Uses of Interface
com.opengamma.strata.market.param.ParameterizedData

Packages that use ParameterizedData

Package	Description
com.opengamma.strata.market.curve	Definitions of curves.
com.opengamma.strata.market.param	Market data based on parameters.
com.opengamma.strata.market.surface	Definitions of surfaces.
com.opengamma.strata.pricer	Calculators for financial instruments.
com.opengamma.strata.pricer.bond	Calculators for bonds.
com.opengamma.strata.pricer.capfloor	Calculators for Ibor cap-floor.
com.opengamma.strata.pricer.credit	Calculators for credit instruments, such as Credit Default Swap (CDS).
com.opengamma.strata.pricer.fx	Calculators for FX instruments, such as FX forward and FX swap.
com.opengamma.strata.pricer.fxopt	Calculators for FX options.
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.rate	Calculators for rates instruments, such as Forward Rate Agreement (FRA) and interest rate swap.
com.opengamma.strata.pricer.swaption	Calculators for swaptions.

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

Subinterfaces of ParameterizedData in com.opengamma.strata.market.curve

Modifier and Type	Interface	Description
interface	Curve	A curve that maps a double x-value to a double y-value.
interface	NodalCurve	A curve based on double nodal points.

Classes in com.opengamma.strata.market.curve that implement ParameterizedData

Modifier and Type	Class	Description
class	AddFixedCurve	A curve formed from two curves, the fixed curve and the spread curve.
class	CombinedCurve	A curve formed from two curves, the base curve and the spread curve.
class	ConstantCurve	A curve based on a single constant value.
class	ConstantNodalCurve	A curve based on a single constant value.
class	HybridNodalCurve	A hybrid curve which combines two underlying nodal curves, allowing different interpolators to be used for different parts of the curve.
class	InflationNodalCurve	Curve specifically designed for inflation, with features for seasonality and initial point.
class	InterpolatedNodalCurve	A curve based on interpolation between a number of nodal points.
class	ParallelShiftedCurve	A curve with a parallel shift applied to its y-values.
class	ParameterizedFunctionalCurve	A curve based on a parameterized function.

Uses of ParameterizedData in com.opengamma.strata.market.param

Methods in com.opengamma.strata.market.param with type parameters of type ParameterizedData

Modifier and Type	Method	Description
<R extends ParameterizedData> R	ParameterizedDataCombiner.underlyingWithParameter(int underlyingIndex, Class<R> underlyingType, int parameterIndex, double newValue)	Updates a parameter on the specified underlying.
<R extends ParameterizedData> R	ParameterizedDataCombiner.underlyingWithPerturbation(int underlyingIndex, Class<R> underlyingType, ParameterPerturbation perturbation)	Applies a perturbation to the specified underlying.
<R extends ParameterizedData> List<R>	ParameterizedDataCombiner.withParameter(Class<R> underlyingType, int parameterIndex, double newValue)	Updates a parameter on the specified list of underlying instances.
<R extends ParameterizedData> List<R>	ParameterizedDataCombiner.withPerturbation(Class<R> underlyingType, ParameterPerturbation perturbation)	Applies a perturbation to each underlying.

Methods in com.opengamma.strata.market.param that return ParameterizedData

Modifier and Type	Method	Description
ParameterizedData	ParameterizedData.withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
default ParameterizedData	ParameterizedData.withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.

Methods in com.opengamma.strata.market.param that return types with arguments of type ParameterizedData

Modifier and Type	Method	Description
MarketDataBox<ParameterizedData>	PointShifts.applyTo(MarketDataBox<ParameterizedData> marketData, ReferenceData refData)
Class<ParameterizedData>	PointShifts.getMarketDataType()

Methods in com.opengamma.strata.market.param with parameters of type ParameterizedData

Modifier and Type	Method	Description
static ParameterizedDataCombiner	ParameterizedDataCombiner.of(ParameterizedData... instances)	Obtains an instance that can combine the specified underlying instances.

Method parameters in com.opengamma.strata.market.param with type arguments of type ParameterizedData

Modifier and Type	Method	Description
MarketDataBox<ParameterizedData>	PointShifts.applyTo(MarketDataBox<ParameterizedData> marketData, ReferenceData refData)
static ParameterizedDataCombiner	ParameterizedDataCombiner.of(List<? extends ParameterizedData> instances)	Obtains an instance that can combine the specified underlying instances.

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

Subinterfaces of ParameterizedData in com.opengamma.strata.market.surface

Modifier and Type	Interface	Description
interface	NodalSurface	A surface based on double nodal points.
interface	Surface	A surface that maps a double x-value and y-value to a double z-value.

Classes in com.opengamma.strata.market.surface that implement ParameterizedData

Modifier and Type	Class	Description
class	ConstantSurface	A surface based on a single constant value.
class	DeformedSurface	The deformed surface.
class	InterpolatedNodalSurface	A surface based on interpolation between a number of nodal points.

Uses of ParameterizedData in com.opengamma.strata.pricer

Subinterfaces of ParameterizedData in com.opengamma.strata.pricer

Modifier and Type	Interface	Description
interface	DiscountFactors	Provides access to discount factors for a single currency.

Classes in com.opengamma.strata.pricer that implement ParameterizedData

Modifier and Type	Class	Description
class	SimpleDiscountFactors	Provides access to discount factors for a currency based on a discount factor curve.
class	ZeroRateDiscountFactors	Provides access to discount factors for a currency based on a zero rate continuously compounded curve.
class	ZeroRatePeriodicDiscountFactors	Provides access to discount factors for a currency based on a zero rate periodically-compounded curve.

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

Subinterfaces of ParameterizedData in com.opengamma.strata.pricer.bond

Modifier and Type	Interface	Description
interface	BlackBondFutureVolatilities	Volatility for pricing bond futures and their options in the log-normal or Black model.
interface	BondFutureVolatilities	Volatilities for pricing bond futures and their options.
interface	BondYieldVolatilities	Volatilities for bond options.

Classes in com.opengamma.strata.pricer.bond that implement ParameterizedData

Modifier and Type	Class	Description
class	BlackBondFutureExpiryLogMoneynessVolatilities	Data provider of volatility for bond future options in the log-normal or Black model.
class	NormalBondYieldExpiryDurationVolatilities	Volatility for swaptions in the normal or Bachelier model based on a surface.

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

Subinterfaces of ParameterizedData in com.opengamma.strata.pricer.capfloor

Modifier and Type	Interface	Description
interface	BlackIborCapletFloorletVolatilities	Volatility for Ibor caplet/floorlet in the log-normal or Black model.
interface	BlackSabrIborCapletFloorletVolatilities	Volatility for Ibor caplet/floorlet in SABR model.
interface	IborCapletFloorletVolatilities	Volatilities for pricing Ibor caplet/floorlet.
interface	NormalIborCapletFloorletVolatilities	Volatility for Ibor caplet/floorlet in the normal or Bachelier model.
interface	NormalSabrIborCapletFloorletVolatilities	Volatility for Ibor/Overnight caplet/floorlet in SABR model.
interface	SabrIborCapletFloorletVolatilities	Volatility for Ibor caplet/floorlet in SABR model.

Classes in com.opengamma.strata.pricer.capfloor that implement ParameterizedData

Modifier and Type	Class	Description
class	BlackIborCapletFloorletExpiryFlatVolatilities	Volatility for Ibor caplet/floorlet in the log-normal or Black model based on a curve.
class	BlackIborCapletFloorletExpiryStrikeVolatilities	Volatility for Ibor caplet/floorlet in the log-normal or Black model based on a surface.
class	NormalIborCapletFloorletExpiryFlatVolatilities	Volatility for Ibor caplet/floorlet in the normal or Bachelier model based on a curve.
class	NormalIborCapletFloorletExpiryStrikeVolatilities	Volatility for Ibor caplet/floorlet in the normal or Bachelier model based on a surface.
class	NormalSabrParametersIborCapletFloorletVolatilities	Volatility environment for caplet/floorlet in the SABR model.
class	SabrParametersIborCapletFloorletVolatilities	Volatility environment for Ibor caplet/floorlet in the SABR model.
class	ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities	Volatility for Ibor caplet/floorlet in the shifted log-normal or shifted Black model based on a surface.

Uses of ParameterizedData in com.opengamma.strata.pricer.credit

Subinterfaces of ParameterizedData in com.opengamma.strata.pricer.credit

Modifier and Type	Interface	Description
interface	CreditDiscountFactors	Provides access to discount factors for a single currency.
interface	RecoveryRates	Recovery rates.

Classes in com.opengamma.strata.pricer.credit that implement ParameterizedData

Modifier and Type	Class	Description
class	ConstantRecoveryRates	The constant recovery rate.
class	IsdaCreditDiscountFactors	ISDA compliant zero rate discount factors.

Uses of ParameterizedData in com.opengamma.strata.pricer.fx

Subinterfaces of ParameterizedData in com.opengamma.strata.pricer.fx

Modifier and Type	Interface	Description
interface	FxForwardRates	Provides access to rates for a currency pair.
interface	FxIndexRates	Provides access to rates for an FX index.

Classes in com.opengamma.strata.pricer.fx that implement ParameterizedData

Modifier and Type	Class	Description
class	DiscountFxForwardRates	Provides access to discount factors for currencies.
class	ForwardFxIndexRates	Provides access to rates for an FX index.

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

Subinterfaces of ParameterizedData in com.opengamma.strata.pricer.fxopt

Modifier and Type	Interface	Description
interface	BlackFxOptionVolatilities	Volatility for FX option in the log-normal or Black model.
interface	FxOptionVolatilities	Volatilities for pricing FX options.
interface	SmileDeltaTermStructure	A term structure of smile as used in Forex market.

Classes in com.opengamma.strata.pricer.fxopt that implement ParameterizedData

Modifier and Type	Class	Description
class	BlackFxOptionFlatVolatilities	Volatility for FX options in the log-normal or Black model based on a curve.
class	BlackFxOptionSmileVolatilities	Data provider of volatility for FX options in the log-normal or Black-Scholes model.
class	BlackFxOptionSurfaceVolatilities	Volatility for FX options in the log-normal or Black model based on a surface.
class	InterpolatedStrikeSmileDeltaTermStructure	An interpolated term structure of smiles as used in Forex market.
class	SmileDeltaParameters	A delta dependent smile as used in Forex market.

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

Subinterfaces of ParameterizedData in com.opengamma.strata.pricer.index

Modifier and Type	Interface	Description
interface	IborFutureOptionVolatilities	Volatilities for pricing Ibor futures.
interface	NormalIborFutureOptionVolatilities	Volatility for Ibor future options in the normal or Bachelier model.

Classes in com.opengamma.strata.pricer.index that implement ParameterizedData

Modifier and Type	Class	Description
class	NormalIborFutureOptionExpirySimpleMoneynessVolatilities	Data provider of volatility for Ibor future options in the normal or Bachelier model.

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

Classes in com.opengamma.strata.pricer.model that implement ParameterizedData

Modifier and Type	Class	Description
class	SabrInterestRateParameters	The volatility surface description under SABR model.
class	SabrParameters	The volatility surface description under SABR model.

Uses of ParameterizedData in com.opengamma.strata.pricer.rate

Subinterfaces of ParameterizedData in com.opengamma.strata.pricer.rate

Modifier and Type	Interface	Description
interface	IborIndexRates	Provides access to rates for an Ibor index.
interface	OvernightIndexRates	Provides access to rates for an Overnight index.
interface	PriceIndexValues	Provides access to the values of a price index.

Classes in com.opengamma.strata.pricer.rate that implement ParameterizedData

Modifier and Type	Class	Description
class	DiscountIborIndexRates	An Ibor index curve providing rates from discount factors.
class	DiscountOvernightIndexRates	An Overnight index curve providing rates from discount factors.
class	HistoricIborIndexRates	Historic Ibor index rates, used for indices that are no longer active.
class	HistoricOvernightIndexRates	Historic Overnight index rates, used for indices that are no longer active.
class	HistoricPriceIndexValues	Historic Price index values, used for indices that are no longer active.
class	SimpleIborIndexRates	An Ibor index curve providing rates directly from a forward rates curve.
class	SimplePriceIndexValues	Provides values for a Price index from a forward curve.

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

Subinterfaces of ParameterizedData in com.opengamma.strata.pricer.swaption

Modifier and Type	Interface	Description
interface	BlackSwaptionVolatilities	Volatility for swaptions in the log-normal or Black model.
interface	NormalSwaptionVolatilities	Volatility for swaptions in the normal or Bachelier model.
interface	SabrSwaptionVolatilities	Volatility for swaptions in SABR model.
interface	SwaptionVolatilities	Volatilities for pricing swaptions.

Classes in com.opengamma.strata.pricer.swaption that implement ParameterizedData

Modifier and Type	Class	Description
class	BlackSwaptionExpiryTenorVolatilities	Volatility for swaptions in the log-normal or Black model.
class	NormalSwaptionExpirySimpleMoneynessVolatilities	Volatility for swaptions in the normal or Bachelier model based on a surface.
class	NormalSwaptionExpiryStrikeVolatilities	Volatility for swaptions in the normal or Bachelier model based on a surface.
class	NormalSwaptionExpiryTenorVolatilities	Volatility for swaptions in the normal or Bachelier model based on a surface.
class	SabrParametersSwaptionVolatilities	Volatility environment for swaptions in the SABR model.