Package com.opengamma.strata.pricer.credit
Calculators for credit instruments, such as Credit Default Swap (CDS).

Interface Summary Interface Description CreditDiscountFactors Provides access to discount factors for a single currency.CreditRatesProvider The rates provider, used to calculate analytic measures.RecoveryRates Recovery rates. 
Class Summary Class Description AnalyticSpreadSensitivityCalculator Analytic spread sensitivity calculator.CdsMarketQuoteConverter The market quote converter for credit default swaps.ConstantRecoveryRates The constant recovery rate.ConstantRecoveryRates.Meta The metabean forConstantRecoveryRates
.CreditCurveZeroRateSensitivity Point sensitivity to the zero hazard rate curve.CreditCurveZeroRateSensitivity.Meta The metabean forCreditCurveZeroRateSensitivity
.DoublesScheduleGenerator The Doubles schedule generator.FastCreditCurveCalibrator Fast credit curve calibrator.FiniteDifferenceSpreadSensitivityCalculator Finite difference spread sensitivity calculator.ImmutableCreditRatesProvider The immutable rates provider, used to calculate analytic measures.ImmutableCreditRatesProvider.Builder The beanbuilder forImmutableCreditRatesProvider
.ImmutableCreditRatesProvider.Meta The metabean forImmutableCreditRatesProvider
.IsdaCdsProductPricer Pricer for singlename credit default swaps (CDS) based on ISDA standard model.IsdaCdsTradePricer Pricer for singlename credit default swaps (CDS) trade based on ISDA standard model.IsdaCompliantCreditCurveCalibrator ISDA compliant credit curve calibrator.IsdaCompliantDiscountCurveCalibrator ISDA compliant discount curve calibrator.IsdaCompliantIndexCurveCalibrator ISDA compliant index curve calibrator.IsdaCreditDiscountFactors ISDA compliant zero rate discount factors.IsdaCreditDiscountFactors.Meta The metabean forIsdaCreditDiscountFactors
.IsdaHomogenousCdsIndexProductPricer Pricer for CDS portfolio index based on ISDA standard model.IsdaHomogenousCdsIndexTradePricer Pricer for CDS portfolio index trade based on ISDA standard model.JumpToDefault The result of calculating JumpToDefault.JumpToDefault.Meta The metabean forJumpToDefault
.LegalEntitySurvivalProbabilities The legal entity survival probabilities.LegalEntitySurvivalProbabilities.Meta The metabean forLegalEntitySurvivalProbabilities
.SimpleCreditCurveCalibrator Simple credit curve calibrator.SpreadSensitivityCalculator The spread sensitivity calculator. 
Enum Summary Enum Description AccrualOnDefaultFormula The formula for accrual on default.ArbitrageHandling The formula for accrual on default.