Package com.opengamma.strata.measure.bond

Base package for calculation functions.

This package includes the market data wrappers for bond products. These supply repo and issuer curves.

Interface Summary

Interface	Description
BondFutureOptionMarketData	Market data for bond future options.
BondFutureOptionMarketDataLookup	The lookup that provides access to bond future volatilities in market data.
BondFutureOptionScenarioMarketData	Market data for bond future options, used for calculation across multiple scenarios.
LegalEntityDiscountingMarketData	Market data for products based on repo and issuer curves.
LegalEntityDiscountingMarketDataLookup	The lookup that provides access to legal entity discounting in market data.
LegalEntityDiscountingScenarioMarketData	Market data for products based on repo and issuer curves, used for calculation across multiple scenarios.

Class Summary

Class	Description
BillMeasureCalculations	Multi-scenario measure calculations for bill trades.
BillTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<Bill> & Resolvable<ResolvedBillTrade>>	Perform calculations on a single BillTrade or BillPosition for each of a set of scenarios.
BillTradeCalculations	Calculates pricing and risk measures for bill trades.
BondFutureOptionTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<BondFutureOption> & Resolvable<ResolvedBondFutureOptionTrade>>	Perform calculations on a single BondFutureOptionTrade or BondFutureOptionPosition for each of a set of scenarios.
BondFutureOptionTradeCalculations	Calculates pricing and risk measures for trades in an option contract based on an bond future.
BondFutureTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<BondFuture> & Resolvable<ResolvedBondFutureTrade>>	Perform calculations on a single BondFutureTrade or BondFuturePosition for each of a set of scenarios.
BondFutureTradeCalculations	Calculates pricing and risk measures for trades in a futures contract based on a basket of bonds.
CapitalIndexedBondTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<CapitalIndexedBond> & Resolvable<ResolvedCapitalIndexedBondTrade>>	Perform calculations on a single CapitalIndexedBondTrade or CapitalIndexedBondPosition for each of a set of scenarios.
CapitalIndexedBondTradeCalculations	Calculates pricing and risk measures for forward rate agreement (capital indexed bond) trades.
FixedCouponBondTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<FixedCouponBond> & Resolvable<ResolvedFixedCouponBondTrade>>	Perform calculations on a single FixedCouponBondTrade or FixedCouponBondPosition for each of a set of scenarios.
FixedCouponBondTradeCalculations	Calculates pricing and risk measures for forward rate agreement (fixed coupon bond) trades.