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

Packages that use HullWhiteOneFactorPiecewiseConstantParametersProvider

Package	Description
com.opengamma.strata.pricer.index	Calculators for products based on rate indices, such as Short Term Interest Rate futures (STIRs).
com.opengamma.strata.pricer.model	Common code for model pricing.
com.opengamma.strata.pricer.swaption	Calculators for swaptions.

Uses of HullWhiteOneFactorPiecewiseConstantParametersProvider in com.opengamma.strata.pricer.index

Methods in com.opengamma.strata.pricer.index with parameters of type HullWhiteOneFactorPiecewiseConstantParametersProvider

Modifier and Type	Method	Description
double	HullWhiteIborFutureProductPricer.convexityAdjustment(ResolvedIborFuture future, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)	Calculates the convexity adjustment (to the price) of the Ibor future product.
MultiCurrencyAmount	HullWhiteIborFutureTradePricer.currencyExposure(ResolvedIborFutureTrade trade, RatesProvider provider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider, double lastSettlementPrice)	Calculates the currency exposure of the Ibor future trade.
double	HullWhiteIborFutureProductPricer.parRate(ResolvedIborFuture future, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)	Calculates the par rate of the Ibor future product.
double	HullWhiteIborFutureTradePricer.parSpread(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider, double lastSettlementPrice)	Calculates the par spread of the Ibor future trade.
PointSensitivities	HullWhiteIborFutureTradePricer.parSpreadSensitivityRates(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)	Calculates the par spread sensitivity of the Ibor future trade.
CurrencyAmount	HullWhiteIborFutureTradePricer.presentValue(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider, double lastSettlementPrice)	Calculates the present value of the Ibor future trade.
DoubleArray	HullWhiteIborFutureTradePricer.presentValueSensitivityModelParamsHullWhite(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)	Calculates the present value sensitivity to piecewise constant volatility parameters of the Hull-White model.
PointSensitivities	HullWhiteIborFutureTradePricer.presentValueSensitivityRates(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)	Calculates the present value sensitivity of the Ibor future trade.
double	HullWhiteIborFutureProductPricer.price(ResolvedIborFuture future, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)	Calculates the price of the Ibor future product.
double	HullWhiteIborFutureTradePricer.price(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)	Calculates the price of the Ibor future trade.
DoubleArray	HullWhiteIborFutureProductPricer.priceSensitivityModelParamsHullWhite(ResolvedIborFuture future, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)	Calculates the price sensitivity to piecewise constant volatility parameters of the Hull-White model.
PointSensitivities	HullWhiteIborFutureProductPricer.priceSensitivityRates(ResolvedIborFuture future, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)	Calculates the price sensitivity of the Ibor future product.
PointSensitivities	HullWhiteIborFutureTradePricer.priceSensitivityRates(ResolvedIborFutureTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)	Calculates the price sensitivity of the Ibor future product.

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

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

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.

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

Modifier and Type	Method	Description
Class<? extends HullWhiteOneFactorPiecewiseConstantParametersProvider>	HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta.beanType()
org.joda.beans.BeanBuilder<? extends HullWhiteOneFactorPiecewiseConstantParametersProvider>	HullWhiteOneFactorPiecewiseConstantParametersProvider.Meta.builder()

Uses of HullWhiteOneFactorPiecewiseConstantParametersProvider in com.opengamma.strata.pricer.swaption

Methods in com.opengamma.strata.pricer.swaption with parameters of type HullWhiteOneFactorPiecewiseConstantParametersProvider

Modifier and Type	Method	Description
MultiCurrencyAmount	HullWhiteSwaptionPhysicalProductPricer.currencyExposure(ResolvedSwaption swaption, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)	Calculates the currency exposure of the swaption product.
MultiCurrencyAmount	HullWhiteSwaptionPhysicalTradePricer.currencyExposure(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)	Computes the currency exposure of the swaption trade.
CurrencyAmount	HullWhiteSwaptionPhysicalProductPricer.presentValue(ResolvedSwaption swaption, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)	Calculates the present value of the swaption product.
CurrencyAmount	HullWhiteSwaptionPhysicalTradePricer.presentValue(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)	Calculates the present value of the swaption trade.
DoubleArray	HullWhiteSwaptionPhysicalProductPricer.presentValueSensitivityModelParamsHullWhite(ResolvedSwaption swaption, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)	Calculates the present value sensitivity to piecewise constant volatility parameters of the Hull-White model.
DoubleArray	HullWhiteSwaptionPhysicalTradePricer.presentValueSensitivityModelParamsHullWhite(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)	Calculates the present value sensitivity piecewise constant volatility parameters of the Hull-White model.
PointSensitivityBuilder	HullWhiteSwaptionPhysicalProductPricer.presentValueSensitivityRates(ResolvedSwaption swaption, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)	Calculates the present value sensitivity of the swaption product.
PointSensitivities	HullWhiteSwaptionPhysicalTradePricer.presentValueSensitivityRates(ResolvedSwaptionTrade trade, RatesProvider ratesProvider, HullWhiteOneFactorPiecewiseConstantParametersProvider hwProvider)	Calculates the present value sensitivity of the swaption product.