## Uses of Classcom.opengamma.strata.basics.value.ValueDerivatives

• Packages that use ValueDerivatives
Package Description
com.opengamma.strata.basics.value
Basic financial tools for working with values.
com.opengamma.strata.market.surface
Definitions of surfaces.
com.opengamma.strata.pricer.capfloor
Calculators for Ibor cap-floor.
com.opengamma.strata.pricer.model
Common code for model pricing.
com.opengamma.strata.pricer.swap
Calculators for interest rate swaps.
com.opengamma.strata.pricer.swaption
Calculators for swaptions.
• ### Uses of ValueDerivatives in com.opengamma.strata.basics.value

Methods in com.opengamma.strata.basics.value that return ValueDerivatives
Modifier and Type Method and Description
static ValueDerivatives ValueDerivatives.of(double value, DoubleArray derivatives)
Obtains an instance from a value and array of derivatives.
Methods in com.opengamma.strata.basics.value that return types with arguments of type ValueDerivatives
Modifier and Type Method and Description
static TypedMetaBean<ValueDerivatives> ValueDerivatives.meta()
The meta-bean for ValueDerivatives.
TypedMetaBean<ValueDerivatives> ValueDerivatives.metaBean()
• ### Uses of ValueDerivatives in com.opengamma.strata.market.surface

Methods in com.opengamma.strata.market.surface that return types with arguments of type ValueDerivatives
Modifier and Type Method and Description
MetaProperty<Function<DoublesPair,ValueDerivatives>> DeformedSurface.Meta.deformationFunction()
The meta-property for the deformationFunction property.
Function<DoublesPair,ValueDerivatives> DeformedSurface.getDeformationFunction()
Gets the deformation function.
Method parameters in com.opengamma.strata.market.surface with type arguments of type ValueDerivatives
Modifier and Type Method and Description
DeformedSurface.Builder DeformedSurface.Builder.deformationFunction(Function<DoublesPair,ValueDerivatives> deformationFunction)
Sets the deformation function.
static DeformedSurface DeformedSurface.of(SurfaceMetadata metadata, Surface originalSurface, Function<DoublesPair,ValueDerivatives> deformationFunction)
Obtains an instance.
• ### Uses of ValueDerivatives in com.opengamma.strata.pricer.capfloor

Methods in com.opengamma.strata.pricer.capfloor that return ValueDerivatives
Modifier and Type Method and Description
ValueDerivatives SabrIborCapletFloorletVolatilities.volatilityAdjoint(double expiry, double strike, double forward)
Calculates the volatility and associated sensitivities.
ValueDerivatives SabrParametersIborCapletFloorletVolatilities.volatilityAdjoint(double expiry, double strike, double forward)
• ### Uses of ValueDerivatives in com.opengamma.strata.pricer.model

Methods in com.opengamma.strata.pricer.model that return ValueDerivatives
Modifier and Type Method and Description
ValueDerivatives HullWhiteOneFactorPiecewiseConstantParametersProvider.alphaAdjoint(LocalDate startDate, LocalDate endDate, LocalDate numeraireDate, LocalDate maturityDate)
Calculates the alpha and its derivative values for the specified period with respect to the maturity date.
ValueDerivatives HullWhiteOneFactorPiecewiseConstantParametersProvider.futuresConvexityFactorAdjoint(LocalDate referenceDate, LocalDate startDate, LocalDate endDate)
Calculates the future convexity factor and its derivative for the specified period at the future reference date.
ValueDerivatives SabrParameters.volatilityAdjoint(double expiry, double strike, double forward)
Calculates the volatility and associated sensitivities.
ValueDerivatives SabrInterestRateParameters.volatilityAdjoint(double expiry, double tenor, double strike, double forward)
Calculates the volatility and associated sensitivities.
ValueDerivatives SabrVolatilityFormula.volatilityAdjoint(double forward, double strike, double timeToExpiry, double alpha, double beta, double rho, double nu)
Calculates volatility and the adjoint (volatility sensitivity to forward, strike and model parameters).
• ### Uses of ValueDerivatives in com.opengamma.strata.pricer.swap

Methods in com.opengamma.strata.pricer.swap that return ValueDerivatives
Modifier and Type Method and Description
ValueDerivatives DiscountingSwapLegPricer.annuityCash1(int nbPaymentsPerYear, int nbPeriods, double yield)
Computes the conventional cash annuity for a given yield and its first derivative with respect to the yield.
ValueDerivatives DiscountingSwapLegPricer.annuityCash2(int nbPaymentsPerYear, int nbPeriods, double yield)
Computes the conventional cash annuity for a given yield and its first two derivatives with respect to the yield.
ValueDerivatives DiscountingSwapLegPricer.annuityCash3(int nbPaymentsPerYear, int nbPeriods, double yield)
Computes the conventional cash annuity for a given yield and its first three derivatives with respect to the yield.
ValueDerivatives DiscountingSwapLegPricer.annuityCashDerivative(ResolvedSwapLeg fixedLeg, double yield)
Computes the derivative of the conventional cash annuity with respect to the yield from a swap leg.
• ### Uses of ValueDerivatives in com.opengamma.strata.pricer.swaption

Methods in com.opengamma.strata.pricer.swaption that return ValueDerivatives
Modifier and Type Method and Description
ValueDerivatives SabrSwaptionVolatilities.volatilityAdjoint(double expiry, double tenor, double strike, double forward)
Calculates the volatility and associated sensitivities.
ValueDerivatives SabrParametersSwaptionVolatilities.volatilityAdjoint(double expiry, double tenor, double strike, double forward)