Package com.opengamma.strata.pricer.index

Calculators for products based on rate indices, such as Short Term Interest Rate futures (STIRs).

Interface Summary

Interface	Description
IborFutureOptionVolatilities	Volatilities for pricing Ibor futures.
NormalIborFutureOptionVolatilities	Volatility for Ibor future options in the normal or Bachelier model.

Class Summary

Class	Description
DiscountingIborFutureProductPricer	Pricer for for Ibor future products.
DiscountingIborFutureTradePricer	Pricer implementation for Ibor future trades.
DiscountingOvernightFutureProductPricer	Pricer for for Overnight rate future products.
DiscountingOvernightFutureTradePricer	Pricer implementation for Overnight rate future trades.
HullWhiteIborFutureProductPricer	Pricer for for Ibor future products.
HullWhiteIborFutureTradePricer	Pricer for for Ibor future trades.
IborFutureOptionSensitivity	Point sensitivity to an implied volatility for a Ibor future option model.
IborFutureOptionSensitivity.Meta	The meta-bean for IborFutureOptionSensitivity.
IborFutureOptionVolatilitiesId	An identifier used to access Ibor future option volatilities by name.
IborFutureOptionVolatilitiesName	The name of a set of Ibor future option volatilities.
NormalIborFutureOptionExpirySimpleMoneynessVolatilities	Data provider of volatility for Ibor future options in the normal or Bachelier model.
NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Builder	The bean-builder for NormalIborFutureOptionExpirySimpleMoneynessVolatilities.
NormalIborFutureOptionExpirySimpleMoneynessVolatilities.Meta	The meta-bean for NormalIborFutureOptionExpirySimpleMoneynessVolatilities.
NormalIborFutureOptionMarginedProductPricer	Pricer of options on Ibor future with a normal model on the underlying future price.
NormalIborFutureOptionMarginedTradePricer	Pricer implementation for Ibor future option.