Package Description
com.opengamma.strata.measure.index
Calculation functions for index products.
com.opengamma.strata.pricer.index
Calculators for products based on rate indices, such as Short Term Interest Rate futures (STIRs).
com.opengamma.strata.product.index
Entity objects describing contracts based on rate indices.
• ### Uses of ResolvedOvernightFutureTrade in com.opengamma.strata.measure.index

Classes in com.opengamma.strata.measure.index with type parameters of type ResolvedOvernightFutureTrade
Modifier and Type Class Description
class  OvernightFutureTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<OvernightFuture> & Resolvable<ResolvedOvernightFutureTrade>>
Perform calculations on a single OvernightFutureTrade for each of a set of scenarios.
Methods in com.opengamma.strata.measure.index with parameters of type ResolvedOvernightFutureTrade
Modifier and Type Method Description
DoubleScenarioArray OvernightFutureTradeCalculations.parSpread​(ResolvedOvernightFutureTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
Calculates par spread across one or more scenarios.
double OvernightFutureTradeCalculations.parSpread​(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
Calculates par spread for a single set of market data.
CurrencyScenarioArray OvernightFutureTradeCalculations.presentValue​(ResolvedOvernightFutureTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
Calculates present value across one or more scenarios.
CurrencyAmount OvernightFutureTradeCalculations.presentValue​(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
Calculates present value for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities> OvernightFutureTradeCalculations.pv01CalibratedBucketed​(ResolvedOvernightFutureTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities OvernightFutureTradeCalculations.pv01CalibratedBucketed​(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray OvernightFutureTradeCalculations.pv01CalibratedSum​(ResolvedOvernightFutureTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount OvernightFutureTradeCalculations.pv01CalibratedSum​(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
Calculates present value sensitivity for a single set of market data.
ScenarioArray<CurrencyParameterSensitivities> OvernightFutureTradeCalculations.pv01MarketQuoteBucketed​(ResolvedOvernightFutureTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
Calculates present value sensitivity across one or more scenarios.
CurrencyParameterSensitivities OvernightFutureTradeCalculations.pv01MarketQuoteBucketed​(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
Calculates present value sensitivity for a single set of market data.
MultiCurrencyScenarioArray OvernightFutureTradeCalculations.pv01MarketQuoteSum​(ResolvedOvernightFutureTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
Calculates present value sensitivity across one or more scenarios.
MultiCurrencyAmount OvernightFutureTradeCalculations.pv01MarketQuoteSum​(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
Calculates present value sensitivity for a single set of market data.
DoubleScenarioArray OvernightFutureTradeCalculations.unitPrice​(ResolvedOvernightFutureTrade trade, RatesMarketDataLookup lookup, ScenarioMarketData marketData)
Calculates unit price across one or more scenarios.
double OvernightFutureTradeCalculations.unitPrice​(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
Calculates unit price for a single set of market data.
• ### Uses of ResolvedOvernightFutureTrade in com.opengamma.strata.pricer.index

Methods in com.opengamma.strata.pricer.index with parameters of type ResolvedOvernightFutureTrade
Modifier and Type Method Description
double DiscountingOvernightFutureTradePricer.parSpread​(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider, double lastSettlementPrice)
PointSensitivities DiscountingOvernightFutureTradePricer.parSpreadSensitivity​(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
CurrencyAmount DiscountingOvernightFutureTradePricer.presentValue​(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider, double lastSettlementPrice)
Calculates the present value of the Overnight rate future trade.
PointSensitivities DiscountingOvernightFutureTradePricer.presentValueSensitivity​(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
Calculates the present value sensitivity of the Overnight rate future trade.
double DiscountingOvernightFutureTradePricer.price​(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
Calculates the price of the Overnight rate future trade.
PointSensitivities DiscountingOvernightFutureTradePricer.priceSensitivity​(ResolvedOvernightFutureTrade trade, RatesProvider ratesProvider)
Calculates the price sensitivity of the Overnight rate future product.
• ### Uses of ResolvedOvernightFutureTrade in com.opengamma.strata.product.index

Methods in com.opengamma.strata.product.index that return ResolvedOvernightFutureTrade
Modifier and Type Method Description
ResolvedOvernightFutureTrade ResolvedOvernightFutureTrade.Builder.build()
ResolvedOvernightFutureTrade OvernightFuturePosition.resolve​(ReferenceData refData)
ResolvedOvernightFutureTrade OvernightFutureTrade.resolve​(ReferenceData refData)
Methods in com.opengamma.strata.product.index that return types with arguments of type ResolvedOvernightFutureTrade
Modifier and Type Method Description
java.lang.Class<? extends ResolvedOvernightFutureTrade> ResolvedOvernightFutureTrade.Meta.beanType()