Uses of Interface
com.opengamma.strata.pricer.credit.CreditRatesProvider

Packages that use CreditRatesProvider

Package	Description
com.opengamma.strata.measure.credit	Calculation functions for credit products.
com.opengamma.strata.pricer.credit	Calculators for credit instruments, such as Credit Default Swap (CDS).
com.opengamma.strata.pricer.sensitivity	Calculators for sensitivities.

Uses of CreditRatesProvider in com.opengamma.strata.measure.credit

Methods in com.opengamma.strata.measure.credit that return CreditRatesProvider

Modifier and Type	Method	Description
CreditRatesProvider	CreditRatesMarketData.creditRatesProvider()	Gets the credit rates provider.
CreditRatesProvider	CreditRatesMarketDataLookup.creditRatesProvider(MarketData marketData)	Obtains credit rates provider based on the specified market data.

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

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

Modifier and Type	Class	Description
class	ImmutableCreditRatesProvider	The immutable rates provider, used to calculate analytic measures.

Methods in com.opengamma.strata.pricer.credit with parameters of type CreditRatesProvider

Modifier and Type	Method	Description
CurrencyParameterSensitivity	SpreadSensitivityCalculator.bucketedCs01(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes bucketed CS01 for CDS index using a single credit curve.
CurrencyParameterSensitivity	SpreadSensitivityCalculator.bucketedCs01(ResolvedCdsIndexTrade trade, List<ResolvedCdsIndexTrade> bucketCdsIndex, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes bucketed CS01 for CDS index using a single credit curve.
CurrencyParameterSensitivity	SpreadSensitivityCalculator.bucketedCs01(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes bucketed CS01 for CDS.
CurrencyParameterSensitivity	SpreadSensitivityCalculator.bucketedCs01(ResolvedCdsTrade trade, List<ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes bucketed CS01 for CDS.
double	CdsMarketQuoteConverter.cleanPrice(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes the market clean price.
CurrencyAmount	IsdaCdsProductPricer.expectedLoss(ResolvedCds cds, CreditRatesProvider ratesProvider)	Calculates the expected loss of the CDS product.
CurrencyAmount	IsdaCdsTradePricer.expectedLoss(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider)	Calculates the expected loss of the underlying product.
CurrencyAmount	IsdaHomogenousCdsIndexProductPricer.expectedLoss(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider)	Calculates the expected loss of the CDS index product.
CurrencyAmount	IsdaHomogenousCdsIndexTradePricer.expectedLoss(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider)	Calculates the expected loss of the underlying product.
protected DoubleArray	SpreadSensitivityCalculator.impliedSpread(List<ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)
JumpToDefault	IsdaCdsProductPricer.jumpToDefault(ResolvedCds cds, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)	Calculates the jump-to-default of the CDS product.
JumpToDefault	IsdaCdsTradePricer.jumpToDefault(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the jump-to-default of the underlying product.
JumpToDefault	IsdaHomogenousCdsIndexProductPricer.jumpToDefault(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)	Calculates the jump-to-default of the CDS index product.
JumpToDefault	IsdaHomogenousCdsIndexTradePricer.jumpToDefault(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the jump-to-default of the underlying product.
CurrencyAmount	AnalyticSpreadSensitivityCalculator.parallelCs01(ResolvedCdsTrade trade, List<ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)
CurrencyAmount	FiniteDifferenceSpreadSensitivityCalculator.parallelCs01(ResolvedCdsTrade trade, List<ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)
CurrencyAmount	SpreadSensitivityCalculator.parallelCs01(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes parallel CS01 for CDS index using a single credit curve.
CurrencyAmount	SpreadSensitivityCalculator.parallelCs01(ResolvedCdsIndexTrade trade, List<ResolvedCdsIndexTrade> bucketCdsIndex, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes parallel CS01 for CDS index using a single credit curve.
CurrencyAmount	SpreadSensitivityCalculator.parallelCs01(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes parallel CS01 for CDS.
abstract CurrencyAmount	SpreadSensitivityCalculator.parallelCs01(ResolvedCdsTrade trade, List<ResolvedCdsTrade> bucketCds, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes parallel CS01 for CDS.
double	IsdaCdsProductPricer.parSpread(ResolvedCds cds, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)	Calculates the par spread of the CDS product.
double	IsdaCdsTradePricer.parSpread(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the par spread of the underlying product.
double	IsdaHomogenousCdsIndexProductPricer.parSpread(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)	Calculates the par spread of the CDS index product.
double	IsdaHomogenousCdsIndexTradePricer.parSpread(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the par spread of the underlying product.
PointSensitivityBuilder	IsdaCdsProductPricer.parSpreadSensitivity(ResolvedCds cds, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)	Calculates the par spread sensitivity of the product.
PointSensitivities	IsdaCdsTradePricer.parSpreadSensitivity(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the par spread sensitivity of the underling product.
PointSensitivityBuilder	IsdaHomogenousCdsIndexProductPricer.parSpreadSensitivity(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)	Calculates the par spread sensitivity of the product.
PointSensitivities	IsdaHomogenousCdsIndexTradePricer.parSpreadSensitivity(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the par spread sensitivity of the underling product.
double	CdsMarketQuoteConverter.pointsUpfront(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Computes the points upfront.
CdsQuote	CdsMarketQuoteConverter.pointsUpFrontFromQuotedSpread(ResolvedCdsTrade trade, CdsQuote quote, CreditRatesProvider ratesProvider, ReferenceData refData)	Converts quoted spread to points upfront.
CurrencyAmount	IsdaCdsProductPricer.presentValue(ResolvedCds cds, CreditRatesProvider ratesProvider, LocalDate referenceDate, PriceType priceType, ReferenceData refData)	Calculates the present value of the CDS product.
CurrencyAmount	IsdaCdsTradePricer.presentValue(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)	Calculates the present value of the trade.
CurrencyAmount	IsdaHomogenousCdsIndexProductPricer.presentValue(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, PriceType priceType, ReferenceData refData)	Calculates the present value of the CDS index product.
CurrencyAmount	IsdaHomogenousCdsIndexTradePricer.presentValue(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)	Calculates the present value of the trade.
CurrencyAmount	IsdaCdsTradePricer.presentValueOnSettle(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)	Calculates the present value of the underlying product.
CurrencyAmount	IsdaHomogenousCdsIndexTradePricer.presentValueOnSettle(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)	Calculates the present value of the underlying product.
PointSensitivities	IsdaCdsTradePricer.presentValueOnSettleSensitivity(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the present value sensitivity of the underlying product.
PointSensitivities	IsdaHomogenousCdsIndexTradePricer.presentValueOnSettleSensitivity(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the present value sensitivity of the underlying product.
PointSensitivityBuilder	IsdaCdsProductPricer.presentValueSensitivity(ResolvedCds cds, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)	Calculates the present value sensitivity of the product.
PointSensitivities	IsdaCdsTradePricer.presentValueSensitivity(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the present value sensitivity of the trade.
PointSensitivityBuilder	IsdaHomogenousCdsIndexProductPricer.presentValueSensitivity(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)	Calculates the present value sensitivity of the product.
PointSensitivities	IsdaHomogenousCdsIndexTradePricer.presentValueSensitivity(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the present value sensitivity of the trade.
double	IsdaCdsProductPricer.price(ResolvedCds cds, CreditRatesProvider ratesProvider, LocalDate referenceDate, PriceType priceType, ReferenceData refData)	Calculates the price of the CDS product, which is the present value per unit notional.
double	IsdaCdsTradePricer.price(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)	Calculates the price of the underlying product, which is the present value per unit notional.
double	IsdaHomogenousCdsIndexProductPricer.price(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, PriceType priceType, ReferenceData refData)	Calculates the price of the CDS index product, which is the minus of the present value per unit notional.
double	IsdaHomogenousCdsIndexTradePricer.price(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)	Calculates the price of the underlying product, which is the present value per unit notional.
PointSensitivityBuilder	IsdaCdsProductPricer.priceSensitivity(ResolvedCds cds, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)	Calculates the price sensitivity of the product.
PointSensitivities	IsdaCdsTradePricer.priceSensitivity(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the price sensitivity of the underlying product.
PointSensitivityBuilder	IsdaHomogenousCdsIndexProductPricer.priceSensitivity(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)	Calculates the price sensitivity of the product.
PointSensitivities	IsdaHomogenousCdsIndexTradePricer.priceSensitivity(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the price sensitivity of the underlying product.
double	IsdaCdsProductPricer.protectionLeg(ResolvedCds cds, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)	Calculates the price of the protection leg, which is the protection leg present value per unit notional.
CdsQuote	CdsMarketQuoteConverter.quotedSpreadFromPointsUpfront(ResolvedCdsTrade trade, CdsQuote quote, CreditRatesProvider ratesProvider, ReferenceData refData)	Converts points upfront to quoted spread.
List<CdsQuote>	CdsMarketQuoteConverter.quotesFromParSpread(List<ResolvedCdsTrade> trades, List<CdsQuote> quotes, CreditRatesProvider ratesProvider, CdsQuoteConvention targetConvention, ReferenceData refData)	The par spread quotes are converted to points upfronts or quoted spreads.
CurrencyAmount	IsdaCdsProductPricer.recovery01(ResolvedCds cds, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)	Calculates the recovery01 of the CDS product.
CurrencyAmount	IsdaHomogenousCdsIndexProductPricer.recovery01(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)	Calculates the recovery01 of the CDS index product.
CurrencyAmount	IsdaCdsTradePricer.recovery01OnSettle(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the recovery01 of the underlying product.
CurrencyAmount	IsdaHomogenousCdsIndexTradePricer.recovery01OnSettle(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, ReferenceData refData)	Calculates the recovery01 of the underlying product.
double	IsdaCdsProductPricer.riskyAnnuity(ResolvedCds cds, CreditRatesProvider ratesProvider, LocalDate referenceDate, PriceType priceType, ReferenceData refData)	Calculates the risky annuity, which is RPV01 per unit notional.
double	IsdaHomogenousCdsIndexProductPricer.riskyAnnuity(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, PriceType priceType, ReferenceData refData)	Calculates the risky annuity, which is RPV01 per unit notional.
PointSensitivityBuilder	IsdaCdsProductPricer.riskyAnnuitySensitivity(ResolvedCds cds, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)	Calculates the risky annuity sensitivity of the product.
PointSensitivityBuilder	IsdaHomogenousCdsIndexProductPricer.riskyAnnuitySensitivity(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, ReferenceData refData)	Calculates the risky annuity sensitivity of the product.
CurrencyAmount	IsdaCdsProductPricer.rpv01(ResolvedCds cds, CreditRatesProvider ratesProvider, LocalDate referenceDate, PriceType priceType, ReferenceData refData)	Calculates the risky PV01 of the CDS product.
CurrencyAmount	IsdaHomogenousCdsIndexProductPricer.rpv01(ResolvedCdsIndex cdsIndex, CreditRatesProvider ratesProvider, LocalDate referenceDate, PriceType priceType, ReferenceData refData)	Calculates the risky PV01 of the CDS index product.
CurrencyAmount	IsdaCdsTradePricer.rpv01OnSettle(ResolvedCdsTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)	Calculates the risky PV01 of the underlying product.
CurrencyAmount	IsdaHomogenousCdsIndexTradePricer.rpv01OnSettle(ResolvedCdsIndexTrade trade, CreditRatesProvider ratesProvider, PriceType priceType, ReferenceData refData)	Calculates the risky PV01 of the underlying product.

Uses of CreditRatesProvider in com.opengamma.strata.pricer.sensitivity

Methods in com.opengamma.strata.pricer.sensitivity with parameters of type CreditRatesProvider

Modifier and Type	Method	Description
CurrencyParameterSensitivities	MarketQuoteSensitivityCalculator.sensitivity(CurrencyParameterSensitivities paramSensitivities, CreditRatesProvider provider)	Calculates the market quote sensitivities from parameter sensitivity.
CurrencyParameterSensitivities	RatesFiniteDifferenceSensitivityCalculator.sensitivity(CreditRatesProvider provider, Function<ImmutableCreditRatesProvider,CurrencyAmount> valueFn)	Computes the first order sensitivities of a function of a CreditRatesProvider to a double by finite difference.