Uses of Class
com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParameters

Packages that use HullWhiteOneFactorPiecewiseConstantParameters

Package	Description
com.opengamma.strata.pricer.impl.rate.model	Internal implementations of analytic models.
com.opengamma.strata.pricer.model	Common code for model pricing.

Uses of HullWhiteOneFactorPiecewiseConstantParameters in com.opengamma.strata.pricer.impl.rate.model

Methods in com.opengamma.strata.pricer.impl.rate.model with parameters of type HullWhiteOneFactorPiecewiseConstantParameters

Modifier and Type	Method	Description
double	HullWhiteOneFactorPiecewiseConstantInterestRateModel.alpha(HullWhiteOneFactorPiecewiseConstantParameters data, double startExpiry, double endExpiry, double numeraireTime, double bondMaturity)	Calculates the (zero-coupon) bond volatility divided by a bond numeraire, i.e., alpha, for a given period.
ValueDerivatives	HullWhiteOneFactorPiecewiseConstantInterestRateModel.alphaAdjoint(HullWhiteOneFactorPiecewiseConstantParameters data, double startExpiry, double endExpiry, double numeraireTime, double bondMaturity)	Calculates the (zero-coupon) bond volatility divided by a bond numeraire, i.e., alpha, for a given period and its derivatives.
double	HullWhiteOneFactorPiecewiseConstantInterestRateModel.beta(HullWhiteOneFactorPiecewiseConstantParameters data, double startExpiry, double endExpiry)	Calculates the beta parameter.
double	HullWhiteOneFactorPiecewiseConstantInterestRateModel.futuresConvexityFactor(HullWhiteOneFactorPiecewiseConstantParameters data, double t0, double t1, double t2)	Calculates the future convexity factor used in future pricing.
ValueDerivatives	HullWhiteOneFactorPiecewiseConstantInterestRateModel.futuresConvexityFactorAdjoint(HullWhiteOneFactorPiecewiseConstantParameters data, double t0, double t1, double t2)	Calculates the future convexity factor and its derivatives with respect to the model volatilities.
double	HullWhiteOneFactorPiecewiseConstantInterestRateModel.paymentDelayConvexityFactor(HullWhiteOneFactorPiecewiseConstantParameters parameters, double startExpiry, double endExpiry, double u, double v, double tp)	Calculates the payment delay convexity factor used in coupons with mismatched dates pricing.
DoubleMatrix	HullWhiteOneFactorPiecewiseConstantInterestRateModel.volatilityMaturityPart(HullWhiteOneFactorPiecewiseConstantParameters hwParameters, double u, DoubleMatrix v)	Calculates the maturity dependent part of the volatility (function called H in the implementation note).

Uses of HullWhiteOneFactorPiecewiseConstantParameters in com.opengamma.strata.pricer.model

Methods in com.opengamma.strata.pricer.model that return HullWhiteOneFactorPiecewiseConstantParameters

Modifier and Type	Method	Description
HullWhiteOneFactorPiecewiseConstantParameters	HullWhiteOneFactorPiecewiseConstantParametersProvider.getParameters()	Gets the Hull-White model parameters.
static HullWhiteOneFactorPiecewiseConstantParameters	HullWhiteOneFactorPiecewiseConstantParameters.of(double meanReversion, DoubleArray volatility, DoubleArray volatilityTime)	Obtains an instance from the model parameters.
HullWhiteOneFactorPiecewiseConstantParameters	HullWhiteOneFactorPiecewiseConstantParameters.withLastVolatility(double volatility)	Returns a copy with the last volatility of the volatility parameters changed.
HullWhiteOneFactorPiecewiseConstantParameters	HullWhiteOneFactorPiecewiseConstantParameters.withVolatility(DoubleArray volatility)	Returns a copy with the volatility parameters changed.
HullWhiteOneFactorPiecewiseConstantParameters	HullWhiteOneFactorPiecewiseConstantParameters.withVolatilityAdded(double volatility, double volatilityTime)	Returns a copy with an extra volatility and volatility time added at the end of the respective arrays.

Methods in com.opengamma.strata.pricer.model that return types with arguments of type HullWhiteOneFactorPiecewiseConstantParameters

Modifier and Type	Method	Description
static org.joda.beans.TypedMetaBean<HullWhiteOneFactorPiecewiseConstantParameters>	HullWhiteOneFactorPiecewiseConstantParameters.meta()	The meta-bean for HullWhiteOneFactorPiecewiseConstantParameters.
org.joda.beans.TypedMetaBean<HullWhiteOneFactorPiecewiseConstantParameters>	HullWhiteOneFactorPiecewiseConstantParameters.metaBean()
org.joda.beans.MetaProperty<HullWhiteOneFactorPiecewiseConstantParameters>	HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta.parameters()	The meta-property for the parameters property.

Methods in com.opengamma.strata.pricer.model with parameters of type HullWhiteOneFactorPiecewiseConstantParameters

Modifier and Type	Method	Description
static HullWhiteOneFactorPiecewiseConstantParametersProvider	HullWhiteOneFactorPiecewiseConstantParametersProvider.of(HullWhiteOneFactorPiecewiseConstantParameters parameters, DayCount dayCount, LocalDate valuationDate, LocalTime valuationTime, ZoneId valuationZone)	Obtains an instance from Hull-White model parameters and the date, time and zone for which it is valid.
static HullWhiteOneFactorPiecewiseConstantParametersProvider	HullWhiteOneFactorPiecewiseConstantParametersProvider.of(HullWhiteOneFactorPiecewiseConstantParameters parameters, DayCount dayCount, ZonedDateTime valuationDateTime)	Obtains an instance from Hull-White model parameters and the date-time for which it is valid.