Uses of Class
com.opengamma.strata.market.ValueType

Packages that use ValueType

Package	Description
com.opengamma.strata.market	Data structures for market data.
com.opengamma.strata.market.curve	Definitions of curves.
com.opengamma.strata.market.curve.node	Curve nodes.
com.opengamma.strata.market.surface	Definitions of surfaces.
com.opengamma.strata.measure.fxopt	Calculation functions for FX option products.
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.volatility.smile	Internal implementations of volatility smile.
com.opengamma.strata.pricer.index	Calculators for products based on rate indices, such as Short Term Interest Rate futures (STIRs).
com.opengamma.strata.pricer.model	Common code for model pricing.
com.opengamma.strata.pricer.option	Pricer support classes for options.
com.opengamma.strata.pricer.swaption	Calculators for swaptions.

Uses of ValueType in com.opengamma.strata.market

Fields in com.opengamma.strata.market declared as ValueType

Modifier and Type	Field	Description
static ValueType	ValueType.BLACK_VOLATILITY	Type used when each value is a Black model implied volatility - 'BlackVolatility'.
static ValueType	ValueType.CORRELATION	Type used when each value is a correlation - 'CORRELATION'.
static ValueType	ValueType.DISCOUNT_FACTOR	Type used when each value is a discount factor - 'DiscountFactor'.
static ValueType	ValueType.DIVIDEND_YIELD	Type used when each value is a dividend yield - 'DividendYield'.
static ValueType	ValueType.FORWARD_RATE	Type used when each value is a forward rate - 'ForwardRate'.
static ValueType	ValueType.LOCAL_VOLATILITY	Type used when each value is a local volatility - 'LocalVolatility'.
static ValueType	ValueType.LOG_MONEYNESS	Type used when each value is log-moneyness, i.e.
static ValueType	ValueType.MONTHS	Type used when each value is the number of months relative to a base month - 'Months'.
static ValueType	ValueType.NORMAL_VOLATILITY	Type used when each value is a Normal (Bachelier) model implied volatility - 'NormalVolatility'.
static ValueType	ValueType.PRICE	Type used when each value is a Price - 'Price'.
static ValueType	ValueType.PRICE_INDEX	Type used when each value is a price index, as used for inflation products - 'PriceIndex'.
static ValueType	ValueType.RECOVERY_RATE	Type used when each value is a recovery rate - 'RecoveryRate'.
static ValueType	ValueType.RISK_REVERSAL	Type used when each value is a risk reversal - 'RiskReversal'.
static ValueType	ValueType.SABR_ALPHA	Type used when each value is the SABR alpha parameter - 'SabrAlpha'.
static ValueType	ValueType.SABR_BETA	Type used when each value is the SABR beta parameter - 'SabrBeta'.
static ValueType	ValueType.SABR_NU	Type used when each value is the SABR nu parameter - 'SabrNu'.
static ValueType	ValueType.SABR_RHO	Type used when each value is the SABR rho parameter - 'SabrRho'.
static ValueType	ValueType.SABR_SHIFT	Type used when each value is the SABR shift parameter - 'SabrShift'.
static ValueType	ValueType.SIMPLE_MONEYNESS	Type used when each value is simple-moneyness, i.e.
static ValueType	ValueType.STRANGLE	Type used when each value is a strangle - 'Strangle'.
static ValueType	ValueType.STRIKE	Type used when each value is a strike - 'Strike'.
static ValueType	ValueType.UNKNOWN	Type used when the meaning of each value is not known - 'Unknown'.
static ValueType	ValueType.YEAR_FRACTION	Type used when each value is a year fraction relative to a base date - 'YearFraction'.
static ValueType	ValueType.ZERO_RATE	Type used when each value is a zero rate - 'ZeroRate'.

Methods in com.opengamma.strata.market that return ValueType

Modifier and Type	Method	Description
static ValueType	ValueType.of(String name)	Obtains an instance from the specified name.

Methods in com.opengamma.strata.market with parameters of type ValueType

Modifier and Type	Method	Description
void	ValueType.checkEquals(ValueType other, String exceptionPrefix)	Checks that this instance equals the specified instance.

Uses of ValueType in com.opengamma.strata.market.curve

Methods in com.opengamma.strata.market.curve that return ValueType

Modifier and Type	Method	Description
ValueType	CurveMetadata.getXValueType()	Gets the x-value type, providing meaning to the x-values of the curve.
ValueType	DefaultCurveMetadata.getXValueType()	Gets the x-value type, providing meaning to the x-values of the curve.
ValueType	InterpolatedNodalCurveDefinition.getXValueType()	Gets the x-value type, providing meaning to the x-values of the curve.
ValueType	ParameterizedFunctionalCurveDefinition.getXValueType()	Gets the x-value type, providing meaning to the x-values of the curve.
ValueType	SimpleCurveParameterMetadata.getXValueType()	Gets the type of the x-value.
ValueType	CurveDefinition.getYValueType()	Gets the y-value type, providing meaning to the y-values of the curve.
ValueType	CurveMetadata.getYValueType()	Gets the y-value type, providing meaning to the y-values of the curve.
ValueType	DefaultCurveMetadata.getYValueType()	Gets the y-value type, providing meaning to the y-values of the curve.
ValueType	InterpolatedNodalCurveDefinition.getYValueType()	Gets the y-value type, providing meaning to the y-values of the curve.
ValueType	ParameterizedFunctionalCurveDefinition.getYValueType()	Gets the y-value type, providing meaning to the y-values of the curve.

Methods in com.opengamma.strata.market.curve that return types with arguments of type ValueType

Modifier and Type	Method	Description
org.joda.beans.MetaProperty<ValueType>	DefaultCurveMetadata.Meta.xValueType()	The meta-property for the xValueType property.
org.joda.beans.MetaProperty<ValueType>	InterpolatedNodalCurveDefinition.Meta.xValueType()	The meta-property for the xValueType property.
org.joda.beans.MetaProperty<ValueType>	ParameterizedFunctionalCurveDefinition.Meta.xValueType()	The meta-property for the xValueType property.
org.joda.beans.MetaProperty<ValueType>	SimpleCurveParameterMetadata.Meta.xValueType()	The meta-property for the xValueType property.
org.joda.beans.MetaProperty<ValueType>	DefaultCurveMetadata.Meta.yValueType()	The meta-property for the yValueType property.
org.joda.beans.MetaProperty<ValueType>	InterpolatedNodalCurveDefinition.Meta.yValueType()	The meta-property for the yValueType property.
org.joda.beans.MetaProperty<ValueType>	ParameterizedFunctionalCurveDefinition.Meta.yValueType()	The meta-property for the yValueType property.

Methods in com.opengamma.strata.market.curve with parameters of type ValueType

Modifier and Type	Method	Description
double	CurveNode.initialGuess(MarketData marketData, ValueType valueType)	Gets the initial guess used for calibrating the node.
static SimpleCurveParameterMetadata	SimpleCurveParameterMetadata.of(ValueType xValueType, double xValue)	Obtains an instance specifying information about the x-value.
static CurveMetadata	Curves.sabrParameterByExpiry(CurveName name, DayCount dayCount, ValueType yType)	Creates metadata for a curve providing a SABR parameter.
static CurveMetadata	Curves.sabrParameterByExpiry(CurveName name, DayCount dayCount, ValueType yType, List<? extends ParameterMetadata> parameterMetadata)	Creates metadata for a curve providing a SABR parameter.
static CurveMetadata	Curves.sabrParameterByExpiry(String name, DayCount dayCount, ValueType yType)	Creates metadata for a curve providing a SABR parameter.
DefaultCurveMetadataBuilder	DefaultCurveMetadataBuilder.xValueType(ValueType xValueType)	Sets the x-value type, providing meaning to the x-values of the curve.
InterpolatedNodalCurveDefinition.Builder	InterpolatedNodalCurveDefinition.Builder.xValueType(ValueType xValueType)	Sets the x-value type, providing meaning to the x-values of the curve.
ParameterizedFunctionalCurveDefinition.Builder	ParameterizedFunctionalCurveDefinition.Builder.xValueType(ValueType xValueType)	Sets the x-value type, providing meaning to the x-values of the curve.
DefaultCurveMetadataBuilder	DefaultCurveMetadataBuilder.yValueType(ValueType yValueType)	Sets the y-value type, providing meaning to the y-values of the curve.
InterpolatedNodalCurveDefinition.Builder	InterpolatedNodalCurveDefinition.Builder.yValueType(ValueType yValueType)	Sets the y-value type, providing meaning to the y-values of the curve.
ParameterizedFunctionalCurveDefinition.Builder	ParameterizedFunctionalCurveDefinition.Builder.yValueType(ValueType yValueType)	Sets the y-value type, providing meaning to the y-values of the curve.

Uses of ValueType in com.opengamma.strata.market.curve.node

Methods in com.opengamma.strata.market.curve.node with parameters of type ValueType

Modifier and Type	Method	Description
double	FixedIborSwapCurveNode.initialGuess(MarketData marketData, ValueType valueType)
double	FixedInflationSwapCurveNode.initialGuess(MarketData marketData, ValueType valueType)
double	FixedOvernightSwapCurveNode.initialGuess(MarketData marketData, ValueType valueType)
double	FraCurveNode.initialGuess(MarketData marketData, ValueType valueType)
double	FxSwapCurveNode.initialGuess(MarketData marketData, ValueType valueType)
double	IborFixingDepositCurveNode.initialGuess(MarketData marketData, ValueType valueType)
double	IborFutureCurveNode.initialGuess(MarketData marketData, ValueType valueType)
double	IborIborSwapCurveNode.initialGuess(MarketData marketData, ValueType valueType)
double	OvernightFutureCurveNode.initialGuess(MarketData marketData, ValueType valueType)
double	OvernightIborSwapCurveNode.initialGuess(MarketData marketData, ValueType valueType)
double	TermDepositCurveNode.initialGuess(MarketData marketData, ValueType valueType)
double	ThreeLegBasisSwapCurveNode.initialGuess(MarketData marketData, ValueType valueType)
double	XCcyIborIborSwapCurveNode.initialGuess(MarketData marketData, ValueType valueType)

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

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

Modifier and Type	Method	Description
ValueType	DefaultSurfaceMetadata.getXValueType()	Gets the x-value type, providing meaning to the x-values of the curve.
ValueType	SimpleSurfaceParameterMetadata.getXValueType()	Gets the type of the x-value.
ValueType	SurfaceMetadata.getXValueType()	Gets the x-value type, providing meaning to the x-values of the surface.
ValueType	DefaultSurfaceMetadata.getYValueType()	Gets the y-value type, providing meaning to the y-values of the curve.
ValueType	SimpleSurfaceParameterMetadata.getYValueType()	Gets the type of the y-value.
ValueType	SurfaceMetadata.getYValueType()	Gets the y-value type, providing meaning to the y-values of the surface.
ValueType	DefaultSurfaceMetadata.getZValueType()	Gets the x-value type, providing meaning to the z-values of the curve.
ValueType	SurfaceMetadata.getZValueType()	Gets the z-value type, providing meaning to the z-values of the surface.

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

Modifier and Type	Method	Description
org.joda.beans.MetaProperty<ValueType>	DefaultSurfaceMetadata.Meta.xValueType()	The meta-property for the xValueType property.
org.joda.beans.MetaProperty<ValueType>	SimpleSurfaceParameterMetadata.Meta.xValueType()	The meta-property for the xValueType property.
org.joda.beans.MetaProperty<ValueType>	DefaultSurfaceMetadata.Meta.yValueType()	The meta-property for the yValueType property.
org.joda.beans.MetaProperty<ValueType>	SimpleSurfaceParameterMetadata.Meta.yValueType()	The meta-property for the yValueType property.
org.joda.beans.MetaProperty<ValueType>	DefaultSurfaceMetadata.Meta.zValueType()	The meta-property for the zValueType property.

Methods in com.opengamma.strata.market.surface with parameters of type ValueType

Modifier and Type	Method	Description
static SimpleSurfaceParameterMetadata	SimpleSurfaceParameterMetadata.of(ValueType xValueType, double xValue, ValueType yValueType, double yValue)	Obtains an instance specifying information about the x-value.
static SurfaceMetadata	Surfaces.sabrParameterByExpiryTenor(SurfaceName name, DayCount dayCount, ValueType zType)	Creates metadata for a surface providing a SABR expiry-tenor parameter.
static SurfaceMetadata	Surfaces.sabrParameterByExpiryTenor(String name, DayCount dayCount, ValueType zType)	Creates metadata for a surface providing a SABR expiry-tenor parameter.
DefaultSurfaceMetadataBuilder	DefaultSurfaceMetadataBuilder.xValueType(ValueType xValueType)	Sets the x-value type, providing meaning to the x-values of the surface.
DefaultSurfaceMetadataBuilder	DefaultSurfaceMetadataBuilder.yValueType(ValueType yValueType)	Sets the y-value type, providing meaning to the y-values of the surface.
DefaultSurfaceMetadataBuilder	DefaultSurfaceMetadataBuilder.zValueType(ValueType zValueType)	Sets the z-value type, providing meaning to the z-values of the surface.

Uses of ValueType in com.opengamma.strata.measure.fxopt

Methods in com.opengamma.strata.measure.fxopt that return ValueType

Modifier and Type	Method	Description
ValueType	FxOptionVolatilitiesNode.getQuoteValueType()	Gets the value type of the quote.

Methods in com.opengamma.strata.measure.fxopt that return types with arguments of type ValueType

Modifier and Type	Method	Description
org.joda.beans.MetaProperty<ValueType>	FxOptionVolatilitiesNode.Meta.quoteValueType()	The meta-property for the quoteValueType property.

Methods in com.opengamma.strata.measure.fxopt with parameters of type ValueType

Modifier and Type	Method	Description
static FxOptionVolatilitiesNode	FxOptionVolatilitiesNode.of(CurrencyPair currencyPair, DaysAdjustment spotDateOffset, BusinessDayAdjustment businessDayAdjustment, ValueType quoteValueType, QuoteId quoteId, Tenor tenor, Strike strike)	Creates an instance.
FxOptionVolatilitiesNode.Builder	FxOptionVolatilitiesNode.Builder.quoteValueType(ValueType quoteValueType)	Sets the value type of the quote.

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

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

Modifier and Type	Method	Description
default ValueType	BlackBondFutureVolatilities.getVolatilityType()
ValueType	BondFutureVolatilities.getVolatilityType()	Gets the type of volatility returned by the BondFutureVolatilities.volatility(java.time.ZonedDateTime, java.time.LocalDate, double, double) method.
ValueType	BondYieldVolatilities.getVolatilityType()	Gets the type of volatility returned by the BondYieldVolatilities.volatility(double, double, double, double) method.
ValueType	NormalBondYieldExpiryDurationVolatilities.getVolatilityType()

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

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

Modifier and Type	Method	Description
default ValueType	BlackIborCapletFloorletVolatilities.getVolatilityType()
default ValueType	BlackSabrIborCapletFloorletVolatilities.getVolatilityType()
ValueType	IborCapletFloorletVolatilities.getVolatilityType()	Gets the type of volatility returned by the IborCapletFloorletVolatilities.volatility(java.time.ZonedDateTime, double, double) method.
default ValueType	NormalIborCapletFloorletVolatilities.getVolatilityType()
default ValueType	NormalSabrIborCapletFloorletVolatilities.getVolatilityType()

Uses of ValueType in com.opengamma.strata.pricer.fxopt

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

Modifier and Type	Method	Description
default ValueType	BlackFxOptionVolatilities.getVolatilityType()
ValueType	FxOptionVolatilities.getVolatilityType()	Gets the type of volatility returned by the FxOptionVolatilities.volatility(com.opengamma.strata.basics.currency.CurrencyPair, java.time.ZonedDateTime, double, double) method.

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

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

Modifier and Type	Method	Description
ValueType	SabrHaganNormalVolatilityFormula.getVolatilityType()
ValueType	SabrHaganVolatilityFunctionProvider.getVolatilityType()

Uses of ValueType in com.opengamma.strata.pricer.index

Methods in com.opengamma.strata.pricer.index that return ValueType

Modifier and Type	Method	Description
ValueType	IborFutureOptionVolatilities.getVolatilityType()	Gets the type of volatility returned by the IborFutureOptionVolatilities.volatility(java.time.ZonedDateTime, java.time.LocalDate, double, double) method.
default ValueType	NormalIborFutureOptionVolatilities.getVolatilityType()

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

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

Modifier and Type	Method	Description
ValueType	SabrVolatilityFormula.getVolatilityType()	Gets the type of volatility returned by the SabrVolatilityFormula.volatility(double, double, double, double, double, double, double) method.

Uses of ValueType in com.opengamma.strata.pricer.option

Methods in com.opengamma.strata.pricer.option that return ValueType

Modifier and Type	Method	Description
ValueType	RawOptionData.getDataType()	Gets the type of the raw data.
ValueType	RawOptionData.getStrikeType()	Gets the value type of the strike-like dimension.

Methods in com.opengamma.strata.pricer.option with parameters of type ValueType

Modifier and Type	Method	Description
static RawOptionData	RawOptionData.of(List<Period> expiries, DoubleArray strikes, ValueType strikeType, DoubleMatrix data, DoubleMatrix error, ValueType dataType)	Obtains an instance of the raw data with error.
static RawOptionData	RawOptionData.of(List<Period> expiries, DoubleArray strikes, ValueType strikeType, DoubleMatrix data, ValueType dataType)	Obtains an instance of the raw volatility.
static RawOptionData	RawOptionData.ofBlackVolatility(List<Period> expiries, DoubleArray strikes, ValueType strikeType, DoubleMatrix data, DoubleMatrix error, Double shift)	Obtains an instance of the raw data with error for shifted Black (log-normal) volatility.
static RawOptionData	RawOptionData.ofBlackVolatility(List<Period> expiries, DoubleArray strikes, ValueType strikeType, DoubleMatrix data, Double shift)	Obtains an instance of the raw volatility for shifted Black (log-normal) volatility.

Uses of ValueType in com.opengamma.strata.pricer.swaption

Methods in com.opengamma.strata.pricer.swaption that return ValueType

Modifier and Type	Method	Description
default ValueType	BlackSwaptionVolatilities.getVolatilityType()
default ValueType	NormalSwaptionVolatilities.getVolatilityType()
default ValueType	SabrSwaptionVolatilities.getVolatilityType()
ValueType	SwaptionVolatilities.getVolatilityType()	Gets the type of volatility returned by the SwaptionVolatilities.volatility(java.time.ZonedDateTime, double, double, double) method.

Methods in com.opengamma.strata.pricer.swaption with parameters of type ValueType

Modifier and Type	Method	Description
Pair<LeastSquareResultsWithTransform,DoubleArray>	SabrSwaptionCalibrator.calibrateLsShiftedFromBlackVolatilities(BusinessDayAdjustment bda, ZonedDateTime calibrationDateTime, DayCount dayCount, Period periodToExpiry, double forward, DoubleArray strikesLike, ValueType strikeType, DoubleArray blackVolatilitiesInput, double shiftInput, DoubleArray startParameters, BitSet fixedParameters, double shiftOutput)	Calibrate the SABR parameters to a set of Black volatilities at given moneyness by least square.
Pair<LeastSquareResultsWithTransform,DoubleArray>	SabrSwaptionCalibrator.calibrateLsShiftedFromNormalVolatilities(BusinessDayAdjustment bda, ZonedDateTime calibrationDateTime, DayCount dayCount, Period periodToExpiry, double forward, DoubleArray strikesLike, ValueType strikeType, DoubleArray normalVolatilities, DoubleArray startParameters, BitSet fixedParameters, double shiftOutput)	Calibrate the SABR parameters to a set of normal volatilities at given moneyness.
Pair<LeastSquareResultsWithTransform,DoubleArray>	SabrSwaptionCalibrator.calibrateLsShiftedFromPrices(BusinessDayAdjustment bda, ZonedDateTime calibrationDateTime, DayCount dayCount, Period periodToExpiry, double forward, DoubleArray strikesLike, ValueType strikeType, DoubleArray prices, DoubleArray startParameters, BitSet fixedParameters, double shiftOutput)	Calibrate the SABR parameters to a set of option prices at given moneyness.