Package | Description |
---|---|
com.opengamma.strata.market.curve |
Definitions of curves.
|
com.opengamma.strata.pricer.credit |
Calculators for credit instruments, such as Credit Default Swap (CDS).
|
Modifier and Type | Method and Description |
---|---|
static IsdaCreditCurveDefinition |
IsdaCreditCurveDefinition.of(CurveName name,
Currency currency,
LocalDate curveValuationDate,
DayCount dayCount,
List<? extends IsdaCreditCurveNode> curveNodes,
boolean computeJacobian,
boolean storeNodeTrade)
Obtains an instance.
|
Modifier and Type | Method and Description |
---|---|
Class<? extends IsdaCreditCurveDefinition> |
IsdaCreditCurveDefinition.Meta.beanType() |
BeanBuilder<? extends IsdaCreditCurveDefinition> |
IsdaCreditCurveDefinition.Meta.builder() |
Modifier and Type | Method and Description |
---|---|
LegalEntitySurvivalProbabilities |
IsdaCompliantCreditCurveCalibrator.calibrate(IsdaCreditCurveDefinition curveDefinition,
MarketData marketData,
ImmutableCreditRatesProvider ratesProvider,
ReferenceData refData)
Calibrates the ISDA compliant credit curve to the market data.
|
LegalEntitySurvivalProbabilities |
IsdaCompliantIndexCurveCalibrator.calibrate(IsdaCreditCurveDefinition curveDefinition,
MarketData marketData,
ImmutableCreditRatesProvider ratesProvider,
ReferenceData refData)
Calibrates the index curve to the market data.
|
IsdaCreditDiscountFactors |
IsdaCompliantDiscountCurveCalibrator.calibrate(IsdaCreditCurveDefinition curveDefinition,
MarketData marketData,
ReferenceData refData)
Calibrates the ISDA compliant discount curve to the market data.
|
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.