Package com.opengamma.strata.measure.index
Calculation functions for index products.

Interface Summary Interface Description IborFutureOptionMarketData Market data for Ibor future options.IborFutureOptionMarketDataLookup The lookup that provides access to Ibor future option volatilities in market data.IborFutureOptionScenarioMarketData Market data for Ibor future options, used for calculation across multiple scenarios. 
Class Summary Class Description IborFutureOptionTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<IborFutureOption> & Resolvable<ResolvedIborFutureOptionTrade>> Perform calculations on a singleIborFutureOptionTrade
orIborFutureOptionPosition
for each of a set of scenarios.IborFutureOptionTradeCalculations Calculates pricing and risk measures for trades in an option contract based on an Ibor index future.IborFutureTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<IborFuture> & Resolvable<ResolvedIborFutureTrade>> Perform calculations on a singleIborFutureTrade
orIborFuturePosition
for each of a set of scenarios.IborFutureTradeCalculations Calculates pricing and risk measures for trades in a futures contract based on an Ibor index.OvernightFutureTradeCalculationFunction<T extends SecuritizedProductPortfolioItem<OvernightFuture> & Resolvable<ResolvedOvernightFutureTrade>> Perform calculations on a singleOvernightFutureTrade
for each of a set of scenarios.OvernightFutureTradeCalculations Calculates pricing and risk measures for trades in a futures contract based on an Overnight rate index.