Uses of Class
com.opengamma.strata.product.cms.ResolvedCmsTrade
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Packages that use ResolvedCmsTrade Package Description com.opengamma.strata.measure.cms Calculation functions for constant maturity swap (CMS) products.com.opengamma.strata.pricer.cms Calculators for CMS.com.opengamma.strata.product.cms Entity objects describing Constant Maturity Swap (CMS) or CMS cap/floor. -
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Uses of ResolvedCmsTrade in com.opengamma.strata.measure.cms
Methods in com.opengamma.strata.measure.cms with parameters of type ResolvedCmsTrade Modifier and Type Method Description MultiCurrencyScenarioArrayCmsTradeCalculations. currencyExposure(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)Calculates currency exposure across one or more scenarios.MultiCurrencyAmountCmsTradeCalculations. currencyExposure(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)Calculates currency exposure for a single set of market data.MultiCurrencyScenarioArrayCmsTradeCalculations. currentCash(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)Calculates current cash across one or more scenarios.MultiCurrencyAmountCmsTradeCalculations. currentCash(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)Calculates current cash for a single set of market data.MultiCurrencyScenarioArrayCmsTradeCalculations. presentValue(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)Calculates present value across one or more scenarios.MultiCurrencyAmountCmsTradeCalculations. presentValue(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)Calculates present value for a single set of market data.ScenarioArray<CurrencyParameterSensitivities>CmsTradeCalculations. pv01RatesCalibratedBucketed(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)Calculates present value sensitivity across one or more scenarios.CurrencyParameterSensitivitiesCmsTradeCalculations. pv01RatesCalibratedBucketed(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)Calculates present value sensitivity for a single set of market data.MultiCurrencyScenarioArrayCmsTradeCalculations. pv01RatesCalibratedSum(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)Calculates present value sensitivity across one or more scenarios.MultiCurrencyAmountCmsTradeCalculations. pv01RatesCalibratedSum(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)Calculates present value sensitivity for a single set of market data.ScenarioArray<CurrencyParameterSensitivities>CmsTradeCalculations. pv01RatesMarketQuoteBucketed(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)Calculates present value sensitivity across one or more scenarios.CurrencyParameterSensitivitiesCmsTradeCalculations. pv01RatesMarketQuoteBucketed(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)Calculates present value sensitivity for a single set of market data.MultiCurrencyScenarioArrayCmsTradeCalculations. pv01RatesMarketQuoteSum(ResolvedCmsTrade trade, RatesMarketDataLookup ratesLookup, SwaptionMarketDataLookup swaptionLookup, ScenarioMarketData marketData)Calculates present value sensitivity across one or more scenarios.MultiCurrencyAmountCmsTradeCalculations. pv01RatesMarketQuoteSum(ResolvedCmsTrade trade, RatesProvider ratesProvider, SwaptionVolatilities volatilities)Calculates present value sensitivity for a single set of market data. -
Uses of ResolvedCmsTrade in com.opengamma.strata.pricer.cms
Methods in com.opengamma.strata.pricer.cms with parameters of type ResolvedCmsTrade Modifier and Type Method Description MultiCurrencyAmountDiscountingCmsTradePricer. currencyExposure(ResolvedCmsTrade trade, RatesProvider ratesProvider)Calculates the currency exposure of the trade.MultiCurrencyAmountSabrExtrapolationReplicationCmsTradePricer. currencyExposure(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)Calculates the currency exposure of the trade.MultiCurrencyAmountDiscountingCmsTradePricer. currentCash(ResolvedCmsTrade trade, RatesProvider ratesProvider)Calculates the current cash of the trade.MultiCurrencyAmountSabrExtrapolationReplicationCmsTradePricer. currentCash(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)Calculates the current cash of the trade.MultiCurrencyAmountDiscountingCmsTradePricer. presentValue(ResolvedCmsTrade trade, RatesProvider ratesProvider)Calculates the present value of the CMS trade by simple forward estimation.MultiCurrencyAmountSabrExtrapolationReplicationCmsTradePricer. presentValue(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)Calculates the present value of the CMS trade.PointSensitivitiesDiscountingCmsTradePricer. presentValueSensitivity(ResolvedCmsTrade trade, RatesProvider ratesProvider)Calculates the present value curve sensitivity of the CMS trade by simple forward estimation.PointSensitivitiesSabrExtrapolationReplicationCmsTradePricer. presentValueSensitivityModelParamsSabr(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)Calculates the present value sensitivity to the SABR model parameters.PointSensitivitiesSabrExtrapolationReplicationCmsTradePricer. presentValueSensitivityRates(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)Calculates the present value curve sensitivity of the CMS trade.doubleSabrExtrapolationReplicationCmsTradePricer. presentValueSensitivityStrike(ResolvedCmsTrade trade, RatesProvider ratesProvider, SabrSwaptionVolatilities swaptionVolatilities)Calculates the present value sensitivity to the strike value. -
Uses of ResolvedCmsTrade in com.opengamma.strata.product.cms
Methods in com.opengamma.strata.product.cms that return ResolvedCmsTrade Modifier and Type Method Description ResolvedCmsTradeResolvedCmsTrade.Builder. build()ResolvedCmsTradeCmsTrade. resolve(ReferenceData refData)Methods in com.opengamma.strata.product.cms that return types with arguments of type ResolvedCmsTrade Modifier and Type Method Description Class<? extends ResolvedCmsTrade>ResolvedCmsTrade.Meta. beanType()
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