Package com.opengamma.strata.pricer.rate

Calculators for rates instruments, such as Forward Rate Agreement (FRA) and interest rate swap.

This package contains an interface to allow a rate, such as 'GBP-LIBOR-3M', to be observed.

Interface Summary

Interface	Description
IborIndexRates	Provides access to rates for an Ibor index.
OvernightIndexRates	Provides access to rates for an Overnight index.
PriceIndexValues	Provides access to the values of a price index.
RateComputationFn<T extends RateComputation>	Computes a rate.
RatesProvider	A provider of rates, such as Ibor and Overnight, used for pricing financial instruments.

Class Summary

Class	Description
DiscountIborIndexRates	An Ibor index curve providing rates from discount factors.
DiscountIborIndexRates.Meta	The meta-bean for DiscountIborIndexRates.
DiscountOvernightIndexRates	An Overnight index curve providing rates from discount factors.
DiscountOvernightIndexRates.Meta	The meta-bean for DiscountOvernightIndexRates.
HistoricIborIndexRates	Historic Ibor index rates, used for indices that are no longer active.
HistoricIborIndexRates.Meta	The meta-bean for HistoricIborIndexRates.
HistoricOvernightIndexRates	Historic Overnight index rates, used for indices that are no longer active.
HistoricOvernightIndexRates.Meta	The meta-bean for HistoricOvernightIndexRates.
HistoricPriceIndexValues	Historic Price index values, used for indices that are no longer active.
HistoricPriceIndexValues.Meta	The meta-bean for HistoricPriceIndexValues.
IborRateSensitivity	Point sensitivity to a rate from an Ibor index curve.
IborRateSensitivity.Meta	The meta-bean for IborRateSensitivity.
ImmutableRatesProvider	The default immutable rates provider, used to calculate analytic measures.
ImmutableRatesProvider.Meta	The meta-bean for ImmutableRatesProvider.
ImmutableRatesProviderBuilder	Builder for the immutable rates provider.
InflationRateSensitivity	Point sensitivity to a rate from a price index curve.
InflationRateSensitivity.Meta	The meta-bean for InflationRateSensitivity.
OvernightRateSensitivity	Point sensitivity to a rate from an Overnight index curve.
OvernightRateSensitivity.Meta	The meta-bean for OvernightRateSensitivity.
SimpleIborIndexRates	An Ibor index curve providing rates directly from a forward rates curve.
SimpleIborIndexRates.Meta	The meta-bean for SimpleIborIndexRates.
SimplePriceIndexValues	Provides values for a Price index from a forward curve.
SimplePriceIndexValues.Meta	The meta-bean for SimplePriceIndexValues.