Package com.opengamma.strata.pricer.bond

Calculators for bonds.

Interface Summary

Interface	Description
BlackBondFutureVolatilities	Volatility for pricing bond futures and their options in the log-normal or Black model.
BondFutureVolatilities	Volatilities for pricing bond futures and their options.
BondYieldVolatilities	Volatilities for bond options.
LegalEntityDiscountingProvider	A provider of data for bond pricing, based on repo and issuer discounting.

Class Summary

Class	Description
BlackBondFutureExpiryLogMoneynessVolatilities	Data provider of volatility for bond future options in the log-normal or Black model.
BlackBondFutureExpiryLogMoneynessVolatilities.Builder	The bean-builder for BlackBondFutureExpiryLogMoneynessVolatilities.
BlackBondFutureExpiryLogMoneynessVolatilities.Meta	The meta-bean for BlackBondFutureExpiryLogMoneynessVolatilities.
BlackBondFutureOptionMarginedProductPricer	Pricer of options on bond future with a log-normal model on the underlying future price.
BlackBondFutureOptionMarginedTradePricer	Pricer implementation for bond future option.
BlackFixedCouponBondOptionPricer	Pricer for fixed coupon bond options based on Black formula for the (dirty) bond price.
BondFutureOptionSensitivity	Point sensitivity to an implied volatility for a bond future option model.
BondFutureOptionSensitivity.Meta	The meta-bean for BondFutureOptionSensitivity.
BondFutureVolatilitiesId	An identifier used to access bond future volatilities by name.
BondFutureVolatilitiesName	The name of a set of bond future volatilities.
BondVolatilitiesName	The name of a set of bond options volatilities.
BondYieldSensitivity	Point sensitivity to a bond yield implied parameter point.
BondYieldSensitivity.Meta	The meta-bean for BondYieldSensitivity.
DiscountingBillProductPricer	Pricer for bill products.
DiscountingBillTradePricer	Pricer for bill trades.
DiscountingBondFutureProductPricer	Pricer for for bond future products.
DiscountingBondFutureTradePricer	Pricer implementation for bond future trades.
DiscountingCapitalIndexedBondPaymentPeriodPricer	Pricer implementation for bond payment periods based on a capital indexed coupon.
DiscountingCapitalIndexedBondProductPricer	Pricer for capital indexed bond products.
DiscountingCapitalIndexedBondTradePricer	Pricer for for capital index bond trades.
DiscountingFixedCouponBondPaymentPeriodPricer	Pricer implementation for bond payment periods based on a fixed coupon.
DiscountingFixedCouponBondProductPricer	Pricer for fixed coupon bond products.
DiscountingFixedCouponBondTradePricer	Pricer for fixed coupon bond trades.
ImmutableLegalEntityDiscountingProvider	An immutable provider of data for bond pricing, based on repo and issuer discounting.
ImmutableLegalEntityDiscountingProvider.Builder	The bean-builder for ImmutableLegalEntityDiscountingProvider.
ImmutableLegalEntityDiscountingProvider.Meta	The meta-bean for ImmutableLegalEntityDiscountingProvider.
IssuerCurveDiscountFactors	Provides access to discount factors for an issuer curve.
IssuerCurveDiscountFactors.Meta	The meta-bean for IssuerCurveDiscountFactors.
IssuerCurveZeroRateSensitivity	Point sensitivity to the issuer curve.
IssuerCurveZeroRateSensitivity.Meta	The meta-bean for IssuerCurveZeroRateSensitivity.
NormalBondYieldExpiryDurationVolatilities	Volatility for swaptions in the normal or Bachelier model based on a surface.
NormalBondYieldExpiryDurationVolatilities.Meta	The meta-bean for NormalBondYieldExpiryDurationVolatilities.
RepoCurveDiscountFactors	Provides access to discount factors for a repo curve.
RepoCurveDiscountFactors.Meta	The meta-bean for RepoCurveDiscountFactors.
RepoCurveZeroRateSensitivity	Point sensitivity to the repo curve.
RepoCurveZeroRateSensitivity.Meta	The meta-bean for RepoCurveZeroRateSensitivity.