MultiCurrencyAmount |
BlackBondFutureOptionMarginedTradePricer.currencyExposure(ResolvedBondFutureOptionTrade trade,
LegalEntityDiscountingProvider discountingProvider,
BondFutureVolatilities volatilities,
double lastOptionSettlementPrice) |
Calculates the currency exposure of the bond future option trade.
|
MultiCurrencyAmount |
DiscountingBillTradePricer.currencyExposure(ResolvedBillTrade trade,
LegalEntityDiscountingProvider provider) |
Calculates the currency exposure of a bill trade.
|
MultiCurrencyAmount |
DiscountingBondFutureTradePricer.currencyExposure(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider,
double lastSettlementPrice) |
Calculates the currency exposure of the bond future trade.
|
MultiCurrencyAmount |
DiscountingCapitalIndexedBondProductPricer.currencyExposure(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
LocalDate referenceDate) |
Calculates the currency exposure of the bond product.
|
MultiCurrencyAmount |
DiscountingCapitalIndexedBondTradePricer.currencyExposure(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider) |
Calculates the currency exposure of the bond trade.
|
MultiCurrencyAmount |
DiscountingFixedCouponBondTradePricer.currencyExposure(ResolvedFixedCouponBondTrade trade,
LegalEntityDiscountingProvider provider) |
Calculates the currency exposure of the fixed coupon bond trade.
|
MultiCurrencyAmount |
DiscountingCapitalIndexedBondTradePricer.currencyExposureFromCleanPrice(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
double cleanRealPrice) |
Calculates the currency exposure of the bond trade.
|
MultiCurrencyAmount |
DiscountingCapitalIndexedBondTradePricer.currencyExposureFromCleanPriceWithZSpread(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
double cleanRealPrice,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the currency exposure of the bond trade with z-spread.
|
MultiCurrencyAmount |
DiscountingBillTradePricer.currencyExposureWithZSpread(ResolvedBillTrade trade,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the currency exposure of a bill trade with z-spread.
|
MultiCurrencyAmount |
DiscountingBondFutureTradePricer.currencyExposureWithZSpread(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider,
double lastSettlementPrice,
double zSpread,
CompoundedRateType compoundedRateType,
int periodPerYear) |
Calculates the currency exposure of the bond future trade with z-spread.
|
MultiCurrencyAmount |
DiscountingCapitalIndexedBondProductPricer.currencyExposureWithZSpread(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
LocalDate referenceDate,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the currency exposure of the bond product with z-spread.
|
MultiCurrencyAmount |
DiscountingCapitalIndexedBondTradePricer.currencyExposureWithZSpread(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the currency exposure of the bond trade with z-spread.
|
MultiCurrencyAmount |
DiscountingFixedCouponBondTradePricer.currencyExposureWithZSpread(ResolvedFixedCouponBondTrade trade,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the currency exposure of the fixed coupon bond trade with z-spread.
|
double |
BlackBondFutureOptionMarginedProductPricer.deltaStickyStrike(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities) |
Calculates the delta of the bond future option product.
|
double |
BlackBondFutureOptionMarginedProductPricer.deltaStickyStrike(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities,
double futurePrice) |
Calculates the delta of the bond future option product based on the price of the underlying future.
|
double |
DiscountingCapitalIndexedBondProductPricer.dirtyNominalPriceFromCurves(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData) |
Calculates the dirty price of the bond security.
|
double |
DiscountingCapitalIndexedBondProductPricer.dirtyNominalPriceFromCurvesWithZSpread(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the dirty price of the bond security with z-spread.
|
PointSensitivityBuilder |
DiscountingCapitalIndexedBondProductPricer.dirtyNominalPriceSensitivity(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData) |
Calculates the dirty price sensitivity of the bond security.
|
PointSensitivityBuilder |
DiscountingCapitalIndexedBondProductPricer.dirtyNominalPriceSensitivityWithZSpread(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the dirty price sensitivity of the bond security with z-spread.
|
double |
DiscountingFixedCouponBondProductPricer.dirtyPriceFromCurves(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider,
ReferenceData refData) |
Calculates the dirty price of the fixed coupon bond.
|
double |
DiscountingFixedCouponBondProductPricer.dirtyPriceFromCurves(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider,
LocalDate settlementDate) |
Calculates the dirty price of the fixed coupon bond under the specified settlement date.
|
double |
DiscountingFixedCouponBondProductPricer.dirtyPriceFromCurvesWithZSpread(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear,
LocalDate settlementDate) |
Calculates the dirty price of the fixed coupon bond under the specified settlement date with z-spread.
|
double |
DiscountingFixedCouponBondProductPricer.dirtyPriceFromCurvesWithZSpread(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider,
ReferenceData refData,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the dirty price of the fixed coupon bond with z-spread.
|
PointSensitivityBuilder |
DiscountingFixedCouponBondProductPricer.dirtyPriceSensitivity(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider,
ReferenceData refData) |
Calculates the dirty price sensitivity of the fixed coupon bond product.
|
PointSensitivityBuilder |
DiscountingFixedCouponBondProductPricer.dirtyPriceSensitivityWithZspread(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider,
ReferenceData refData,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the dirty price sensitivity of the fixed coupon bond with z-spread.
|
double |
BlackBondFutureOptionMarginedProductPricer.gammaStickyStrike(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities) |
Calculates the gamma of the bond future option product.
|
double |
BlackBondFutureOptionMarginedProductPricer.gammaStickyStrike(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities,
double futurePrice) |
Calculates the gamma of the bond future option product based on the price of the underlying future.
|
double |
DiscountingBondFutureTradePricer.parSpread(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider,
double lastSettlementPrice) |
Calculates the par spread of the bond future trade.
|
PointSensitivities |
DiscountingBondFutureTradePricer.parSpreadSensitivity(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider) |
Calculates the par spread sensitivity of the bond future trade.
|
PointSensitivities |
DiscountingBondFutureTradePricer.parSpreadSensitivityWithZSpread(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodPerYear) |
Calculates the par spread sensitivity of the bond future trade with z-spread.
|
double |
DiscountingBondFutureTradePricer.parSpreadWithZSpread(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider,
double lastSettlementPrice,
double zSpread,
CompoundedRateType compoundedRateType,
int periodPerYear) |
Calculates the par spread of the bond future trade with z-spread.
|
CurrencyAmount |
BlackBondFutureOptionMarginedTradePricer.presentValue(ResolvedBondFutureOptionTrade trade,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities,
double futurePrice,
double lastOptionSettlementPrice) |
Calculates the present value of the bond future option trade from the underlying future price.
|
CurrencyAmount |
BlackBondFutureOptionMarginedTradePricer.presentValue(ResolvedBondFutureOptionTrade trade,
LegalEntityDiscountingProvider discountingProvider,
BondFutureVolatilities volatilities,
double lastOptionSettlementPrice) |
Calculates the present value of the bond future option trade.
|
CurrencyAmount |
BlackFixedCouponBondOptionPricer.presentValue(ResolvedFixedCouponBondOption bondOption,
LegalEntityDiscountingProvider legalEntityProvider,
BondYieldVolatilities volatilities) |
Calculates the present value of the bond option.
|
CurrencyAmount |
DiscountingBillProductPricer.presentValue(ResolvedBill bill,
LegalEntityDiscountingProvider provider) |
Calculates the present value of the bill product.
|
CurrencyAmount |
DiscountingBillTradePricer.presentValue(ResolvedBillTrade trade,
LegalEntityDiscountingProvider provider) |
Calculates the present value of a bill trade.
|
CurrencyAmount |
DiscountingBondFutureTradePricer.presentValue(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider,
double lastSettlementPrice) |
Calculates the present value of the bond future trade.
|
CurrencyAmount |
DiscountingCapitalIndexedBondProductPricer.presentValue(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider) |
Calculates the present value of the bond.
|
CurrencyAmount |
DiscountingCapitalIndexedBondTradePricer.presentValue(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider) |
Calculates the present value of the bond trade.
|
CurrencyAmount |
DiscountingFixedCouponBondProductPricer.presentValue(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider) |
Calculates the present value of the fixed coupon bond product.
|
CurrencyAmount |
DiscountingFixedCouponBondTradePricer.presentValue(ResolvedFixedCouponBondTrade trade,
LegalEntityDiscountingProvider provider) |
Calculates the present value of the fixed coupon bond trade.
|
CurrencyAmount |
DiscountingCapitalIndexedBondTradePricer.presentValueFromCleanPrice(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
double cleanRealPrice) |
Calculates the present value of the bond trade from the clean price.
|
CurrencyAmount |
DiscountingFixedCouponBondTradePricer.presentValueFromCleanPrice(ResolvedFixedCouponBondTrade trade,
LegalEntityDiscountingProvider provider,
ReferenceData refData,
double cleanPrice) |
Calculates the present value of the fixed coupon bond trade from the clean price of the underlying product.
|
CurrencyAmount |
DiscountingCapitalIndexedBondTradePricer.presentValueFromCleanPriceWithZSpread(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
double cleanRealPrice,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the present value of the settlement of the bond trade from the clean price with z-spread.
|
CurrencyAmount |
DiscountingFixedCouponBondTradePricer.presentValueFromCleanPriceWithZSpread(ResolvedFixedCouponBondTrade trade,
LegalEntityDiscountingProvider provider,
ReferenceData refData,
double cleanPrice,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the present value of the fixed coupon bond trade with z-spread from the
clean price of the underlying product.
|
PointSensitivities |
DiscountingBillProductPricer.presentValueSensitivity(ResolvedBill bill,
LegalEntityDiscountingProvider provider) |
Calculates the present value sensitivity of the bill product.
|
PointSensitivities |
DiscountingBillTradePricer.presentValueSensitivity(ResolvedBillTrade trade,
LegalEntityDiscountingProvider provider) |
Calculates the present value sensitivity of a bill trade.
|
PointSensitivities |
DiscountingBondFutureTradePricer.presentValueSensitivity(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider) |
Calculates the present value sensitivity of the bond future trade.
|
PointSensitivityBuilder |
DiscountingCapitalIndexedBondProductPricer.presentValueSensitivity(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider) |
Calculates the present value sensitivity of the bond product.
|
PointSensitivities |
DiscountingCapitalIndexedBondTradePricer.presentValueSensitivity(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider) |
Calculates the present value sensitivity of the bond trade.
|
PointSensitivityBuilder |
DiscountingFixedCouponBondProductPricer.presentValueSensitivity(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider) |
Calculates the present value sensitivity of the fixed coupon bond product.
|
PointSensitivities |
DiscountingFixedCouponBondTradePricer.presentValueSensitivity(ResolvedFixedCouponBondTrade trade,
LegalEntityDiscountingProvider provider) |
Calculates the present value sensitivity of the fixed coupon bond trade.
|
PointSensitivities |
DiscountingCapitalIndexedBondTradePricer.presentValueSensitivityFromCleanPrice(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
double cleanRealPrice) |
Calculates the present value sensitivity of the settlement of the bond trade from the real clean price.
|
PointSensitivities |
DiscountingCapitalIndexedBondTradePricer.presentValueSensitivityFromCleanPriceWithZSpread(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
double cleanRealPrice,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the present value sensitivity of the settlement of the bond trade from the real clean price
with z-spread.
|
BondFutureOptionSensitivity |
BlackBondFutureOptionMarginedTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedBondFutureOptionTrade futureOptionTrade,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities) |
Computes the present value sensitivity to the Black volatility used in the pricing.
|
BondFutureOptionSensitivity |
BlackBondFutureOptionMarginedTradePricer.presentValueSensitivityModelParamsVolatility(ResolvedBondFutureOptionTrade futureOptionTrade,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities,
double futurePrice) |
Computes the present value sensitivity to the Black volatility used in the pricing
based on the price of the underlying future.
|
BondYieldSensitivity |
BlackFixedCouponBondOptionPricer.presentValueSensitivityModelParamsVolatility(ResolvedFixedCouponBondOption bondOption,
LegalEntityDiscountingProvider legalEntityProvider,
BondYieldVolatilities volatilities) |
Returns the present value sensitivity to the underlying yield volatilities.
|
PointSensitivities |
BlackBondFutureOptionMarginedTradePricer.presentValueSensitivityRates(ResolvedBondFutureOptionTrade trade,
LegalEntityDiscountingProvider discountingProvider,
BondFutureVolatilities volatilities) |
Calculates the present value sensitivity of the bond future option trade.
|
PointSensitivities |
BlackFixedCouponBondOptionPricer.presentValueSensitivityRatesStickyStrike(ResolvedFixedCouponBondOption bondOption,
LegalEntityDiscountingProvider legalEntityProvider,
BondYieldVolatilities volatilities) |
Returns the present value sensitivity to the underlying curves.
|
PointSensitivities |
DiscountingBillProductPricer.presentValueSensitivityWithZSpread(ResolvedBill bill,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the present value sensitivity of the bill product with z-spread.
|
PointSensitivities |
DiscountingBillTradePricer.presentValueSensitivityWithZSpread(ResolvedBillTrade trade,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the present value sensitivity of a bill trade with z-spread.
|
PointSensitivities |
DiscountingBondFutureTradePricer.presentValueSensitivityWithZSpread(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodPerYear) |
Calculates the present value sensitivity of the bond future trade with z-spread.
|
PointSensitivityBuilder |
DiscountingCapitalIndexedBondProductPricer.presentValueSensitivityWithZSpread(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the present value sensitivity of the bond product with z-spread.
|
PointSensitivities |
DiscountingCapitalIndexedBondTradePricer.presentValueSensitivityWithZSpread(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the present value sensitivity of the bond trade with z-spread.
|
PointSensitivityBuilder |
DiscountingFixedCouponBondProductPricer.presentValueSensitivityWithZSpread(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the present value sensitivity of the fixed coupon bond with z-spread.
|
PointSensitivities |
DiscountingFixedCouponBondTradePricer.presentValueSensitivityWithZSpread(ResolvedFixedCouponBondTrade trade,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the present value sensitivity of the fixed coupon bond trade with z-spread.
|
CurrencyAmount |
DiscountingBillProductPricer.presentValueWithZSpread(ResolvedBill bill,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the present value of a bill product with z-spread.
|
CurrencyAmount |
DiscountingBillTradePricer.presentValueWithZSpread(ResolvedBillTrade trade,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the present value of a bill trade with z-spread.
|
CurrencyAmount |
DiscountingBondFutureTradePricer.presentValueWithZSpread(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider,
double lastSettlementPrice,
double zSpread,
CompoundedRateType compoundedRateType,
int periodPerYear) |
Calculates the present value of the bond future trade with z-spread.
|
CurrencyAmount |
DiscountingCapitalIndexedBondProductPricer.presentValueWithZSpread(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the present value of the bond product with z-spread.
|
CurrencyAmount |
DiscountingCapitalIndexedBondTradePricer.presentValueWithZSpread(ResolvedCapitalIndexedBondTrade trade,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the present value of the bond trade with z-spread.
|
CurrencyAmount |
DiscountingFixedCouponBondProductPricer.presentValueWithZSpread(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the present value of the fixed coupon bond product with z-spread.
|
CurrencyAmount |
DiscountingFixedCouponBondTradePricer.presentValueWithZSpread(ResolvedFixedCouponBondTrade trade,
LegalEntityDiscountingProvider provider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the present value of the fixed coupon bond trade with z-spread.
|
double |
BlackBondFutureOptionMarginedProductPricer.price(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities) |
Calculates the price of the bond future option product.
|
double |
BlackBondFutureOptionMarginedProductPricer.price(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities,
double futurePrice) |
Calculates the price of the bond future option product
based on the price of the underlying future.
|
double |
BlackBondFutureOptionMarginedTradePricer.price(ResolvedBondFutureOptionTrade trade,
LegalEntityDiscountingProvider discountingProvider,
BondFutureVolatilities volatilities) |
Calculates the price of the bond future option trade.
|
double |
DiscountingBondFutureProductPricer.price(ResolvedBondFuture future,
LegalEntityDiscountingProvider discountingProvider) |
Calculates the price of the bond future product.
|
double |
DiscountingBondFutureTradePricer.price(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider) |
Calculates the price of the bond future trade.
|
double |
DiscountingBillProductPricer.priceFromCurves(ResolvedBill bill,
LegalEntityDiscountingProvider provider,
LocalDate settlementDate) |
Calculates the price for settlement at a given settlement date using curves.
|
double |
DiscountingBillProductPricer.priceFromCurvesWithZSpread(ResolvedBill bill,
LegalEntityDiscountingProvider provider,
LocalDate settlementDate,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the price for settlement at a given settlement date using curves with z-spread.
|
PointSensitivities |
DiscountingBondFutureProductPricer.priceSensitivity(ResolvedBondFuture future,
LegalEntityDiscountingProvider discountingProvider) |
Calculates the price sensitivity of the bond future product.
|
BondFutureOptionSensitivity |
BlackBondFutureOptionMarginedProductPricer.priceSensitivityModelParamsVolatility(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities) |
Calculates the price sensitivity to the Black volatility used for the pricing of the bond future option.
|
BondFutureOptionSensitivity |
BlackBondFutureOptionMarginedProductPricer.priceSensitivityModelParamsVolatility(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities,
double futurePrice) |
Calculates the price sensitivity to the Black volatility used for the pricing of the bond future option
based on the price of the underlying future.
|
PointSensitivities |
BlackBondFutureOptionMarginedProductPricer.priceSensitivityRatesStickyStrike(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities) |
Calculates the price sensitivity of the bond future option product based on curves.
|
PointSensitivities |
BlackBondFutureOptionMarginedProductPricer.priceSensitivityRatesStickyStrike(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities,
double futurePrice) |
Calculates the price sensitivity of the bond future option product based on the price of the underlying future.
|
PointSensitivities |
DiscountingBondFutureProductPricer.priceSensitivityWithZSpread(ResolvedBondFuture future,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodPerYear) |
Calculates the price sensitivity of the bond future product with z-spread.
|
double |
DiscountingBondFutureProductPricer.priceWithZSpread(ResolvedBondFuture future,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodPerYear) |
Calculates the price of the bond future product with z-spread.
|
double |
DiscountingBondFutureTradePricer.priceWithZSpread(ResolvedBondFutureTrade trade,
LegalEntityDiscountingProvider discountingProvider,
double zSpread,
CompoundedRateType compoundedRateType,
int periodPerYear) |
Calculates the price of the bond future trade with z-spread.
|
double |
DiscountingCapitalIndexedBondProductPricer.realYieldFromCurves(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData) |
Computes the conventional real yield from the curves.
|
double |
BlackBondFutureOptionMarginedProductPricer.theta(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities) |
Calculates the theta of the bond future option product.
|
double |
BlackBondFutureOptionMarginedProductPricer.theta(ResolvedBondFutureOption futureOption,
LegalEntityDiscountingProvider discountingProvider,
BlackBondFutureVolatilities volatilities,
double futurePrice) |
Calculates the theta of the bond future option product based on the price of the underlying future.
|
double |
DiscountingBillProductPricer.yieldFromCurves(ResolvedBill bill,
LegalEntityDiscountingProvider provider,
LocalDate settlementDate) |
Calculates the yield for settlement at a given settlement date using curves.
|
double |
DiscountingBillProductPricer.yieldFromCurvesWithZSpread(ResolvedBill bill,
LegalEntityDiscountingProvider provider,
LocalDate settlementDate,
double zSpread,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the yield for settlement at a given settlement date using curves with z-spread.
|
double |
DiscountingCapitalIndexedBondProductPricer.zSpreadFromCurvesAndCleanPrice(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
double cleanPrice,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the z-spread of the bond from curves and clean price.
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double |
DiscountingFixedCouponBondProductPricer.zSpreadFromCurvesAndDirtyPrice(ResolvedFixedCouponBond bond,
LegalEntityDiscountingProvider provider,
ReferenceData refData,
double dirtyPrice,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the z-spread of the fixed coupon bond from curves and dirty price.
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double |
DiscountingCapitalIndexedBondProductPricer.zSpreadFromCurvesAndPv(ResolvedCapitalIndexedBond bond,
RatesProvider ratesProvider,
LegalEntityDiscountingProvider discountingProvider,
ReferenceData refData,
CurrencyAmount presentValue,
CompoundedRateType compoundedRateType,
int periodsPerYear) |
Calculates the z-spread of the bond from curves and present value.
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