Uses of Class
com.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.market.surface.interpolator	Interpolators for surfaces.
com.opengamma.strata.math.impl.function
com.opengamma.strata.pricer.bond	Calculators for bonds.
com.opengamma.strata.pricer.capfloor	Calculators for Ibor cap-floor.
com.opengamma.strata.pricer.fxopt	Calculators for FX options.
com.opengamma.strata.pricer.impl.option	Internal implementations of option pricing.
com.opengamma.strata.pricer.impl.rate.model	Internal implementations of analytic models.
com.opengamma.strata.pricer.impl.tree
com.opengamma.strata.pricer.impl.volatility.smile	Internal implementations of volatility smile.
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	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	Description
static org.joda.beans.TypedMetaBean<ValueDerivatives>	ValueDerivatives.meta()	The meta-bean for ValueDerivatives.
org.joda.beans.TypedMetaBean<ValueDerivatives>	ValueDerivatives.metaBean()

Uses of ValueDerivatives in com.opengamma.strata.market.surface

Methods in com.opengamma.strata.market.surface that return ValueDerivatives

Modifier and Type	Method	Description
ValueDerivatives	ConstantSurface.firstPartialDerivatives(double x, double y)
ValueDerivatives	DeformedSurface.firstPartialDerivatives(double x, double y)
ValueDerivatives	InterpolatedNodalSurface.firstPartialDerivatives(double x, double y)
ValueDerivatives	Surface.firstPartialDerivatives(double x, double y)	Computes the partial derivatives of the surface.

Methods in com.opengamma.strata.market.surface that return types with arguments of type ValueDerivatives

Modifier and Type	Method	Description
org.joda.beans.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	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.market.surface.interpolator

Methods in com.opengamma.strata.market.surface.interpolator that return ValueDerivatives

Modifier and Type	Method	Description
ValueDerivatives	BoundSurfaceInterpolator.firstPartialDerivatives(double x, double y)	Computes the partial derivatives of the surface.

Uses of ValueDerivatives in com.opengamma.strata.math.impl.function

Methods in com.opengamma.strata.math.impl.function that return ValueDerivatives

Modifier and Type	Method	Description
ValueDerivatives	PiecewisePolynomialFunction1D.evaluateAndDifferentiate(PiecewisePolynomialResult pp, double xKey)	Evaluates the function and its first derivative.

Uses of ValueDerivatives in com.opengamma.strata.pricer.bond

Methods in com.opengamma.strata.pricer.bond that return ValueDerivatives

Modifier and Type	Method	Description
ValueDerivatives	DiscountingFixedCouponBondProductPricer.dirtyPriceFromYieldAd(ResolvedFixedCouponBond bond, LocalDate settlementDate, double yield)	Calculates the dirty price of the fixed coupon bond from yield and its derivative wrt to the yield.
ValueDerivatives	DiscountingFixedCouponBondProductPricer.modifiedDurationFromYieldAd(ResolvedFixedCouponBond bond, LocalDate settlementDate, double yield)	Calculates the modified duration of the fixed coupon bond product from yield and its derivative wrt to the yield.
default ValueDerivatives	BondYieldVolatilities.priceVolatilityEquivalentAd(double duration, double yieldVolatility)	Calculates the price volatility equivalent to the yield volatility and its derivatives.
default ValueDerivatives	BondYieldVolatilities.priceVolatilityEquivalentAd(double expiry, double duration, double strike, double forward)	Calculates the price volatility equivalent to the yield volatility and its derivatives.
default ValueDerivatives	BondYieldVolatilities.priceVolatilityEquivalentAd(ZonedDateTime expiryDateTime, double duration, double strike, double forward)	Calculates the price volatility equivalent to the yield volatility and its derivatives.
ValueDerivatives	DiscountingFixedCouponBondProductPricer.yieldFromDirtyPriceAd(ResolvedFixedCouponBond bond, LocalDate settlementDate, double dirtyPrice)	Calculates the yield of the fixed coupon bond product from dirty price and its derivative wrt the price.

Uses of ValueDerivatives in com.opengamma.strata.pricer.capfloor

Methods in com.opengamma.strata.pricer.capfloor that return ValueDerivatives

Modifier and Type	Method	Description
ValueDerivatives	NormalSabrParametersIborCapletFloorletVolatilities.volatilityAdjoint(double expiry, double strike, double forward)
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.fxopt

Methods in com.opengamma.strata.pricer.fxopt that return ValueDerivatives

Modifier and Type	Method	Description
ValueDerivatives	BlackFxOptionFlatVolatilities.firstPartialDerivatives(CurrencyPair currencyPair, double expiry, double strike, double forward)
ValueDerivatives	BlackFxOptionSmileVolatilities.firstPartialDerivatives(CurrencyPair currencyPair, double expiry, double strike, double forward)
ValueDerivatives	BlackFxOptionSurfaceVolatilities.firstPartialDerivatives(CurrencyPair currencyPair, double expiry, double strike, double forward)
ValueDerivatives	FxOptionVolatilities.firstPartialDerivatives(CurrencyPair currencyPair, double expiry, double strike, double forward)	Computes the partial derivatives of the volatilities.
ValueDerivatives	InterpolatedStrikeSmileDeltaTermStructure.partialFirstDerivatives(double expiry, double strike, double forward)
ValueDerivatives	SmileDeltaTermStructure.partialFirstDerivatives(double expiry, double strike, double forward)	Computes the partial derivatives of the volatilities.

Uses of ValueDerivatives in com.opengamma.strata.pricer.impl.option

Methods in com.opengamma.strata.pricer.impl.option that return ValueDerivatives

Modifier and Type	Method	Description
static ValueDerivatives	BlackFormulaRepository.impliedVolatilityAdjoint(double price, double forward, double strike, double timeToExpiry, boolean isCall)	Computes the log-normal implied volatility and its derivative with respect to price.
static ValueDerivatives	BlackFormulaRepository.impliedVolatilityAdjoint(double otmPrice, double forward, double strike, double timeToExpiry, double volGuess)	Computes the log-normal (Black) implied volatility of an out-the-money European option starting from an initial guess and the derivative of the volatility w.r.t.
static ValueDerivatives	NormalFormulaRepository.impliedVolatilityFromBlackApproximatedAdjoint(double forward, double strike, double timeToExpiry, double blackVolatility)	Compute the implied volatility using an approximate explicit transformation formula and its derivative with respect to the input Black volatility.
static ValueDerivatives	BlackFormulaRepository.impliedVolatilityFromNormalApproximatedAdjoint(double forward, double strike, double timeToExpiry, double normalVolatility)	Compute the log-normal implied volatility from a normal volatility using an approximate initial guess and a root-finder and compute the derivative of the log-normal volatility with respect to the input normal volatility.
ValueDerivatives	BlackBarrierPriceFormulaRepository.priceAdjoint(double spot, double strike, double timeToExpiry, double costOfCarry, double rate, double lognormalVol, boolean isCall, SimpleConstantContinuousBarrier barrier)	Computes the price and derivatives of a barrier option.
static ValueDerivatives	BlackFormulaRepository.priceAdjoint(double forward, double strike, double timeToExpiry, double lognormalVol, boolean isCall)	Computes the price without numeraire and its derivatives.
ValueDerivatives	BlackOneTouchAssetPriceFormulaRepository.priceAdjoint(double spot, double timeToExpiry, double costOfCarry, double rate, double lognormalVol, SimpleConstantContinuousBarrier barrier)	Computes the price and derivatives of a one-touch/no-touch option.
ValueDerivatives	BlackOneTouchCashPriceFormulaRepository.priceAdjoint(double spot, double timeToExpiry, double costOfCarry, double rate, double lognormalVol, SimpleConstantContinuousBarrier barrier)	Computes the price and derivatives of a one-touch/no-touch option.
static ValueDerivatives	NormalFormulaRepository.priceAdjoint(double forward, double strike, double timeToExpiry, double normalVol, double numeraire, PutCall putCall)	Computes the price and first order derivatives.
ValueDerivatives	SabrExtrapolationRightFunction.priceAdjointSabr(double strike, PutCall putCall)	Computes the option price derivative with respect to the SABR parameters.

Methods in com.opengamma.strata.pricer.impl.option that return types with arguments of type ValueDerivatives

Modifier and Type	Method	Description
static Pair<ValueDerivatives,double[][]>	BlackFormulaRepository.priceAdjoint2(double forward, double strike, double timeToExpiry, double lognormalVol, boolean isCall)	Computes the price without numeraire and its derivatives of the first and second order.

Uses of ValueDerivatives in com.opengamma.strata.pricer.impl.rate.model

Methods in com.opengamma.strata.pricer.impl.rate.model that return ValueDerivatives

Modifier and Type	Method	Description
ValueDerivatives	HullWhiteOneFactorPiecewiseConstantInterestRateModel.alphaAdjoint(HullWhiteOneFactorPiecewiseConstantParameters data, double startExpiry, double endExpiry, double numeraireTime, double bondMaturity)	Calculates the (zero-coupon) bond volatility divided by a bond numeraire, i.e., alpha, for a given period and its derivatives.
ValueDerivatives	HullWhiteOneFactorPiecewiseConstantInterestRateModel.futuresConvexityFactorAdjoint(HullWhiteOneFactorPiecewiseConstantParameters data, double t0, double t1, double t2)	Calculates the future convexity factor and its derivatives with respect to the model volatilities.
ValueDerivatives	HullWhiteOneFactorPiecewiseConstantInterestRateModel.swapRateDaf1(double x, DoubleArray discountedCashFlowFixed, DoubleArray alphaFixed, DoubleArray discountedCashFlowIbor, DoubleArray alphaIbor)	Calculates the first order derivative of the swap rate with respect to the alphaFixed in the P(*,theta) numeraire.
ValueDerivatives	HullWhiteOneFactorPiecewiseConstantInterestRateModel.swapRateDai1(double x, DoubleArray discountedCashFlowFixed, DoubleArray alphaFixed, DoubleArray discountedCashFlowIbor, DoubleArray alphaIbor)	Calculates the first order derivative of the swap rate with respect to the alphaIbor in the P(*,theta) numeraire.
ValueDerivatives	HullWhiteOneFactorPiecewiseConstantInterestRateModel.swapRateDdcff1(double x, DoubleArray discountedCashFlowFixed, DoubleArray alphaFixed, DoubleArray discountedCashFlowIbor, DoubleArray alphaIbor)	Calculates the first order derivative of the swap rate with respect to the discountedCashFlowFixed in the P(*,theta) numeraire.
ValueDerivatives	HullWhiteOneFactorPiecewiseConstantInterestRateModel.swapRateDdcfi1(double x, DoubleArray discountedCashFlowFixed, DoubleArray alphaFixed, DoubleArray discountedCashFlowIbor, DoubleArray alphaIbor)	Calculates the first order derivative of the swap rate with respect to the discountedCashFlowIbor in the P(*,theta) numeraire.

Uses of ValueDerivatives in com.opengamma.strata.pricer.impl.tree

Methods in com.opengamma.strata.pricer.impl.tree that return ValueDerivatives

Modifier and Type	Method	Description
ValueDerivatives	TrinomialTree.optionPriceAdjoint(OptionFunction function, RecombiningTrinomialTreeData data)	Compute option price and delta under the specified trinomial tree gird.

Uses of ValueDerivatives in com.opengamma.strata.pricer.impl.volatility.smile

Methods in com.opengamma.strata.pricer.impl.volatility.smile that return ValueDerivatives

Modifier and Type	Method	Description
ValueDerivatives	SabrHaganNormalVolatilityFormula.volatilityAdjoint(double forward, double strike, double timeToExpiry, double alpha, double beta, double rho, double nu)
ValueDerivatives	SabrHaganVolatilityFunctionProvider.volatilityAdjoint(double forward, double strike, double timeToExpiry, double alpha, double beta, double rho, double nu)	Computes the implied volatility in the SABR model and its derivatives.
ValueDerivatives	SabrHaganVolatilityFunctionProvider.volatilityAdjoint(double forward, double strike, double timeToExpiry, SabrFormulaData data)	Computes the implied volatility in the SABR model and its derivatives.
ValueDerivatives	SsviVolatilityFunction.volatilityAdjoint(double forward, double strike, double timeToExpiry, SsviFormulaData data)	Computes the implied volatility in the SSVI formula and its derivatives.
ValueDerivatives	VolatilityFunctionProvider.volatilityAdjoint(double forward, double strike, double timeToExpiry, T data)	Calculates volatility and the adjoint (volatility sensitivity to forward, strike and model parameters).
ValueDerivatives	SabrHaganNormalVolatilityFormula.volatilityBeta0Adjoint(double forward, double strike, double timeToExpiry, double alpha, double rho, double nu)	Calculates the normal implied volatility and its derivatives (w.r.t.
ValueDerivatives	SabrHaganNormalVolatilityFormula.volatilityBetaNonZeroAdjoint(double forward, double strike, double timeToExpiry, double alpha, double beta, double rho, double nu)	Returns the volatility using the generic formula with barrier at 0 at its derivatives.
protected ValueDerivatives	SabrHaganNormalVolatilityFormula.zetaOverXhatAdjoint(double zeta, double rho)	Computes the ratio zeta over xHat and its derivatives.

Methods in com.opengamma.strata.pricer.impl.volatility.smile that return types with arguments of type ValueDerivatives

Modifier and Type	Method	Description
List<ValueDerivatives>	SabrInArrearsVolatilityFunction.effectiveSabrAd(SabrFormulaData parameters, double tau0, double tau1)	The effective SABR parameters from the raw SABR parameters and the times.
List<ValueDerivatives>	SabrInArrearsVolatilityFunction.effectiveSabrAfterStartAd(SabrFormulaData parameters, double tau0, double tau1)	The effective SABR parameters and their derivatives from the raw SABR parameters and the times.
List<ValueDerivatives>	SabrInArrearsVolatilityFunction.effectiveSabrBeforeStartAd(SabrFormulaData parameters, double tau0, double tau1)	The effective SABR parameters and their derivatives from the raw SABR parameters and the times.

Uses of ValueDerivatives in com.opengamma.strata.pricer.model

Methods in com.opengamma.strata.pricer.model that return ValueDerivatives

Modifier and Type	Method	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	SabrInterestRateParameters.volatilityAdjoint(double expiry, double tenor, double strike, double forward)	Calculates the volatility and associated sensitivities.
ValueDerivatives	SabrParameters.volatilityAdjoint(double expiry, 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	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	Description
ValueDerivatives	SabrParametersSwaptionVolatilities.volatilityAdjoint(double expiry, double tenor, double strike, double forward)
ValueDerivatives	SabrSwaptionVolatilities.volatilityAdjoint(double expiry, double tenor, double strike, double forward)	Calculates the volatility and associated sensitivities.