives
DoubleArray derivatives
The derivatives of the variable with respect to some inputs. -
value
double value
The value of the variable.
-
-
Class com.opengamma.strata.basics.value.ValueSchedule extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
initialValue
double initialValue
The initial value.This is used for the lifetime of the trade unless specifically varied.
-
steps
List<ValueStep> steps
The steps defining the change in the value.Each step consists of a key locating the date of the change and the adjustment that occurs.
-
stepSequence
ValueStepSequence stepSequence
The sequence of steps changing the value.This allows a regular pattern of steps to be encoded. All step dates must be unique, thus the list of steps must not contain any date implied by this sequence.
-
-
Class com.opengamma.strata.basics.value.ValueStep extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
date
LocalDate date
The date of the schedule period boundary at which the change occurs.This property is used to define the date that the step occurs in absolute terms. This must be one of the unadjusted dates in the schedule period schedule. This is an unadjusted date and calculation period business day adjustments will apply.
For example, consider a 5 year swap from 2012-02-01 to 2017-02-01 with 6 month frequency. The date '2013-02-01' is an unadjusted schedule period boundary, and so may be specified here.
-
periodIndex
Integer periodIndex
The index of the schedule period boundary at which the change occurs.This property is used to define the date that the step occurs in relative terms. The date is identified by specifying the zero-based index of the schedule period boundary. The change will occur at the start of the specified period. Thus an index of zero is the start of the first period or initial stub. The index must be one or greater, as a change is not permitted at the start of the first period.
For example, consider a 5 year swap from 2012-02-01 to 2017-02-01 with 6 month frequency. A zero-based index of '2' would refer to start of the 3rd period, which would be 2013-02-01.
-
value
ValueAdjustment value
The value representing the change that occurs.The adjustment can be an absolute value, or various kinds of relative values.
-
-
Class com.opengamma.strata.basics.value.ValueStepSequence extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
adjustment
ValueAdjustment adjustment
The adjustment representing the change that occurs at each step.The adjustment type must not be 'Replace'.
-
firstStepDate
LocalDate firstStepDate
The first date in the sequence.This sequence will change the value on this date, but not before. This must be one of the unadjusted dates in the schedule period schedule.
For example, consider a 5 year swap from 2012-02-01 to 2017-02-01 with 6 month frequency. The date '2013-02-01' is an unadjusted schedule period boundary, and so may be specified here.
-
frequency
Frequency frequency
The frequency of the sequence.This sequence will change the value on each date between the start and end defined by this frequency. The frequency is interpreted relative to the frequency of a
Schedule
. It must be equal or greater than the related schedule. -
lastStepDate
LocalDate lastStepDate
The last date in the sequence.This sequence will change the value on this date, but not after. This must be one of the unadjusted dates in the schedule period schedule.
For example, consider a 5 year swap from 2012-02-01 to 2017-02-01 with 6 month frequency. The date '2015-02-01' is an unadjusted schedule period boundary, and so may be specified here.
-
-
-
Package com.opengamma.strata.calc
-
Class com.opengamma.strata.calc.ColumnName extends TypedString<ColumnName> implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.calc.ImmutableMeasure extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
currencyConvertible
boolean currencyConvertible
Flag indicating whether measure values should be automatically converted to the reporting currency. -
name
String name
The measure name.Measure names must only contains the characters A-Z, a-z, 0-9 and -.
-
-
Class com.opengamma.strata.calc.ReportingCurrency extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
currency
Currency currency
The reporting currency.This property will be set only if the type is 'Specific'.
-
type
ReportingCurrencyType type
The type of reporting currency.
-
-
-
Package com.opengamma.strata.calc.marketdata
-
Class com.opengamma.strata.calc.marketdata.MarketDataConfig extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
configs
ImmutableMap<Class<?>,com.opengamma.strata.calc.marketdata.SingleTypeMarketDataConfig> configs
The configuration objects, keyed by their type and name. -
defaultConfigs
ImmutableMap<Class<?>,Object> defaultConfigs
The configuration objects where there is only one instance per type.
-
-
-
Package com.opengamma.strata.calc.runner
-
Class com.opengamma.strata.calc.runner.CalculationParameters extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
aliases
ImmutableMap<Class<? extends CalculationParameter>,Class<? extends CalculationParameter>> aliases
The aliases. -
parameters
ImmutableMap<Class<? extends CalculationParameter>,CalculationParameter> parameters
The parameters, keyed by query type.
-
-
Class com.opengamma.strata.calc.runner.CalculationParametersId extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
name
String name
The name of the parameters.
-
-
Class com.opengamma.strata.calc.runner.CalculationResult extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
columnIndex
int columnIndex
The column index of the value in the results grid. -
result
Result<?> result
The result of the calculation.The result may be a single value or a multi-scenario value. A multi-scenario value will implement
ScenarioArray
unless it has been aggregated.If the calculation did not complete successfully, a failure result will be returned explaining the problem. Callers must check whether the result is a success or failure before examining the result value.
-
rowIndex
int rowIndex
The row index of the value in the results grid.
-
-
Class com.opengamma.strata.calc.runner.CalculationResults extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
cells
ImmutableList<CalculationResult> cells
The calculated cells. Each entry contains a calculation result for a single cell. -
target
CalculationTarget target
The target of the calculation, often a trade.
-
-
-
Package com.opengamma.strata.collect
-
Class com.opengamma.strata.collect.Decimal extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
scale
int scale
The scale. -
unscaled
long unscaled
The unscaled value.
-
-
Class com.opengamma.strata.collect.FixedScaleDecimal extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
decimal
Decimal decimal
The unscaled value. -
fixedScale
int fixedScale
The fixed scale.
-
-
Class com.opengamma.strata.collect.TypedString extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
name
String name
The name.
-
-
Class com.opengamma.strata.collect.UncheckedReflectiveOperationException extends RuntimeException implements Serializable
- serialVersionUID:
- 1L
-
-
Package com.opengamma.strata.collect.array
-
Class com.opengamma.strata.collect.array.DoubleArray extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
array
double[] array
The underlying array of doubles.
-
-
Class com.opengamma.strata.collect.array.DoubleMatrix extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialization Methods
-
readResolve
private Object readResolve()
-
-
Serialized Fields
-
array
double[][] array
The underlying array of doubles.
-
-
Class com.opengamma.strata.collect.array.IntArray extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
array
int[] array
The underlying array of ints.
-
-
Class com.opengamma.strata.collect.array.LongArray extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
array
long[] array
The underlying array of longs.
-
-
-
Package com.opengamma.strata.collect.io
-
Class com.opengamma.strata.collect.io.ArrayByteSource extends BeanByteSource implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
array
byte[] array
The byte array. -
fileName
String fileName
The file name, null if not known.
-
-
Class com.opengamma.strata.collect.io.FileByteSource extends BeanByteSource implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
file
File file
The underlying file.
-
-
Class com.opengamma.strata.collect.io.StringCharSource extends BeanCharSource implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.collect.io.UriByteSource extends BeanByteSource implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
uri
URI uri
The underlying URI.
-
-
-
Package com.opengamma.strata.collect.result
-
Class com.opengamma.strata.collect.result.Failure extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
items
ImmutableSet<FailureItem> items
The set of failure items. There will be at least one failure item. -
message
String message
The error message associated with the failure. -
reason
FailureReason reason
The reason associated with the failure.
-
-
Class com.opengamma.strata.collect.result.FailureException extends RuntimeException implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
failure
Failure failure
The details of the failure.
-
-
Class com.opengamma.strata.collect.result.FailureItem extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
attributes
ImmutableMap<String,String> attributes
The attributes associated with this failure. Attributes can contain additional information about the failure. For example, a line number in a file or the ID of a trade. -
causeType
Class<? extends Throwable> causeType
The type of the throwable that caused the failure, not present if it wasn't caused by a throwable. -
message
String message
The error message associated with the failure. -
reason
FailureReason reason
The reason associated with the failure. -
stackTrace
String stackTrace
Stack trace where the failure occurred. If the failure was caused by anException
its stack trace is used, otherwise it's the location where the failure was created.
-
-
Class com.opengamma.strata.collect.result.FailureItemException extends RuntimeException implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
item
FailureItem item
The failure item.
-
-
Class com.opengamma.strata.collect.result.FailureItems extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
failures
ImmutableList<FailureItem> failures
The failures.
-
-
Class com.opengamma.strata.collect.result.IllegalArgFailureException extends IllegalArgumentException implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
item
FailureItem item
The failure item.
-
-
Class com.opengamma.strata.collect.result.ParseFailureException extends IllegalArgumentException implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
item
FailureItem item
The failure item.
-
-
Class com.opengamma.strata.collect.result.Result extends Object implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.collect.result.ValueWithFailures extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
failures
ImmutableList<FailureItem> failures
The failure items. -
value
T value
The success value.
-
-
-
Package com.opengamma.strata.collect.tuple
-
Class com.opengamma.strata.collect.tuple.DoublesPair extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
first
double first
The first element in this pair. -
second
double second
The second element in this pair.
-
-
Class com.opengamma.strata.collect.tuple.IntDoublePair extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
first
int first
The first element in this pair. -
second
double second
The second element in this pair.
-
-
Class com.opengamma.strata.collect.tuple.LongDoublePair extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
first
long first
The first element in this pair. -
second
double second
The second element in this pair.
-
-
Class com.opengamma.strata.collect.tuple.ObjDoublePair extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
first
A first
The first element in this pair. -
second
double second
The second element in this pair.
-
-
Class com.opengamma.strata.collect.tuple.ObjIntPair extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
first
A first
The first element in this pair. -
second
int second
The second element in this pair.
-
-
Class com.opengamma.strata.collect.tuple.Pair extends Object implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.collect.tuple.Triple extends Object implements Serializable
- serialVersionUID:
- 1L
-
-
Package com.opengamma.strata.data
-
Class com.opengamma.strata.data.FieldName extends TypedString<FieldName> implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.data.FxMatrixId extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
observableSource
ObservableSource observableSource
The source of observable market data. This is used when looking up the underlying market quotes for the rate.
-
-
Class com.opengamma.strata.data.FxRateId extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
observableSource
ObservableSource observableSource
The source of observable market data. This is used when looking up the underlying market quotes for the rate. -
pair
CurrencyPair pair
The currency pair that is required. For example, 'GBP/USD'.
-
-
Class com.opengamma.strata.data.ImmutableMarketData extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
timeSeries
ImmutableMap<ObservableId,LocalDateDoubleTimeSeries> timeSeries
The time-series.If a request is made for a time-series that is not in the map, an empty series will be returned.
-
valuationDate
LocalDate valuationDate
The valuation date associated with the market data. -
values
ImmutableMap<MarketDataId<?>,Object> values
The market data values.
-
-
Class com.opengamma.strata.data.MarketDataFxRateProvider extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
fxRatesSource
ObservableSource fxRatesSource
The source of market data for FX rates. -
marketData
MarketData marketData
The market data that provides the FX rates. -
triangulationCurrency
Currency triangulationCurrency
The triangulation currency to use.If specified, this currency is used to triangulate FX rates in preference to the standard approach. This would be useful if all FX rates are supplied relative to a currency other than USD.
-
-
Class com.opengamma.strata.data.MarketDataNotFoundException extends IllegalArgumentException implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.data.ObservableSource extends TypedString<ObservableSource> implements Serializable
- serialVersionUID:
- 1L
-
-
Package com.opengamma.strata.data.scenario
-
Class com.opengamma.strata.data.scenario.CurrencyScenarioArray extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
amounts
CurrencyAmountArray amounts
The currency amounts, one per scenario.
-
-
Class com.opengamma.strata.data.scenario.DoubleScenarioArray extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
values
DoubleArray values
The calculated values, one per scenario.
-
-
Class com.opengamma.strata.data.scenario.FxRateScenarioArray extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
pair
CurrencyPair pair
The currency pair. The pair is formed of two parts, the base and the counter. In the pair 'AAA/BBB' the base is 'AAA' and the counter is 'BBB'. -
rates
DoubleArray rates
The rates applicable to the currency pair. One unit of the base currency is exchanged for this amount of the counter currency.
-
-
Class com.opengamma.strata.data.scenario.ImmutableScenarioMarketData extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
scenarioCount
int scenarioCount
The number of scenarios. -
timeSeries
ImmutableMap<ObservableId,LocalDateDoubleTimeSeries> timeSeries
The time-series of market data values.If a request is made for a time-series that is not in the map, an empty series will be returned.
-
valuationDate
MarketDataBox<LocalDate> valuationDate
The valuation date associated with each scenario. -
values
ImmutableMap<MarketDataId<?>,MarketDataBox<?>> values
The individual items of market data.
-
-
Class com.opengamma.strata.data.scenario.MultiCurrencyScenarioArray extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
amounts
MultiCurrencyAmountArray amounts
The multi-currency amounts, one per scenario.
-
-
-
Package com.opengamma.strata.loader.fpml
-
Class com.opengamma.strata.loader.fpml.FpmlParseException extends ParseFailureException implements Serializable
- serialVersionUID:
- 1L
-
-
Package com.opengamma.strata.market
-
Class com.opengamma.strata.market.FxRateShifts extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
currencyPair
CurrencyPair currencyPair
The currency pair for which the shifts are applied.This also defines the direction of the FX rate to be shifted.
-
shiftAmount
DoubleArray shiftAmount
The shifts to apply toFxRate
.Each element in the array corresponds to each scenario.
-
shiftType
ShiftType shiftType
The type of shift applied to the FX rate.
-
-
Class com.opengamma.strata.market.GenericDoubleShifts extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
shiftAmount
DoubleArray shiftAmount
The shifts to apply to aDouble
value.Each element in the array corresponds to each scenario.
-
shiftType
ShiftType shiftType
The type of shift applied to aDouble
value. -
spread
double spread
The constant spread.
-
-
Class com.opengamma.strata.market.ValueType extends TypedString<ValueType> implements Serializable
- serialVersionUID:
- 1L
-
-
Package com.opengamma.strata.market.amount
-
Class com.opengamma.strata.market.amount.CashFlow extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
discountFactor
double discountFactor
The discount factor.This is the discount factor between valuation date and the payment date. Thus present value is the forecast value multiplied by the discount factor.
-
forecastValue
CurrencyAmount forecastValue
The forecast value of the cash flow.The forecast value is signed. A negative value indicates a payment while a positive value indicates receipt.
-
paymentDate
LocalDate paymentDate
The payment date.This is the date on which the cash flow occurs.
-
presentValue
CurrencyAmount presentValue
The present value of the cash flow.The present value is signed. A negative value indicates a payment while a positive value indicates receipt.
-
-
Class com.opengamma.strata.market.amount.CashFlows extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
cashFlows
ImmutableList<CashFlow> cashFlows
The cash flows.Each entry includes details of a single cash flow.
-
-
Class com.opengamma.strata.market.amount.LegAmounts extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
amounts
ImmutableList<LegAmount> amounts
The leg amounts.
-
-
Class com.opengamma.strata.market.amount.SwapLegAmount extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
amount
CurrencyAmount amount
The amount associated with the leg. The meaning associated with this amount is implied by the context. This amount may have been currency converted. -
currency
Currency currency
The currency of the leg. This is not be affected by any currency conversion applied to the amount. -
payReceive
PayReceive payReceive
Whether the leg is pay or receive. -
type
SwapLegType type
The type of the leg, such as Fixed or Ibor.
-
-
-
Package com.opengamma.strata.market.curve
-
Class com.opengamma.strata.market.curve.AddFixedCurve extends Object implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.market.curve.CombinedCurve extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
baseCurve
Curve baseCurve
The base curve. -
metadata
CurveMetadata metadata
The curve metadata. -
spreadCurve
Curve spreadCurve
The spread curve.
-
-
Class com.opengamma.strata.market.curve.ConstantCurve extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialization Methods
-
readResolve
private Object readResolve()
-
-
Serialized Fields
-
metadata
CurveMetadata metadata
The curve metadata.The metadata will not normally have parameter metadata.
-
yValue
double yValue
The single y-value.
-
-
Class com.opengamma.strata.market.curve.ConstantNodalCurve extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialization Methods
-
readResolve
private Object readResolve()
-
-
Serialized Fields
-
metadata
CurveMetadata metadata
The curve metadata.The metadata will have a single parameter metadata.
-
xValue
double xValue
The single x-value. -
yValue
double yValue
The single y-value.
-
-
Class com.opengamma.strata.market.curve.CurveGroupName extends TypedString<CurveGroupName> implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.market.curve.CurveId extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
curveGroupName
CurveGroupName curveGroupName
The curve group name. -
curveName
CurveName curveName
The curve name. -
observableSource
ObservableSource observableSource
The source of observable market data.
-
-
Class com.opengamma.strata.market.curve.CurveInfoType extends TypedString<CurveInfoType<T>> implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.market.curve.CurveName extends MarketDataName<Curve> implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
name
String name
The name.
-
-
Class com.opengamma.strata.market.curve.CurveNodeDate extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
date
LocalDate date
The fixed date to be used on the node, only used when the type is 'Fixed'. -
type
CurveNodeDateType type
The method by which the date of the node is calculated, defaulted to 'End'.
-
-
Class com.opengamma.strata.market.curve.CurveNodeDateOrder extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
action
CurveNodeClashAction action
The action to perform if a clash occurs. -
minGapInDays
int minGapInDays
The minimum gap between two curve nodes, measured in calendar days. A gap of one day is the smallest allowed. A clash occurs if the period between the two nodes is less than the minimum. The gap applies to the node before this one and the node after this one.
-
-
Class com.opengamma.strata.market.curve.CurveParallelShifts extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
shiftAmounts
DoubleArray shiftAmounts
The amount by which the y-values are shifted. -
shiftType
ShiftType shiftType
The type of shift to apply to the y-values of the curve.
-
-
Class com.opengamma.strata.market.curve.CurveParameterSize extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
name
CurveName name
The curve name. -
parameterCount
int parameterCount
The number of parameters.
-
-
Class com.opengamma.strata.market.curve.DefaultCurveMetadata extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
curveName
CurveName curveName
The curve name. -
info
ImmutableMap<CurveInfoType<?>,Object> info
The additional curve information.This stores additional information for the curve.
The most common information is the day count and curve calibration Jacobian.
-
parameterMetadata
ImmutableList<ParameterMetadata> parameterMetadata
The metadata about the parameters.If present, the parameter metadata will match the number of parameters on the curve.
-
xValueType
ValueType xValueType
The x-value type, providing meaning to the x-values of the curve.This type provides meaning to the x-values. For example, the x-value might represent a year fraction, as represented using
ValueType.YEAR_FRACTION
.If using the builder, this defaults to
ValueType.UNKNOWN
. -
yValueType
ValueType yValueType
The y-value type, providing meaning to the y-values of the curve.This type provides meaning to the y-values. For example, the y-value might represent a zero rate, as represented using
ValueType.ZERO_RATE
.If using the builder, this defaults to
ValueType.UNKNOWN
.
-
-
Class com.opengamma.strata.market.curve.DepositIsdaCreditCurveNode extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
businessDayAdjustment
BusinessDayAdjustment businessDayAdjustment
The business day adjustment to apply to the start and end date.The start and end date will be adjusted as defined here.
-
dayCount
DayCount dayCount
The day count convention.This defines the term year fraction.
-
label
String label
The label to use for the node, defaulted.When building, this will default based on the tenor if not specified.
-
observableId
ObservableId observableId
The identifier of the market data value that provides the rate. -
spotDateOffset
DaysAdjustment spotDateOffset
The offset of the start date from the trade date.The offset is applied to the trade date and is typically plus 2 business days.
-
tenor
Tenor tenor
The period between the start date and the end date.
-
-
Class com.opengamma.strata.market.curve.HybridNodalCurve extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
leftCurve
NodalCurve leftCurve
The left nodal curve. -
rightCurve
NodalCurve rightCurve
The right nodal curve.
-
-
Class com.opengamma.strata.market.curve.InflationNodalCurve extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialization Methods
-
readResolve
private Object readResolve()
-
-
Serialized Fields
-
adjustmentType
ShiftType adjustmentType
The shift type applied to the unadjusted value and the adjustment. (value, seasonality) -> adjustmentType.applyShift(value, seasonality). -
seasonality
DoubleArray seasonality
Describes the monthly seasonal adjustments. The array has a dimension of 12, one element for each month. The adjustments are described as a perturbation to the existing values. No adjustment to the fixing value. -
underlying
NodalCurve underlying
The underlying curve, before the seasonality adjustment. This includes the fixed initial value, which is not treated as a parameter.
-
-
Class com.opengamma.strata.market.curve.InterpolatedNodalCurve extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialization Methods
-
readResolve
private Object readResolve()
-
-
Serialized Fields
-
extrapolatorLeft
CurveExtrapolator extrapolatorLeft
The extrapolator for x-values on the left, defaulted to 'Flat". This is used for x-values smaller than the smallest known x-value. -
extrapolatorRight
CurveExtrapolator extrapolatorRight
The extrapolator for x-values on the right, defaulted to 'Flat". This is used for x-values larger than the largest known x-value. -
interpolator
CurveInterpolator interpolator
The interpolator. This is used for x-values between the smallest and largest known x-value. -
metadata
CurveMetadata metadata
The curve metadata.The metadata includes an optional list of parameter metadata. If present, the size of the parameter metadata list will match the number of parameters of this curve.
-
xValues
DoubleArray xValues
The array of x-values, one for each point.This array will contains at least two elements and be of the same length as y-values.
-
yValues
DoubleArray yValues
The array of y-values, one for each point.This array will contains at least two elements and be of the same length as x-values.
-
-
Class com.opengamma.strata.market.curve.InterpolatedNodalCurveDefinition extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
dayCount
DayCount dayCount
The day count, optional.If the x-value of the curve represents time as a year fraction, the day count can be specified to define how the year fraction is calculated.
-
extrapolatorLeft
CurveExtrapolator extrapolatorLeft
The extrapolator used to find points to the left of the leftmost point on the curve. -
extrapolatorRight
CurveExtrapolator extrapolatorRight
The extrapolator used to find points to the right of the rightmost point on the curve. -
interpolator
CurveInterpolator interpolator
The interpolator used to find points on the curve. -
name
CurveName name
The curve name. -
nodes
ImmutableList<CurveNode> nodes
The nodes in the curve.The nodes are used to find the par rates and calibrate the curve. There must be at least two nodes in the curve.
-
xValueType
ValueType xValueType
The x-value type, providing meaning to the x-values of the curve.This type provides meaning to the x-values. For example, the x-value might represent a year fraction, as represented using
ValueType.YEAR_FRACTION
.If using the builder, this defaults to
ValueType.UNKNOWN
. -
yValueType
ValueType yValueType
The y-value type, providing meaning to the y-values of the curve.This type provides meaning to the y-values. For example, the y-value might represent a zero rate, as represented using
ValueType.ZERO_RATE
.If using the builder, this defaults to
ValueType.UNKNOWN
.
-
-
Class com.opengamma.strata.market.curve.IsdaCreditCurveDefinition extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
computeJacobian
boolean computeJacobian
The flag indicating if the Jacobian matrices should be computed and stored in metadata or not. -
currency
Currency currency
The curve currency.The resultant curve will be used for discounting based on this currency. This is typically the same as the currency of the curve node instruments in
curveNodes
. -
curveNodes
ImmutableList<IsdaCreditCurveNode> curveNodes
The curve nodes.The nodes are used to find the par rates and calibrate the curve.
-
curveValuationDate
LocalDate curveValuationDate
The curve valuation date.The date on which the resultant curve is used for pricing. This date is not necessarily the same as the
valuationDate
ofMarketData
on which the market data was snapped. -
dayCount
DayCount dayCount
The day count.If the x-value of the curve represents time as a year fraction, the day count can be specified to define how the year fraction is calculated.
-
name
CurveName name
The curve name. -
storeNodeTrade
boolean storeNodeTrade
The flag indicating if the node trade should be stored or not.This property is used only for credit curve calibration.
-
-
Class com.opengamma.strata.market.curve.IssuerCurveInputsId extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
curveGroupName
CurveGroupName curveGroupName
The curve group name. -
curveName
CurveName curveName
The curve name. -
observableSource
ObservableSource observableSource
The source of observable market data.
-
-
Class com.opengamma.strata.market.curve.JacobianCalibrationMatrix extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
jacobianMatrix
DoubleMatrix jacobianMatrix
The inverse Jacobian matrix produced during curve calibration. This is the derivative of the curve parameters with respect to the market quotes. -
order
ImmutableList<CurveParameterSize> order
The curve order. This defines the order of the curves during calibration, which can be used as a key to interpret the Jacobian matrix.
-
-
Class com.opengamma.strata.market.curve.LegalEntityCurveGroup extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
issuerCurves
ImmutableMap<Pair<LegalEntityGroup,Currency>,Curve> issuerCurves
The issuer curves in the curve group, keyed by legal entity group and currency. -
name
CurveGroupName name
The name of the curve group. -
repoCurves
ImmutableMap<Pair<RepoGroup,Currency>,Curve> repoCurves
The repo curves in the curve group, keyed by repo group and currency.
-
-
Class com.opengamma.strata.market.curve.LegalEntityCurveGroupId extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
curveGroupName
CurveGroupName curveGroupName
The curve group name. -
observableSource
ObservableSource observableSource
The source of observable market data.
-
-
Class com.opengamma.strata.market.curve.LegalEntityGroup extends TypedString<LegalEntityGroup> implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.market.curve.ParallelShiftedCurve extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
shiftAmount
double shiftAmount
The amount by which y-values are shifted. The meaning of this amount is determined by#getShiftType()
. -
shiftType
ShiftType shiftType
The type of shift to apply to the y-values of the curve. The amount of the shift is determined by#getShiftAmount()
. -
underlyingCurve
Curve underlyingCurve
The underlying curve.
-
-
Class com.opengamma.strata.market.curve.RatesCurveGroup extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
discountCurves
ImmutableMap<Currency,Curve> discountCurves
The discount curves in the group, keyed by currency. -
forwardCurves
ImmutableMap<Index,Curve> forwardCurves
The forward curves in the group, keyed by index. -
name
CurveGroupName name
The name of the curve group.
-
-
Class com.opengamma.strata.market.curve.RatesCurveGroupDefinition extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialization Methods
-
readResolve
private Object readResolve()
-
-
Serialized Fields
-
computeJacobian
boolean computeJacobian
The flag indicating if the Jacobian matrices should be computed and stored in metadata or not. -
computePvSensitivityToMarketQuote
boolean computePvSensitivityToMarketQuote
The flag indicating if present value sensitivity to market quotes should be computed and stored in metadata or not. -
curveDefinitions
ImmutableList<CurveDefinition> curveDefinitions
Definitions which specify how the curves are calibrated.Curve definitions are required for curves that need to be calibrated. A definition is not necessary if the curve is not built by the Strata curve calibrator.
-
entries
ImmutableList<RatesCurveGroupEntry> entries
The configuration for building the curves in the group. -
name
CurveGroupName name
The name of the curve group. -
seasonalityDefinitions
ImmutableMap<CurveName,SeasonalityDefinition> seasonalityDefinitions
Definitions which specify which seasonality should be used for some price index curves.If a curve linked to a price index does not have an entry in the map, no seasonality is used for that curve.
-
-
Class com.opengamma.strata.market.curve.RatesCurveGroupEntry extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
curveName
CurveName curveName
The curve name. -
discountCurrencies
ImmutableSet<Currency> discountCurrencies
The currencies for which the curve provides discount rates. This is empty if the curve is not used for Ibor rates. -
indices
ImmutableSet<Index> indices
The indices for which the curve provides forward rates. This is empty if the curve is not used for forward rates.
-
-
Class com.opengamma.strata.market.curve.RatesCurveGroupId extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
curveGroupName
CurveGroupName curveGroupName
The curve group name. -
observableSource
ObservableSource observableSource
The source of observable market data.
-
-
Class com.opengamma.strata.market.curve.RatesCurveInputs extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
curveMetadata
CurveMetadata curveMetadata
The metadata for the curve.This is used to identify the curve and the necessary pieces of market data.
-
marketData
ImmutableMap<? extends MarketDataId<?>,?> marketData
The market data.There will typically be at least one entry for each node on the curve.
-
-
Class com.opengamma.strata.market.curve.RatesCurveInputsId extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
curveGroupName
CurveGroupName curveGroupName
The curve group name. -
curveName
CurveName curveName
The curve name. -
observableSource
ObservableSource observableSource
The source of observable market data.
-
-
Class com.opengamma.strata.market.curve.RepoCurveInputsId extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
curveGroupName
CurveGroupName curveGroupName
The curve group name. -
curveName
CurveName curveName
The curve name. -
observableSource
ObservableSource observableSource
The source of observable market data.
-
-
Class com.opengamma.strata.market.curve.RepoGroup extends TypedString<RepoGroup> implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.market.curve.SeasonalityDefinition extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
adjustmentType
ShiftType adjustmentType
The shift type applied to the unadjusted value and the adjustment. (value, seasonality) -> adjustmentType.applyShift(value, seasonality). -
seasonalityMonthOnMonth
DoubleArray seasonalityMonthOnMonth
The month on month adjustment.This is an array of length 12, with the first element being the adjustment from January to February, the second element being the adjustment from February to March, and so on to the 12th element being the adjustment from December to January.
-
-
Class com.opengamma.strata.market.curve.SimpleCurveParameterMetadata extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
xValue
double xValue
The x-value. -
xValueType
ValueType xValueType
The type of the x-value.
-
-
Class com.opengamma.strata.market.curve.SwapIsdaCreditCurveNode extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
businessDayAdjustment
BusinessDayAdjustment businessDayAdjustment
The business day adjustment to apply to the start date, end date and accrual schedule.The date property is an unadjusted date and as such might be a weekend or holiday. The adjustment specified here is used to convert a relevant date to a valid business day.
-
dayCount
DayCount dayCount
The day count convention applicable.This is used to convert schedule period dates to a numerical value.
-
label
String label
The label to use for the node, defaulted.When building, this will default based on the tenor if not specified.
-
observableId
ObservableId observableId
The identifier of the market data value that provides the rate. -
paymentFrequency
Frequency paymentFrequency
The periodic frequency of payments, optional with defaulting getter.Regular payments will be made at the specified periodic frequency. The compounding is not allowed in this node. Thus the frequency is the same as the accrual periodic frequency.
-
spotDateOffset
DaysAdjustment spotDateOffset
The offset of the start date from the trade date.The offset is applied to the trade date and is typically plus 2 business days.
-
tenor
Tenor tenor
The tenor of the swap.This is the period from the first accrual date to the last accrual date.
-
-
-
Package com.opengamma.strata.market.curve.node
-
Class com.opengamma.strata.market.curve.node.CdsIndexIsdaCreditCurveNode extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
cdsIndexId
StandardId cdsIndexId
The CDS index identifier.This identifier is used to refer this CDS index product.
-
fixedRate
Double fixedRate
The fixed coupon rate.This must be represented in decimal form.
-
label
String label
The label to use for the node.When building, this will default based on
template
if not specified. -
legalEntityIds
ImmutableList<StandardId> legalEntityIds
The legal entity identifiers.These identifiers refer to the reference legal entities of the CDS index.
-
observableId
ObservableId observableId
The identifier of the market data value that provides the quoted value. -
quoteConvention
CdsQuoteConvention quoteConvention
The market quote convention.The CDS index is quoted in par spread, points upfront or quoted spread. See
CdsQuoteConvention
for detail. -
template
CdsTemplate template
The template for the single names associated with this node.
-
-
Class com.opengamma.strata.market.curve.node.CdsIsdaCreditCurveNode extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
fixedRate
Double fixedRate
The fixed coupon rate.This must be represented in decimal form.
-
label
String label
The label to use for the node.When building, this will default based on
template
if not specified. -
legalEntityId
StandardId legalEntityId
The legal entity identifier.This identifier is used for the reference legal entity of the CDS.
-
observableId
ObservableId observableId
The identifier of the market data value that provides the quoted value. -
quoteConvention
CdsQuoteConvention quoteConvention
The market quote convention.The CDS is quoted in par spread, points upfront or quoted spread. See
CdsQuoteConvention
for detail. -
template
CdsTemplate template
The template for the CDS associated with this node.
-
-
Class com.opengamma.strata.market.curve.node.FixedIborSwapCurveNode extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
additionalSpread
double additionalSpread
The additional spread added to the rate. -
date
CurveNodeDate date
The method by which the date of the node is calculated, defaulted to 'End'. -
dateOrder
CurveNodeDateOrder dateOrder
The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default toCurveNodeDateOrder.DEFAULT
. -
label
String label
The label to use for the node, defaulted.When building, this will default based on the tenor if not specified.
-
rateId
ObservableId rateId
The identifier of the market data value that provides the rate. -
template
FixedIborSwapTemplate template
The template for the swap associated with this node.
-
-
Class com.opengamma.strata.market.curve.node.FixedInflationSwapCurveNode extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
additionalSpread
double additionalSpread
The additional spread added to the fixed rate. -
date
CurveNodeDate date
The method by which the date of the node is calculated, defaulted to 'End'. -
dateOrder
CurveNodeDateOrder dateOrder
The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default toCurveNodeDateOrder.DEFAULT
. -
label
String label
The label to use for the node, defaulted.When building, this will default based on the tenor if not specified.
-
rateId
ObservableId rateId
The identifier of the market data value that provides the rate. -
template
FixedInflationSwapTemplate template
The template for the swap associated with this node.
-
-
Class com.opengamma.strata.market.curve.node.FixedOvernightSwapCurveNode extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
additionalSpread
double additionalSpread
The additional spread added to the rate. -
date
CurveNodeDate date
The method by which the date of the node is calculated, defaulted to 'End'. -
dateOrder
CurveNodeDateOrder dateOrder
The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default toCurveNodeDateOrder.DEFAULT
. -
label
String label
The label to use for the node, defaulted.When building, this will default based on the tenor if not specified.
-
rateId
ObservableId rateId
The identifier of the market data value that provides the rate. -
template
FixedOvernightSwapTemplate template
The template for the swap associated with this node.
-
-
Class com.opengamma.strata.market.curve.node.FraCurveNode extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
additionalSpread
double additionalSpread
The additional spread added to the rate. -
date
CurveNodeDate date
The method by which the date of the node is calculated, defaulted to 'End'. -
dateOrder
CurveNodeDateOrder dateOrder
The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default toCurveNodeDateOrder.DEFAULT
. -
label
String label
The label to use for the node, defaulted.When building, this will default based on the period to end if not specified.
-
rateId
ObservableId rateId
The identifier of the market data value that provides the rate. -
template
FraTemplate template
The template for the FRA associated with this node.
-
-
Class com.opengamma.strata.market.curve.node.FxSwapCurveNode extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
date
CurveNodeDate date
The method by which the date of the node is calculated, defaulted to 'End'. -
dateOrder
CurveNodeDateOrder dateOrder
The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default toCurveNodeDateOrder.DEFAULT
. -
farForwardPointsId
ObservableId farForwardPointsId
The identifier of the market data value which provides the FX forward points. -
fxRateId
FxRateId fxRateId
The identifier used to obtain the FX rate market value, defaulted from the template. This only needs to be specified if using multiple market data sources. -
label
String label
The label to use for the node, defaulted.When building, this will default based on the far period if not specified.
-
template
FxSwapTemplate template
The template for the FX Swap associated with this node.
-
-
Class com.opengamma.strata.market.curve.node.IborFixingDepositCurveNode extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
additionalSpread
double additionalSpread
The additional spread added to the rate. -
date
CurveNodeDate date
The method by which the date of the node is calculated, defaulted to 'End'. -
dateOrder
CurveNodeDateOrder dateOrder
The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default toCurveNodeDateOrder.DEFAULT
. -
label
String label
The label to use for the node, defaulted.When building, this will default based on the deposit period if not specified.
-
rateId
ObservableId rateId
The identifier of the market data value that provides the rate. -
template
IborFixingDepositTemplate template
The template for the Ibor fixing deposit associated with this node.
-
-
Class com.opengamma.strata.market.curve.node.IborFutureCurveNode extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
additionalSpread
double additionalSpread
The additional spread added to the price. This amount is directly added to the price, where 0.993 represents a 0.7% rate. -
date
CurveNodeDate date
The method by which the date of the node is calculated, defaulted to 'End'. -
dateOrder
CurveNodeDateOrder dateOrder
The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default toCurveNodeDateOrder.DEFAULT
. -
label
String label
The label to use for the node, may be empty.If empty, a default label will be created when the metadata is built. The default label depends on the valuation date, so cannot be created in the node.
-
rateId
QuoteId rateId
The identifier of the market data value which provides the price. -
template
IborFutureTemplate template
The template for the Ibor Futures associated with this node.
-
-
Class com.opengamma.strata.market.curve.node.IborIborSwapCurveNode extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
additionalSpread
double additionalSpread
The additional spread added to the market quote. -
date
CurveNodeDate date
The method by which the date of the node is calculated, defaulted to 'End'. -
dateOrder
CurveNodeDateOrder dateOrder
The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default toCurveNodeDateOrder.DEFAULT
. -
label
String label
The label to use for the node, defaulted.When building, this will default based on the tenor if not specified.
-
rateId
ObservableId rateId
The identifier of the market data value that provides the rate. -
template
IborIborSwapTemplate template
The template for the swap associated with this node.
-
-
Class com.opengamma.strata.market.curve.node.OvernightFutureCurveNode extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
additionalSpread
double additionalSpread
The additional spread added to the price. This amount is directly added to the price, where 0.993 represents a 0.7% rate. -
date
CurveNodeDate date
The method by which the date of the node is calculated, defaulted to 'End'. -
dateOrder
CurveNodeDateOrder dateOrder
The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default toCurveNodeDateOrder.DEFAULT
. -
label
String label
The label to use for the node, may be empty.If empty, a default label will be created when the metadata is built. The default label depends on the valuation date, so cannot be created in the node.
-
rateId
QuoteId rateId
The identifier of the market data value which provides the price. -
template
OvernightFutureTemplate template
The template for the Overnight Futures associated with this node. The contract specification of the future.
-
-
Class com.opengamma.strata.market.curve.node.OvernightIborSwapCurveNode extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
additionalSpread
double additionalSpread
The additional spread added to the rate. -
date
CurveNodeDate date
The method by which the date of the node is calculated, defaulted to 'End'. -
dateOrder
CurveNodeDateOrder dateOrder
The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default toCurveNodeDateOrder.DEFAULT
. -
label
String label
The label to use for the node, defaulted.When building, this will default based on the tenor if not specified.
-
rateId
ObservableId rateId
The identifier of the market data value that provides the rate. -
template
OvernightIborSwapTemplate template
The template for the swap associated with this node.
-
-
Class com.opengamma.strata.market.curve.node.TermDepositCurveNode extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
additionalSpread
double additionalSpread
The additional spread added to the rate. -
date
CurveNodeDate date
The method by which the date of the node is calculated, defaulted to 'End'. -
dateOrder
CurveNodeDateOrder dateOrder
The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default toCurveNodeDateOrder.DEFAULT
. -
label
String label
The label to use for the node, defaulted.When building, this will default based on the deposit period if not specified.
-
rateId
ObservableId rateId
The identifier of the market data value that provides the rate. -
template
TermDepositTemplate template
The template for the term deposit associated with this node.
-
-
Class com.opengamma.strata.market.curve.node.ThreeLegBasisSwapCurveNode extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
additionalSpread
double additionalSpread
The additional spread added to the market quote. -
date
CurveNodeDate date
The method by which the date of the node is calculated, defaulted to 'End'. -
dateOrder
CurveNodeDateOrder dateOrder
The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default toCurveNodeDateOrder.DEFAULT
. -
label
String label
The label to use for the node, defaulted.When building, this will default based on the tenor if not specified.
-
rateId
ObservableId rateId
The identifier of the market data value that provides the rate. -
template
ThreeLegBasisSwapTemplate template
The template for the swap associated with this node.
-
-
Class com.opengamma.strata.market.curve.node.XCcyIborIborSwapCurveNode extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
additionalSpread
double additionalSpread
The additional spread added to the market quote. -
date
CurveNodeDate date
The method by which the date of the node is calculated, defaulted to 'End'. -
dateOrder
CurveNodeDateOrder dateOrder
The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default toCurveNodeDateOrder.DEFAULT
. -
fxRateId
FxRateId fxRateId
The identifier used to obtain the FX rate market value, defaulted from the template. This only needs to be specified if using multiple market data sources. -
label
String label
The label to use for the node, defaulted.When building, this will default based on the tenor if not specified.
-
spreadId
ObservableId spreadId
The identifier of the market data value which provides the spread. -
template
XCcyIborIborSwapTemplate template
The template for the swap associated with this node.
-
-
-
Package com.opengamma.strata.market.explain
-
Class com.opengamma.strata.market.explain.ExplainKey extends TypedString<ExplainKey<T>> implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.market.explain.ExplainMap extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
map
ImmutableMap<ExplainKey<?>,Object> map
The map of explanatory values.
-
-
-
Package com.opengamma.strata.market.observable
-
Class com.opengamma.strata.market.observable.IndexQuoteId extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
fieldName
FieldName fieldName
The field name in the market data record that contains the market data item. The most common field name is market value. -
index
Index index
The index. -
observableSource
ObservableSource observableSource
The source of observable market data.
-
-
Class com.opengamma.strata.market.observable.LegalEntityInformation extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
defaulted
boolean defaulted
Whether the legal entity has defaulted or not.True if defaulted, false otherwise.
-
legalEntityId
StandardId legalEntityId
The legal entity identifier.
-
-
Class com.opengamma.strata.market.observable.LegalEntityInformationId extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
legalEntityId
StandardId legalEntityId
The legal entity identifier.
-
-
Class com.opengamma.strata.market.observable.QuoteId extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
fieldName
FieldName fieldName
The field name in the market data record that contains the market data item. The most common field name is market value. -
observableSource
ObservableSource observableSource
The source of observable market data. -
standardId
StandardId standardId
The identifier of the data. This is typically an identifier from an external data provider.
-
-
Class com.opengamma.strata.market.observable.QuoteScenarioArray extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
quotes
DoubleArray quotes
The values of the quotes.
-
-
Class com.opengamma.strata.market.observable.QuoteScenarioArrayId extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
id
QuoteId id
The market data key identifying the quote.
-
-
-
Package com.opengamma.strata.market.option
-
Class com.opengamma.strata.market.option.DeltaStrike extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
value
double value
The value of absolute delta.
-
-
Class com.opengamma.strata.market.option.LogMoneynessStrike extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
value
double value
The value of log-moneyness.
-
-
Class com.opengamma.strata.market.option.MoneynessStrike extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
value
double value
The value of moneyness.
-
-
Class com.opengamma.strata.market.option.SimpleStrike extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
value
double value
The value of strike.
-
-
Class com.opengamma.strata.market.option.StrikeType extends TypedString<StrikeType> implements Serializable
- serialVersionUID:
- 1L
-
-
Package com.opengamma.strata.market.param
-
Class com.opengamma.strata.market.param.CrossGammaParameterSensitivities extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
sensitivities
ImmutableList<CrossGammaParameterSensitivity> sensitivities
The parameter sensitivities.Each entry includes details of the
ParameterizedData
it relates to.
-
-
Class com.opengamma.strata.market.param.CrossGammaParameterSensitivity extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
currency
Currency currency
The currency of the sensitivity. -
marketDataName
MarketDataName<?> marketDataName
The market data name.This name is used in the market data system to identify the data that the sensitivities refer to.
-
order
ImmutableList<Pair<MarketDataName<?>,List<? extends ParameterMetadata>>> order
The sensitivity order.This defines the order of sensitivity values, which can be used as a key to interpret
sensitivity
. -
parameterMetadata
ImmutableList<ParameterMetadata> parameterMetadata
The list of parameter metadata.There is one entry for each parameter.
-
sensitivity
DoubleMatrix sensitivity
The parameter sensitivity values.The curve delta sensitivities to parameterized market data. This is a
n x m
matrix, wheren
must agree with the size ofparameterMetadata
andm
must be the sum of parameter count inorder
.
-
-
Class com.opengamma.strata.market.param.CurrencyParameterSensitivities extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
sensitivities
ImmutableList<CurrencyParameterSensitivity> sensitivities
The parameter sensitivities.Each entry includes details of the
ParameterizedData
it relates to.
-
-
Class com.opengamma.strata.market.param.CurrencyParameterSensitivity extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
currency
Currency currency
The currency of the sensitivity. -
marketDataName
MarketDataName<?> marketDataName
The market data name.This name is used in the market data system to identify the data that the sensitivities refer to.
-
parameterMetadata
ImmutableList<ParameterMetadata> parameterMetadata
The list of parameter metadata.There is one entry for each parameter.
-
parameterSplit
ImmutableList<ParameterSize> parameterSplit
The split of parameters between the underlying parameterized data.A single
CurrencyParameterSensitivity
represents the sensitivity to a singleParameterizedData
instance. However, aParameterizedData
instance can itself be backed by more than one underlying instance. For example, a curve formed from two underlying curves. If this list is present, it represents how to split this sensitivity between the underlying instances. -
sensitivity
DoubleArray sensitivity
The parameter sensitivity values.There is one sensitivity value for each parameter.
-
-
Class com.opengamma.strata.market.param.LabelDateParameterMetadata extends Object implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.market.param.LabelParameterMetadata extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
label
String label
The label that describes the parameter.
-
-
Class com.opengamma.strata.market.param.ParameterSize extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
name
MarketDataName<?> name
The name of the market data. -
parameterCount
int parameterCount
The number of parameters.
-
-
Class com.opengamma.strata.market.param.PointShifts extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
nodeIndices
ImmutableMap<Object,Integer> nodeIndices
Indices of each parameter, keyed by an object identifying the node.The key is typically the node identifier. The key may also be the node label.
-
shifts
DoubleMatrix shifts
The shift to apply to the rates.There is one row in the matrix for each scenario and one column for each parameter in the data. Node indices are found using
nodeIndices
. -
shiftType
ShiftType shiftType
The type of shift applied to the parameters.
-
-
Class com.opengamma.strata.market.param.ResolvedTradeParameterMetadata extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
label
String label
The label that describes the parameter. -
trade
ResolvedTrade trade
The trade that describes the parameter.
-
-
Class com.opengamma.strata.market.param.TenorDateParameterMetadata extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
date
LocalDate date
The date associated with the parameter.This is the date that is most closely associated with the parameter. The actual parameter is typically a year fraction based on a day count.
-
label
String label
The label that describes the parameter, defaulted to the tenor. -
tenor
Tenor tenor
The tenor associated with the parameter.
-
-
Class com.opengamma.strata.market.param.TenorParameterMetadata extends Object implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.market.param.TenorTenorParameterMetadata extends Object implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.market.param.UnitParameterSensitivities extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
sensitivities
ImmutableList<UnitParameterSensitivity> sensitivities
The parameter sensitivities.Each entry includes details of the
ParameterizedData
it relates to.
-
-
Class com.opengamma.strata.market.param.UnitParameterSensitivity extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
marketDataName
MarketDataName<?> marketDataName
The market data name.This name is used in the market data system to identify the data that the sensitivities refer to.
-
parameterMetadata
ImmutableList<ParameterMetadata> parameterMetadata
The list of parameter metadata.There is one entry for each parameter.
-
parameterSplit
ImmutableList<ParameterSize> parameterSplit
The split of parameters between the underlying parameterized data.A single
UnitParameterSensitivity
represents the sensitivity to a singleParameterizedData
instance. However, aParameterizedData
instance can itself be backed by more than one underlying instance. For example, a curve formed from two underlying curves. This list is present, it represents how to split this sensitivity between the underlying instances. -
sensitivity
DoubleArray sensitivity
The parameter sensitivity values.There is one sensitivity value for each parameter.
-
-
Class com.opengamma.strata.market.param.YearMonthDateParameterMetadata extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
date
LocalDate date
The date associated with the parameter.This is the date that is most closely associated with the parameter. The actual parameter is typically a year fraction based on a day count.
-
label
String label
The label that describes the parameter, defaulted to the year-month. -
yearMonth
YearMonth yearMonth
The year-month associated with the parameter.
-
-
-
Package com.opengamma.strata.market.sensitivity
-
Class com.opengamma.strata.market.sensitivity.CurveSensitivities extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
info
PortfolioItemInfo info
The additional information.This allows additional information to be attached to the sensitivities.
-
typedSensitivities
ImmutableMap<CurveSensitivitiesType,CurrencyParameterSensitivities> typedSensitivities
The sensitivities, keyed by type.The map allows sensitivity to different types to be expressed. For example, there might be both delta and gamma sensitivity.
-
-
Class com.opengamma.strata.market.sensitivity.CurveSensitivitiesType extends TypedString<CurveSensitivitiesType> implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.market.sensitivity.PointSensitivities extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
sensitivities
ImmutableList<PointSensitivity> sensitivities
The point sensitivities.Each entry includes details of the market data query it relates to.
-
-
-
Package com.opengamma.strata.market.surface
-
Class com.opengamma.strata.market.surface.ConstantSurface extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialization Methods
-
readResolve
private Object readResolve()
-
-
Serialized Fields
-
metadata
SurfaceMetadata metadata
The surface metadata.The metadata will have not have parameter metadata.
-
zValue
double zValue
The single z-value.
-
-
Class com.opengamma.strata.market.surface.DefaultSurfaceMetadata extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
info
ImmutableMap<SurfaceInfoType<?>,Object> info
The additional surface information.This stores additional information for the surface.
-
parameterMetadata
ImmutableList<ParameterMetadata> parameterMetadata
The metadata about the parameters.If present, the parameter metadata should match the number of parameters on the surface.
-
surfaceName
SurfaceName surfaceName
The surface name. -
xValueType
ValueType xValueType
The x-value type, providing meaning to the x-values of the curve.This type provides meaning to the x-values. For example, the x-value might represent a year fraction, as represented using
ValueType.YEAR_FRACTION
.If using the builder, this defaults to
ValueType.UNKNOWN
. -
yValueType
ValueType yValueType
The y-value type, providing meaning to the y-values of the curve.This type provides meaning to the y-values.
If using the builder, this defaults to
ValueType.UNKNOWN
. -
zValueType
ValueType zValueType
The x-value type, providing meaning to the z-values of the curve.This type provides meaning to the z-values.
If using the builder, this defaults to
ValueType.UNKNOWN
.
-
-
Class com.opengamma.strata.market.surface.DeformedSurface extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
deformationFunction
Function<DoublesPair,ValueDerivatives> deformationFunction
The deformation function.The deformation to the original surface is define by this function. The function takes
DoublesPair
of x-value and y-value, then returnsValueDerivatives
which contains z-value for the specified x,y values, and node sensitivities to the original surface. -
metadata
SurfaceMetadata metadata
The surface metadata.The metadata includes an optional list of parameter metadata.
-
originalSurface
Surface originalSurface
The original surface.The underlying surface which receives the deformation defined by
deformationFunction
.
-
-
Class com.opengamma.strata.market.surface.InterpolatedNodalSurface extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialization Methods
-
readResolve
private Object readResolve()
-
-
Serialized Fields
-
interpolator
SurfaceInterpolator interpolator
The underlying interpolator. -
metadata
SurfaceMetadata metadata
The surface metadata.The metadata includes an optional list of parameter metadata. If present, the size of the parameter metadata list will match the number of parameters of this surface.
-
xValues
DoubleArray xValues
The array of x-values, one for each point.This array will contains at least two elements.
-
yValues
DoubleArray yValues
The array of y-values, one for each point.This array will contains at least two elements and be of the same length as x-values.
-
zValues
DoubleArray zValues
The array of z-values, one for each point.This array will contains at least two elements and be of the same length as x-values.
-
-
Class com.opengamma.strata.market.surface.SimpleSurfaceParameterMetadata extends Object implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.market.surface.SurfaceInfoType extends TypedString<SurfaceInfoType<T>> implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.market.surface.SurfaceName extends MarketDataName<Surface> implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
name
String name
The name.
-
-
-
Package com.opengamma.strata.market.surface.interpolator
-
Class com.opengamma.strata.market.surface.interpolator.GridSurfaceInterpolator extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
xExtrapolatorLeft
CurveExtrapolator xExtrapolatorLeft
The x-value left extrapolator. -
xExtrapolatorRight
CurveExtrapolator xExtrapolatorRight
The x-value right extrapolator. -
xInterpolator
CurveInterpolator xInterpolator
The x-value interpolator. -
yExtrapolatorLeft
CurveExtrapolator yExtrapolatorLeft
The y-value left extrapolator. -
yExtrapolatorRight
CurveExtrapolator yExtrapolatorRight
The y-value right extrapolator. -
yInterpolator
CurveInterpolator yInterpolator
The y-value interpolator.
-
-
-
Package com.opengamma.strata.math
-
Class com.opengamma.strata.math.MathException extends RuntimeException implements Serializable
- serialVersionUID:
- 1L
-
-
Package com.opengamma.strata.math.impl.cern
-
Class com.opengamma.strata.math.impl.cern.ChiSquare extends com.opengamma.strata.math.impl.cern.AbstractContinousDistribution implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
b
double b
-
freedom
double freedom
-
freedom_in
double freedom_in
-
vd
double vd
-
vm
double vm
-
vp
double vp
-
-
Class com.opengamma.strata.math.impl.cern.Gamma extends com.opengamma.strata.math.impl.cern.AbstractContinousDistribution implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
alpha
double alpha
-
lambda
double lambda
-
-
Class com.opengamma.strata.math.impl.cern.MersenneTwister extends RandomEngine implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
mt
int[] mt
-
mti
int mti
-
-
Class com.opengamma.strata.math.impl.cern.MersenneTwister64 extends MersenneTwister implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.math.impl.cern.Normal extends com.opengamma.strata.math.impl.cern.AbstractContinousDistribution implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
cache
double cache
-
cacheFilled
boolean cacheFilled
-
mean
double mean
-
SQRT_INV
double SQRT_INV
-
standardDeviation
double standardDeviation
-
variance
double variance
-
-
Class com.opengamma.strata.math.impl.cern.RandomEngine extends com.opengamma.strata.math.impl.cern.PersistentObject implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.math.impl.cern.StudentT extends com.opengamma.strata.math.impl.cern.AbstractContinousDistribution implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
freedom
double freedom
-
TERM
double TERM
-
-
-
Package com.opengamma.strata.math.impl.statistics.descriptive
-
Class com.opengamma.strata.math.impl.statistics.descriptive.QuantileResult extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
indices
int[] indices
The indices of sample data used in the calculation. For discrete methods, the length is 1 and for interpolated methods, the length is usually 2. -
value
double value
The quantile value. -
weights
DoubleArray weights
The weights of the sample data used in the quantitle calculation. The samples used with those weights are given by the indices.
-
-
-
Package com.opengamma.strata.measure
-
Class com.opengamma.strata.measure.ValuationZoneTimeDefinition extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
defaultLocalTime
LocalTime defaultLocalTime
The default local time.The default local time will be used if the input date is not scenario value or if the scenario size of the input date exceeds the size of
localTimes
. -
localTimes
ImmutableList<LocalTime> localTimes
The local time.The local time in
zoneId
. The size is not necessarily the same as the scenario size.defaultLocalTime
will be used if extraLocalTime
is required. -
zoneId
ZoneId zoneId
The zone ID.
-
-
-
Package com.opengamma.strata.measure.calc
-
Class com.opengamma.strata.measure.calc.TargetTypeCalculationParameter extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
defaultParameter
CalculationParameter defaultParameter
The default underlying parameter. -
parameters
ImmutableMap<Class<?>,CalculationParameter> parameters
The underlying parameters, keyed by target type. -
queryType
Class<? extends CalculationParameter> queryType
The parameter query type.
-
-
Class com.opengamma.strata.measure.calc.TradeCounterpartyCalculationParameter extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
defaultParameter
CalculationParameter defaultParameter
The default underlying parameter. -
parameters
ImmutableMap<StandardId,CalculationParameter> parameters
The underlying parameters, keyed by counterparty ID. -
queryType
Class<? extends CalculationParameter> queryType
The parameter query type.
-
-
-
Package com.opengamma.strata.measure.cms
-
Class com.opengamma.strata.measure.cms.CmsSabrExtrapolationParams extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
cutOffStrike
double cutOffStrike
The cut-off strike.The smile is extrapolated above that level.
-
mu
double mu
The tail thickness parameter.This must be greater than 0 in order to ensure that the call price converges to 0 for infinite strike.
-
-
-
Package com.opengamma.strata.measure.curve
-
Class com.opengamma.strata.measure.curve.RootFinderConfig extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
absoluteTolerance
double absoluteTolerance
The absolute tolerance for the root finder. -
maximumSteps
int maximumSteps
The maximum number of steps for the root finder. -
relativeTolerance
double relativeTolerance
The relative tolerance for the root finder.
-
-
-
Package com.opengamma.strata.measure.fxopt
-
Class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
currencyPair
CurrencyPair currencyPair
-
dayCount
DayCount dayCount
-
name
FxOptionVolatilitiesName name
-
nodes
ImmutableList<FxOptionVolatilitiesNode> nodes
-
strikeExtrapolatorLeft
CurveExtrapolator strikeExtrapolatorLeft
The left extrapolator used in the strike dimension. -
strikeExtrapolatorRight
CurveExtrapolator strikeExtrapolatorRight
The right extrapolator used in the strike dimension. -
strikeInterpolator
CurveInterpolator strikeInterpolator
The interpolator used in the strike dimension. -
timeExtrapolatorLeft
CurveExtrapolator timeExtrapolatorLeft
The left extrapolator used in the time dimension. -
timeExtrapolatorRight
CurveExtrapolator timeExtrapolatorRight
The right extrapolator used in the time dimension. -
timeInterpolator
CurveInterpolator timeInterpolator
The interpolator used in the time dimension.
-
-
Class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
currencyPair
CurrencyPair currencyPair
The currency pair that the volatilities are for. -
dayCount
DayCount dayCount
The day count convention used for the expiry. -
name
FxOptionVolatilitiesName name
The name of the volatilities. -
nodes
ImmutableList<FxOptionVolatilitiesNode> nodes
The nodes in the FX option volatilities.The nodes are used to find the quotes and build the volatilities.
-
strikeExtrapolatorLeft
CurveExtrapolator strikeExtrapolatorLeft
The left extrapolator used in the strike dimension. -
strikeExtrapolatorRight
CurveExtrapolator strikeExtrapolatorRight
The right extrapolator used in the strike dimension. -
strikeInterpolator
CurveInterpolator strikeInterpolator
The interpolator used in the strike dimension. -
timeExtrapolatorLeft
CurveExtrapolator timeExtrapolatorLeft
The left extrapolator used in the time dimension. -
timeExtrapolatorRight
CurveExtrapolator timeExtrapolatorRight
The right extrapolator used in the time dimension. -
timeInterpolator
CurveInterpolator timeInterpolator
The interpolator used in the time dimension.
-
-
Class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
specification
FxOptionVolatilitiesSpecification specification
The FX option volatility specification.
-
-
Class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
businessDayAdjustment
BusinessDayAdjustment businessDayAdjustment
The business day adjustment to apply to the delivery date.Typically this is the same as the standard convention of the business day adjustment applied to the delivery date of the underlying FX forward.
-
currencyPair
CurrencyPair currencyPair
The currency pair.The quote must be based on this currency pair and direction.
-
expiryDateOffset
DaysAdjustment expiryDateOffset
The offset of the expiry date from the delivery date.By default the expiry date offset is the inverse of
spotDateOffset
. In this caseBusinessDayAdjustment
inspotDateOffset
must beNONE
. -
label
String label
The label to use for the node. -
quoteId
QuoteId quoteId
The quote ID. -
quoteValueType
ValueType quoteValueType
The value type of the quote. -
spotDateOffset
DaysAdjustment spotDateOffset
The offset of the spot value date from the valuation date.Typically this is the same as the standard convention of the spot date offset of the underlying FX forward.
-
strike
Strike strike
The strike. -
tenor
Tenor tenor
The tenor.Typically the tenor is coherent to that of the underlying FX forward. Thus it spans the period between spot date to delivery date.
-
-
-
Package com.opengamma.strata.pricer
-
Class com.opengamma.strata.pricer.PricingException extends RuntimeException implements Serializable
- serialVersionUID:
- 1L
-
Class com.opengamma.strata.pricer.SimpleDiscountFactors extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialization Methods
-
readResolve
private Object readResolve()
-
-
Serialized Fields
-
Class com.opengamma.strata.pricer.ZeroRateDiscountFactors extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialization Methods
-
readResolve
private Object readResolve()
-
-
Serialized Fields
-
Class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialization Methods
-
readResolve
private Object readResolve()
-
-
Serialized Fields
-
Class com.opengamma.strata.pricer.ZeroRateSensitivity extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
currency
Currency currency
The currency of the sensitivity. -
curveCurrency
Currency curveCurrency
The currency of the curve for which the sensitivity is computed. -
sensitivity
double sensitivity
The value of the sensitivity. -
yearFraction
double yearFraction
The time that was queried, expressed as a year fraction.
-
-
-
Package com.opengamma.strata.pricer.bond
-
Class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialization Methods
-
readResolve
private Object readResolve()
-
-
Serialized Fields
-
surface
Surface surface
The Black volatility surface.The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the log-moneyness.
-
valuationDateTime
ZonedDateTime valuationDateTime
The valuation date-time.The volatilities are calibrated for this date-time.
-
-
Class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
currency
Currency currency
The currency of the sensitivity. -
expiry
double expiry
The expiry date-time of the option. -
futureExpiryDate
LocalDate futureExpiryDate
The expiry date of the underlying future. -
futurePrice
double futurePrice
The underlying future price. -
sensitivity
double sensitivity
The value of the sensitivity. -
strikePrice
double strikePrice
The option strike price. -
volatilitiesName
BondFutureVolatilitiesName volatilitiesName
The name of the volatilities.
-
-
Class com.opengamma.strata.pricer.bond.BondFutureVolatilitiesId extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
name
BondFutureVolatilitiesName name
The name of the volatilities.
-
-
Class com.opengamma.strata.pricer.bond.BondFutureVolatilitiesName extends MarketDataName<BondFutureVolatilities> implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
name
String name
The name.
-
-
Class com.opengamma.strata.pricer.bond.BondVolatilitiesName extends MarketDataName<BondYieldVolatilities> implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
name
String name
The name.
-
-
Class com.opengamma.strata.pricer.bond.BondYieldSensitivity extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
currency
Currency currency
The currency of the sensitivity. -
duration
double duration
The underlying duration. -
expiry
double expiry
The time to expiry of the option as a year fraction. -
forward
double forward
The underlying bond forward yield. -
sensitivity
double sensitivity
The value of the sensitivity. -
strike
double strike
The strike yield. -
volatilitiesName
BondVolatilitiesName volatilitiesName
The name of the volatilities.
-
-
Class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
issuerCurveGroups
ImmutableMap<LegalEntityId,LegalEntityGroup> issuerCurveGroups
The groups used to find an issuer curve by legal entity.This maps the legal entity ID to a group. The group is used to find the curve in
issuerCurves
.This property was renamed in version 1.1 of Strata from
legalEntityMap
. -
issuerCurves
ImmutableMap<Pair<LegalEntityGroup,Currency>,DiscountFactors> issuerCurves
The issuer curves, keyed by group and currency. The curve data, predicting the future, associated with each legal entity group and currency. -
repoCurveGroups
ImmutableMap<LegalEntityId,RepoGroup> repoCurveGroups
The groups used to find a repo curve by legal entity.This maps the legal entity ID to a group. The group is used to find the curve in
repoCurves
. -
repoCurves
ImmutableMap<Pair<RepoGroup,Currency>,DiscountFactors> repoCurves
The repo curves, keyed by group and currency. The curve data, predicting the future, associated with each repo group and currency. -
repoCurveSecurityGroups
ImmutableMap<SecurityId,RepoGroup> repoCurveSecurityGroups
The groups used to find a repo curve by security.This maps the security ID to a group. The group is used to find the curve in
repoCurves
. -
valuationDate
LocalDate valuationDate
The valuation date. All curves and other data items in this provider are calibrated for this date.
-
-
Class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
discountFactors
DiscountFactors discountFactors
The underlying discount factors for a single currency.This contains curve, curve currency, valuation date and day count convention. The discount factor, its point sensitivity and curve sensitivity are computed by this
DiscountFactors
. -
legalEntityGroup
LegalEntityGroup legalEntityGroup
The legal entity group.The group defines the legal entity that the discount factors are for.
-
-
Class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
currency
Currency currency
The currency of the sensitivity. -
curveCurrency
Currency curveCurrency
The currency of the curve for which the sensitivity is computed. -
legalEntityGroup
LegalEntityGroup legalEntityGroup
The legal entity group.The group defines the legal entity that the discount factors are for.
-
sensitivity
double sensitivity
The value of the sensitivity. -
yearFraction
double yearFraction
The time that was queried, expressed as a year fraction.
-
-
Class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialization Methods
-
readResolve
private Object readResolve()
-
-
Serialized Fields
-
currency
Currency currency
The currency. -
surface
Surface surface
The normal volatility surface.The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the duration, as a year fraction.
-
valuationDateTime
ZonedDateTime valuationDateTime
The valuation date-time.The volatilities are calibrated for this date-time.
-
-
Class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
discountFactors
DiscountFactors discountFactors
The underlying discount factors for a single currency.This contains curve, curve currency, valuation date and day count convention. The discount factor, its point sensitivity and curve sensitivity are computed by this
DiscountFactors
. -
repoGroup
RepoGroup repoGroup
The repo group.This defines the group that the discount factors are for.
-
-
Class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
currency
Currency currency
The currency of the sensitivity. -
curveCurrency
Currency curveCurrency
The currency of the curve for which the sensitivity is computed. -
repoGroup
RepoGroup repoGroup
The repo group.This defines the group that the discount factors are for.
-
sensitivity
double sensitivity
The value of the sensitivity. -
yearFraction
double yearFraction
The time that was queried, expressed as a year fraction.
-
-
-
Package com.opengamma.strata.pricer.capfloor
-
Class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialization Methods
-
readResolve
private Object readResolve()
-
-
Serialized Fields
-
curve
Curve curve
The Black volatility curve.The x-value of the curve is the expiry, as a year fraction. The y-value of the curve is the volatility.
-
index
IborIndex index
The Ibor index.The data must valid in terms of this Ibor index.
-
valuationDateTime
ZonedDateTime valuationDateTime
The valuation date-time.The volatilities are calibrated for this date-time.
-
-
Class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialization Methods
-
readResolve
private Object readResolve()
-
-
Serialized Fields
-
index
IborIndex index
The Ibor index.The data must valid in terms of this Ibor index.
-
surface
Surface surface
The Black volatility surface.The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the strike.
-
valuationDateTime
ZonedDateTime valuationDateTime
The valuation date-time.The volatilities are calibrated for this date-time.
-
-
Class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
dayCount
DayCount dayCount
The day count to measure the time. -
extrapolatorLeft
CurveExtrapolator extrapolatorLeft
The extrapolator for the caplet volatilities on the left. -
extrapolatorRight
CurveExtrapolator extrapolatorRight
The extrapolator for the caplet volatilities on the right. -
index
IborIndex index
The Ibor index for which the data is valid. -
interpolator
CurveInterpolator interpolator
The interpolator for the caplet volatilities. -
lambda
double lambda
Penalty intensity parameter. -
name
IborCapletFloorletVolatilitiesName name
The name of the volatilities.
-
-
Class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
dayCount
DayCount dayCount
The day count to measure the time in the expiry dimension. -
index
IborIndex index
The Ibor index for which the data is valid. -
interpolator
GridSurfaceInterpolator interpolator
The interpolator for the caplet volatilities. -
lambdaExpiry
double lambdaExpiry
Penalty intensity parameter for expiry dimension. -
lambdaStrike
double lambdaStrike
Penalty intensity parameter for strike dimension. -
name
IborCapletFloorletVolatilitiesName name
The name of the volatilities. -
shiftCurve
Curve shiftCurve
The shift parameter of shifted Black model.The x value of the curve is the expiry. The market volatilities are calibrated to shifted Black model if this field is not null.
-
-
Class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
amounts
ImmutableMap<IborCapletFloorletPeriod,Double> amounts
The map of Ibor caplet/floorlet periods to the double amount.
-
-
Class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
amounts
ImmutableMap<IborCapletFloorletPeriod,CurrencyAmount> amounts
The map of Ibor caplet/floorlet periods to the currency amount.
-
-
Class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
currency
Currency currency
The currency of the sensitivity. -
expiry
double expiry
The time to expiry of the option as a year fraction. -
sensitivity
double sensitivity
The value of the sensitivity. -
sensitivityType
SabrParameterType sensitivityType
The type of the sensitivity. -
volatilitiesName
IborCapletFloorletVolatilitiesName volatilitiesName
The name of the volatilities.
-
-
Class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
currency
Currency currency
The currency of the sensitivity. -
expiry
double expiry
The time to expiry of the option as a year fraction. -
forward
double forward
The forward rate. -
sensitivity
double sensitivity
The value of the sensitivity. -
strike
double strike
The strike rate. -
volatilitiesName
IborCapletFloorletVolatilitiesName volatilitiesName
The name of the volatilities.
-
-
Class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilitiesId extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
name
IborCapletFloorletVolatilitiesName name
The name of the volatilities.
-
-
Class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilitiesName extends MarketDataName<IborCapletFloorletVolatilities> implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
name
String name
The name.
-
-
Class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityCalibrationResult extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
chiSquare
double chiSquare
The chi-square value.The chi square is 0 if the volatilities are computed by root-finding. The chi square is generally non-zero if the volatilities are computed by least square method.
-
volatilities
IborCapletFloorletVolatilities volatilities
The caplet volatilities.
-
-
Class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialization Methods
-
readResolve
private Object readResolve()
-
-
Serialized Fields
-
curve
Curve curve
The normal volatility curve.- The x-value type must be
ValueType.YEAR_FRACTION
- The y-value type must be
ValueType.NORMAL_VOLATILITY
- The x-value type must be
-
index
IborIndex index
The Ibor index.The data must valid in terms of this Ibor index.
-
valuationDateTime
ZonedDateTime valuationDateTime
The valuation date-time.The volatilities are calibrated for this date-time.
-
-
Class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialization Methods
-
readResolve
private Object readResolve()
-
-
Serialized Fields
-
index
IborIndex index
The Ibor index.The data must valid in terms of this Ibor index.
-
surface
Surface surface
The normal volatility surface.The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the strike.
-
valuationDateTime
ZonedDateTime valuationDateTime
The valuation date-time.The volatilities are calibrated for this date-time.
-
-
Class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities extends Object implements Serializable
- serialVersionUID:
- 1L
-
Serialized Fields
-
dataSensitivityAlpha
ImmutableList<DoubleArray> dataSensitivityAlpha
The sensitivity of the Alpha parameters to the raw data used for calibration.The order of the sensitivities have to be coherent with the curve parameter metadata.
-
dataSensitivityBeta
ImmutableList<DoubleArray> dataSensitivityBeta
The sensitivity of the Beta parameters to the raw data used for calibration.The order of the sensitivities have to be coherent with the curve parameter metadata.
-
dataSensitivityNu
ImmutableList<DoubleArray> dataSensitivityNu
The sensitivity of the Nu parameters to the raw data used for calibration.The order of the sensitivities have to be coherent with the curve parameter metadata.
-
dataSensitivityRho
ImmutableList<DoubleArray> dataSensitivityRho