Uses of Class
com.opengamma.strata.market.curve.CurveName
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Packages that use CurveName Package Description com.opengamma.strata.loader.csv Loader that reads market data from CSV files.com.opengamma.strata.market.curve Definitions of curves.com.opengamma.strata.market.sensitivity Entity objects for sensitivities.com.opengamma.strata.measure.rate Base package for calculation functions.com.opengamma.strata.pricer.credit Calculators for credit instruments, such as Credit Default Swap (CDS).com.opengamma.strata.pricer.curve Provides the ability to calibrate curves.com.opengamma.strata.pricer.rate Calculators for rates instruments, such as Forward Rate Agreement (FRA) and interest rate swap. -
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Uses of CurveName in com.opengamma.strata.loader.csv
Methods in com.opengamma.strata.loader.csv that return CurveName Modifier and Type Method Description default CurveName
SensitivityCsvInfoResolver. checkCurveName(CurveName curveName)
Checks the parsed curve name, potentially altering the value.Methods in com.opengamma.strata.loader.csv that return types with arguments of type CurveName Modifier and Type Method Description static Map<CurveName,SeasonalityDefinition>
SeasonalityDefinitionCsvLoader. loadSeasonalityDefinitions(ResourceLocator resource)
Loads the seasonality definition CSV file.static Map<CurveName,SeasonalityDefinition>
SeasonalityDefinitionCsvLoader. parseSeasonalityDefinitions(CharSource charSource)
Parses the seasonality definition CSV file.Methods in com.opengamma.strata.loader.csv with parameters of type CurveName Modifier and Type Method Description default CurveName
SensitivityCsvInfoResolver. checkCurveName(CurveName curveName)
Checks the parsed curve name, potentially altering the value. -
Uses of CurveName in com.opengamma.strata.market.curve
Methods in com.opengamma.strata.market.curve that return CurveName Modifier and Type Method Description CurveName
CurveId. getCurveName()
Gets the curve name.CurveName
CurveMetadata. getCurveName()
Gets the curve name.CurveName
DefaultCurveMetadata. getCurveName()
Gets the curve name.CurveName
IssuerCurveInputsId. getCurveName()
Gets the curve name.CurveName
RatesCurveGroupEntry. getCurveName()
Gets the curve name.CurveName
RatesCurveInputsId. getCurveName()
Gets the curve name.CurveName
RepoCurveInputsId. getCurveName()
Gets the curve name.default CurveName
Curve. getName()
Gets the curve name.CurveName
CurveDefinition. getName()
Gets the curve name.CurveName
CurveParameterSize. getName()
Gets the curve name.CurveName
InterpolatedNodalCurveDefinition. getName()
Gets the curve name.CurveName
IsdaCreditCurveDefinition. getName()
Gets the curve name.CurveName
ParallelShiftedCurve. getName()
CurveName
ParameterizedFunctionalCurveDefinition. getName()
Gets the curve name.static CurveName
CurveName. of(String name)
Obtains an instance from the specified name.Methods in com.opengamma.strata.market.curve that return types with arguments of type CurveName Modifier and Type Method Description org.joda.beans.MetaProperty<CurveName>
DefaultCurveMetadata.Meta. curveName()
The meta-property for thecurveName
property.org.joda.beans.MetaProperty<CurveName>
RatesCurveGroupEntry.Meta. curveName()
The meta-property for thecurveName
property.Optional<CurveName>
RatesCurveGroupDefinition. findDiscountCurveName(Currency discountCurrency)
Finds the discount curve name for the specified currency.Optional<CurveName>
RatesCurveGroupDefinition. findForwardCurveName(Index forwardIndex)
Finds the forward curve name for the specified index.ImmutableSet<CurveName>
RatesCurveGroupDefinition. findForwardCurveNames(FloatingRateName forwardName)
Finds the forward curve names for the specified floating rate name.ImmutableMap<CurveName,SeasonalityDefinition>
RatesCurveGroupDefinition. getSeasonalityDefinitions()
Gets definitions which specify which seasonality should be used for some price index curves.org.joda.beans.MetaProperty<CurveName>
CurveParameterSize.Meta. name()
The meta-property for thename
property.org.joda.beans.MetaProperty<CurveName>
InterpolatedNodalCurveDefinition.Meta. name()
The meta-property for thename
property.org.joda.beans.MetaProperty<CurveName>
IsdaCreditCurveDefinition.Meta. name()
The meta-property for thename
property.org.joda.beans.MetaProperty<CurveName>
ParameterizedFunctionalCurveDefinition.Meta. name()
The meta-property for thename
property.org.joda.beans.MetaProperty<ImmutableMap<CurveName,SeasonalityDefinition>>
RatesCurveGroupDefinition.Meta. seasonalityDefinitions()
The meta-property for theseasonalityDefinitions
property.Map<CurveName,DoubleArray>
JacobianCalibrationMatrix. splitValues(DoubleArray array)
Splits the array according to the curve order.Methods in com.opengamma.strata.market.curve with parameters of type CurveName Modifier and Type Method Description RatesCurveGroupDefinitionBuilder
RatesCurveGroupDefinitionBuilder. addCurve(CurveName curveName, Currency currency, RateIndex index, RateIndex... otherIndices)
Adds a curve to the curve group definition which is used to provide discount rates and forward rates.RatesCurveGroupDefinitionBuilder
RatesCurveGroupDefinitionBuilder. addDiscountCurve(CurveName curveName, Currency currency, Currency... otherCurrencies)
Adds the definition of a discount curve to the curve group definition.RatesCurveGroupDefinitionBuilder
RatesCurveGroupDefinitionBuilder. addForwardCurve(CurveName curveName, Index index, Index... otherIndices)
Adds the definition of a forward curve to the curve group definition.RatesCurveGroupDefinitionBuilder
RatesCurveGroupDefinitionBuilder. addSeasonality(CurveName curveName, SeasonalityDefinition seasonalityDefinition)
Adds a seasonality to the curve group definition.static CurveMetadata
Curves. blackVolatilityByExpiry(CurveName name, DayCount dayCount)
Creates curve metadata for a curve providing Black volatility by expiry.static CurveMetadata
Curves. blackVolatilityByExpiry(CurveName name, DayCount dayCount, List<? extends ParameterMetadata> parameterMetadata)
Creates curve metadata for a curve providing Black volatility by expiry.boolean
JacobianCalibrationMatrix. containsCurve(CurveName name)
Checks if this info contains the specified curve.static CurveMetadata
Curves. correlationByExpiry(CurveName name, DayCount dayCount)
Creates curve metadata for a curve providing correlation by expiry.static CurveMetadata
Curves. correlationByExpiry(CurveName name, DayCount dayCount, List<? extends ParameterMetadata> parameterMetadata)
Creates curve metadata for a curve providing correlation by expiry.DefaultCurveMetadataBuilder
DefaultCurveMetadataBuilder. curveName(CurveName curveName)
Sets the curve name.RatesCurveGroupEntry.Builder
RatesCurveGroupEntry.Builder. curveName(CurveName curveName)
Sets the curve name.static CurveMetadata
Curves. discountFactors(CurveName name, DayCount dayCount)
Creates curve metadata for a curve providing discount factors.static CurveMetadata
Curves. discountFactors(CurveName name, DayCount dayCount, List<? extends ParameterMetadata> parameterMetadata)
Creates curve metadata for a curve providing discount factors.Optional<Curve>
CurveGroup. findCurve(CurveName name)
Finds the curve with the specified name.Optional<Curve>
LegalEntityCurveGroup. findCurve(CurveName name)
Finds the curve with the specified name.Optional<Curve>
RatesCurveGroup. findCurve(CurveName name)
Finds the curve with the specified name.Optional<CurveDefinition>
RatesCurveGroupDefinition. findCurveDefinition(CurveName curveName)
Finds the definition for the curve with the specified name.Optional<RatesCurveGroupEntry>
RatesCurveGroupDefinition. findEntry(CurveName curveName)
Finds the entry for the curve with the specified name.static CurveMetadata
Curves. forwardRates(CurveName name, DayCount dayCount)
Creates curve metadata for a curve providing forward rates.static CurveMetadata
Curves. forwardRates(CurveName name, DayCount dayCount, List<? extends ParameterMetadata> parameterMetadata)
Creates curve metadata for a curve providing forward rates.InterpolatedNodalCurveDefinition.Builder
InterpolatedNodalCurveDefinition.Builder. name(CurveName name)
Sets the curve name.ParameterizedFunctionalCurveDefinition.Builder
ParameterizedFunctionalCurveDefinition.Builder. name(CurveName name)
Sets the curve name.static CurveMetadata
Curves. normalVolatilityByExpiry(CurveName name, DayCount dayCount)
Creates curve metadata for a curve providing normal volatility by expiry.static CurveMetadata
Curves. normalVolatilityByExpiry(CurveName name, DayCount dayCount, List<? extends ParameterMetadata> parameterMetadata)
Creates curve metadata for a curve providing normal volatility by expiry.static ConstantCurve
ConstantCurve. of(CurveName name, double yValue)
Creates a constant curve with a specific value.static CurveId
CurveId. of(CurveGroupName groupName, CurveName curveName)
Obtains an instance used to obtain a curve by name.static CurveId
CurveId. of(CurveGroupName groupName, CurveName curveName, ObservableSource obsSource)
Obtains an instance used to obtain a curve by name, specifying the source of observable market data.static CurveParameterSize
CurveParameterSize. of(CurveName name, int parameterCount)
Obtains an instance, specifying the name and parameter count.static DefaultCurveMetadata
DefaultCurveMetadata. of(CurveName name)
Creates the metadata.static IsdaCreditCurveDefinition
IsdaCreditCurveDefinition. of(CurveName name, Currency currency, LocalDate curveValuationDate, DayCount dayCount, List<? extends IsdaCreditCurveNode> curveNodes, boolean computeJacobian, boolean storeNodeTrade)
Obtains an instance.static IssuerCurveInputsId
IssuerCurveInputsId. of(CurveGroupName groupName, CurveName curveName, ObservableSource obsSource)
Obtains an instance from the curve group name, curve name and source of observable market data.static RatesCurveInputsId
RatesCurveInputsId. of(CurveGroupName groupName, CurveName curveName, ObservableSource obsSource)
Obtains an instance from the curve group, curve name and source of observable market data.static RepoCurveInputsId
RepoCurveInputsId. of(CurveGroupName groupName, CurveName curveName, ObservableSource obsSource)
Obtains an instance from the curve group name, curve name and source of observable market data.static CurveMetadata
Curves. prices(CurveName name)
Creates curve metadata for a curve providing monthly prices, typically used in inflation.static CurveMetadata
Curves. prices(CurveName name, List<? extends ParameterMetadata> parameterMetadata)
Creates curve metadata for a curve providing monthly prices, typically used in inflation.static CurveMetadata
Curves. recoveryRates(CurveName name, DayCount dayCount)
Creates curve metadata for a curve providing recovery rates.static CurveMetadata
Curves. recoveryRates(CurveName name, DayCount dayCount, List<? extends ParameterMetadata> parameterMetadata)
Creates curve metadata for a curve providing recovery rates.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. zeroRates(CurveName name, DayCount dayCount)
Creates curve metadata for a curve providing zero rates.static CurveMetadata
Curves. zeroRates(CurveName name, DayCount dayCount, List<? extends ParameterMetadata> parameterMetadata)
Creates curve metadata for a curve providing zero rates.Method parameters in com.opengamma.strata.market.curve with type arguments of type CurveName Modifier and Type Method Description static RatesCurveGroupDefinition
RatesCurveGroupDefinition. of(CurveGroupName name, Collection<RatesCurveGroupEntry> entries, Collection<CurveDefinition> curveDefinitions, Map<CurveName,SeasonalityDefinition> seasonalityDefinitions)
Returns a curve group definition with the specified name and containing the specified entries and seasonality.RatesCurveGroupDefinition
RatesCurveGroupDefinition. withSeasonalityDefinitions(Map<CurveName,SeasonalityDefinition> seasonalityDefinitions)
Returns a copy of this object containing the specified seasonality definitions. -
Uses of CurveName in com.opengamma.strata.market.sensitivity
Methods in com.opengamma.strata.market.sensitivity with parameters of type CurveName Modifier and Type Method Description CurveSensitivitiesBuilder
CurveSensitivitiesBuilder. add(CurveSensitivitiesType type, CurveName curveName, Currency currency, ParameterMetadata metadata, double sensitivityValue)
Adds a single sensitivity to the builder. -
Uses of CurveName in com.opengamma.strata.measure.rate
Method parameters in com.opengamma.strata.measure.rate with type arguments of type CurveName Modifier and Type Method Description static RatesMarketDataLookup
RatesMarketDataLookup. of(CurveGroupName groupName, Map<Currency,CurveName> discountCurves, Map<? extends Index,CurveName> forwardCurves)
Obtains an instance based on a group of discount and forward curves. -
Uses of CurveName in com.opengamma.strata.pricer.credit
Methods in com.opengamma.strata.pricer.credit with parameters of type CurveName Modifier and Type Method Description NodalCurve
FastCreditCurveCalibrator. calibrate(List<ResolvedCdsTrade> calibrationCDSs, DoubleArray flactionalSpreads, DoubleArray pointsUpfront, CurveName name, LocalDate valuationDate, CreditDiscountFactors discountFactors, RecoveryRates recoveryRates, ReferenceData refData)
abstract NodalCurve
IsdaCompliantCreditCurveCalibrator. calibrate(List<ResolvedCdsTrade> calibrationCDSs, DoubleArray flactionalSpreads, DoubleArray pointsUpfront, CurveName name, LocalDate valuationDate, CreditDiscountFactors discountFactors, RecoveryRates recoveryRates, ReferenceData refData)
Calibrate the ISDA compliant credit curve to points upfront and fractional spread.NodalCurve
SimpleCreditCurveCalibrator. calibrate(List<ResolvedCdsTrade> calibrationCDSs, DoubleArray premiums, DoubleArray pointsUpfront, CurveName name, LocalDate valuationDate, CreditDiscountFactors discountFactors, RecoveryRates recoveryRates, ReferenceData refData)
static IsdaCreditDiscountFactors
IsdaCreditDiscountFactors. of(Currency currency, LocalDate valuationDate, CurveName curveName, DoubleArray yearFractions, DoubleArray zeroRates, DayCount dayCount)
Creates an instance from year fraction and zero rate values. -
Uses of CurveName in com.opengamma.strata.pricer.curve
Method parameters in com.opengamma.strata.pricer.curve with type arguments of type CurveName Modifier and Type Method Description ImmutableRatesProvider
ImmutableRatesProviderGenerator. generate(DoubleArray parameters, Map<CurveName,JacobianCalibrationMatrix> jacobians, Map<CurveName,DoubleArray> sensitivitiesMarketQuote)
default ImmutableRatesProvider
RatesProviderGenerator. generate(DoubleArray parameters, Map<CurveName,JacobianCalibrationMatrix> jacobians)
Generates a rates provider from a set of parameters and calibration information.ImmutableRatesProvider
RatesProviderGenerator. generate(DoubleArray parameters, Map<CurveName,JacobianCalibrationMatrix> jacobians, Map<CurveName,DoubleArray> sensitivitiesMarketQuote)
Generates a rates provider from a set of parameters and calibration information. -
Uses of CurveName in com.opengamma.strata.pricer.rate
Methods in com.opengamma.strata.pricer.rate that return types with arguments of type CurveName Modifier and Type Method Description Map<CurveName,Curve>
ImmutableRatesProvider. getCurves()
Returns a map containing all the curves, keyed by curve name.
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