Serialized Form (OpenGamma Strata)

Package com.opengamma.strata.basics
- Class com.opengamma.strata.basics.CalculationTargetList extends Object implements Serializable
  
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  - Serialized Fields
    - targets
      
      ImmutableList<CalculationTarget> targets
      
      The targets.
- Class com.opengamma.strata.basics.ImmutableReferenceData extends Object implements Serializable
  
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  - Serialized Fields
    - values
      
      ImmutableMap<ReferenceDataId<?>,Object> values
      
      The typed reference data values by identifier.
- Class com.opengamma.strata.basics.ReferenceDataNotFoundException extends RuntimeException implements Serializable
  
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- Class com.opengamma.strata.basics.StandardId extends Object implements Serializable
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - scheme
      
      String scheme
      
      The scheme that categorizes the identifier value.
      This provides the universe within which the identifier value has meaning.
    - value
      
      String value
      
      The value of the identifier within the scheme.
Package com.opengamma.strata.basics.currency
- Class com.opengamma.strata.basics.currency.AdjustablePayment extends Object implements Serializable
  
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  - Serialized Fields
    - date
      
      AdjustableDate date
      
      The date that the payment is made.
      This date should normally be a valid business day.
    - value
      
      CurrencyAmount value
      
      The amount of the payment.
      The amount is signed. A negative value indicates the amount is to be paid while a positive value indicates the amount is received.
- Class com.opengamma.strata.basics.currency.BigMoney extends Object implements Serializable
  
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  - Serialized Fields
    - amount
      
      Decimal amount
      
      The amount of the currency.
      For example, in the value 'GBP 12.34' the amount is 12.34.
    - currency
      
      Currency currency
      
      The currency.
      For example, in the value 'GBP 12.34' the currency is 'GBP'.
- Class com.opengamma.strata.basics.currency.Currency extends Object implements Serializable
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
      
      Ensure singleton on deserialization.
  - Serialized Fields
    - code
      
      String code
      
      The currency code.
- Class com.opengamma.strata.basics.currency.CurrencyAmount extends Object implements Serializable
  
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  - Serialized Fields
    - amount
      
      double amount
      
      The amount of the currency.
      For example, in the value 'GBP 12.34' the amount is 12.34.
    - currency
      
      Currency currency
      
      The currency.
      For example, in the value 'GBP 12.34' the currency is 'GBP'.
- Class com.opengamma.strata.basics.currency.CurrencyAmountArray extends Object implements Serializable
  
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  - Serialized Fields
    - currency
      
      Currency currency
      
      The currency. All amounts have the same currency.
    - values
      
      DoubleArray values
      
      The values.
- Class com.opengamma.strata.basics.currency.CurrencyPair extends Object implements Serializable
  
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  - Serialized Fields
    - base
      
      Currency base
      
      The base currency of the pair. In the pair 'AAA/BBB' the base is 'AAA'.
    - counter
      
      Currency counter
      
      The counter currency of the pair. In the pair 'AAA/BBB' the counter is 'BBB'.
- Class com.opengamma.strata.basics.currency.FxMatrix extends Object implements Serializable
  
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  - Serialized Fields
    - currencies
      
      ImmutableMap<Currency,Integer> currencies
      
      The map between the currencies and their position within the rates array. Generally the position reflects the order in which the currencies were added, so the first currency added will be assigned 0, the second 1 etc.
      An ImmutableMap is used so that the currencies are correctly ordered when the FxMatrix.toString() method is called.
    - rates
      
      DoubleMatrix rates
      
      The matrix with all the exchange rates. Each row represents the rates required to convert a unit of particular currency to all other currencies in the matrix.
      If currencies c1 and c2 are assigned indexes i and j respectively in the currencies map, then the entry [i][j] is such that 1 unit of currency c1 is worth rates[i][j] units of currency c2.
      If currencies.get(EUR) = 0 and currencies.get(USD) = 1, then the element rates[0][1] is likely to be around 1.40 and rates[1][0] around 0.7142. The rate rates[1][0] will be computed from fxRate[0][1] when the object is constructed by the builder. All the element of the matrix are meaningful and coherent.
- Class com.opengamma.strata.basics.currency.FxRate extends Object implements Serializable
  
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  - Serialized Fields
    - pair
      
      CurrencyPair pair
      
      The currency pair. The pair is formed of two parts, the base and the counter. In the pair 'AAA/BBB' the base is 'AAA' and the counter is 'BBB'.
    - rate
      
      double rate
      
      The rate applicable to the currency pair. One unit of the base currency is exchanged for this amount of the counter currency.
- Class com.opengamma.strata.basics.currency.Money extends Object implements Serializable
  
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  - Serialized Fields
    - amount
      
      Decimal amount
      
      The amount of the currency.
      For example, in the value 'GBP 12.34' the amount is 12.34.
    - currency
      
      Currency currency
      
      The currency.
      For example, in the value 'GBP 12.34' the currency is 'GBP'.
- Class com.opengamma.strata.basics.currency.MultiCurrencyAmount extends Object implements Serializable
  
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  - Serialized Fields
    - amounts
      
      ImmutableSortedSet<CurrencyAmount> amounts
      
      The set of currency amounts. Each currency will occur only once, as per a map keyed by currency.
- Class com.opengamma.strata.basics.currency.MultiCurrencyAmountArray extends Object implements Serializable
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - size
      
      int size
      
      The size of this array.
    - values
      
      ImmutableSortedMap<Currency,DoubleArray> values
      
      The currency values, keyed by currency.
- Class com.opengamma.strata.basics.currency.Payment extends Object implements Serializable
  
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  - Serialized Fields
    - date
      
      LocalDate date
      
      The date that the payment is made.
      This date should normally be a valid business day.
    - value
      
      CurrencyAmount value
      
      The amount of the payment.
      The amount is signed. A negative value indicates the amount is to be paid while a positive value indicates the amount is received.
Package com.opengamma.strata.basics.date
- Class com.opengamma.strata.basics.date.AdjustableDate extends Object implements Serializable
  
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  - Serialized Fields
    - adjustment
      
      BusinessDayAdjustment adjustment
      
      The business day adjustment that is to be applied to the unadjusted date.
      This is used to adjust the date if it is not a business day.
    - unadjusted
      
      LocalDate unadjusted
      
      The unadjusted date.
      This date may be a non-business day. The business day adjustment is used to ensure it is a valid business day.
- Class com.opengamma.strata.basics.date.AdjustableDates extends Object implements Serializable
  
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  - Serialized Fields
    - adjustment
      
      BusinessDayAdjustment adjustment
      
      The business day adjustment that is to be applied to the unadjusted dates.
      This is used to adjust each date if it is not a business day.
    - unadjusted
      
      ImmutableList<LocalDate> unadjusted
      
      The unadjusted dates, in order.
      These dates may be non-business days. The business day adjustment is used to ensure each date is a valid business day.
- Class com.opengamma.strata.basics.date.BusinessDayAdjustment extends Object implements Serializable
  
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  - Serialized Fields
    - calendar
      
      HolidayCalendarId calendar
      
      The calendar that defines holidays and business days.
      When the adjustment is made, this calendar is used to skip holidays.
    - convention
      
      BusinessDayConvention convention
      
      The convention used to the adjust the date if it does not fall on a business day.
      The convention determines whether to move forwards or backwards when it is a holiday.
- Class com.opengamma.strata.basics.date.DaysAdjustment extends Object implements Serializable
  
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  - Serialized Fields
    - adjustment
      
      BusinessDayAdjustment adjustment
      
      The business day adjustment that is performed to the result of the addition.
      This adjustment is applied to the result of the period addition calculation. If the addition is performed using business days then any adjustment here is expected to have a different holiday calendar to that used during addition.
      If no adjustment is required, use the 'None' business day adjustment.
      See the class-level documentation for more information.
    - calendar
      
      HolidayCalendarId calendar
      
      The holiday calendar that defines the meaning of a day when performing the addition.
      When the adjustment is performed, this calendar is used to determine which days are business days.
      If the holiday calendar is 'None' then addition uses simple date addition arithmetic without considering any days as holidays or weekends. If the holiday calendar is anything other than 'None' then addition uses that calendar, effectively repeatedly finding the next business day.
      See the class-level documentation for more information.
    - days
      
      int days
      
      The number of days to be added.
      When the adjustment is performed, this amount will be added to the input date using the calendar to determine the addition type.
- Class com.opengamma.strata.basics.date.HolidayCalendarId extends Object implements Serializable
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - name
      
      String name
      
      The identifier, expressed as a normalized unique name.
- Class com.opengamma.strata.basics.date.ImmutableHolidayCalendar extends Object implements Serializable
  
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  - Serialized Fields
    - id
      
      HolidayCalendarId id
      
      The identifier, such as 'GBLO'.
    - lookup
      
      int[] lookup
      
      The lookup table, where each item represents a month from January of startYear onwards. Bits 0 to 31 are used for each day-of-month, where 0 is a holiday and 1 is a business day. Trailing bits are set to 0 so they act as holidays, avoiding month length logic.
    - startYear
      
      int startYear
      
      The start year. Used as the base year for the lookup table.
    - weekends
      
      int weekends
      
      The set of weekend days.
      Each date that has a day-of-week matching one of these days is not a business day.
- Class com.opengamma.strata.basics.date.MarketTenor extends Object implements Serializable
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - code
      
      String code
      
      The code of the tenor.
    - spotLagIndicator
      
      int spotLagIndicator
      
      The spot lag or 0, 1 or MARKET_CONVENTION_LAG.
    - tenor
      
      Tenor tenor
      
      The tenor.
- Class com.opengamma.strata.basics.date.PeriodAdjustment extends Object implements Serializable
  
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  - Serialized Fields
    - additionConvention
      
      PeriodAdditionConvention additionConvention
      
      The addition convention to apply.
      When the adjustment is performed, this convention is used to refine the adjusted date. The most common convention is to move the end date to the last business day of the month if the start date is the last business day of the month.
    - adjustment
      
      BusinessDayAdjustment adjustment
      
      The business day adjustment that is performed to the result of the addition.
      This adjustment is applied to the result of the addition calculation.
      If no adjustment is required, use the 'None' business day adjustment.
    - period
      
      Period period
      
      The period to be added.
      When the adjustment is performed, this period will be added to the input date.
- Class com.opengamma.strata.basics.date.SequenceDate extends Object implements Serializable
  
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  - Serialized Fields
    - fullSequence
      
      boolean fullSequence
      
      Whether to use the full sequence (true) or base sequence (false).
      Many date sequences have two interlinked sequences. One is considered to be the base sequence, selected by setting this to false. The other is considered to be the full sequence, selected by setting this to true.
      For example, the "base sequence" of a future is often March, June, September and December. But additionally, the nearest two "serial" months are also listed. Together these make the "full sequence".
    - minimumPeriod
      
      Period minimumPeriod
      
      The minimum period before using the sequence number.
      This is added to the input date before starting to count the sequence.
    - sequenceNumber
      
      int sequenceNumber
      
      The 1-based sequence number.
      A value of 1 obtains the first date in the sequence.
    - yearMonth
      
      YearMonth yearMonth
      
      The base year-month.
      The start of this month is used instead of the input date when starting to count the sequence.
- Class com.opengamma.strata.basics.date.Tenor extends Object implements Serializable
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - name
      
      String name
      
      The name of the tenor.
    - period
      
      Period period
      
      The period of the tenor.
- Class com.opengamma.strata.basics.date.TenorAdjustment extends Object implements Serializable
  
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  - Serialized Fields
    - additionConvention
      
      PeriodAdditionConvention additionConvention
      
      The addition convention to apply.
      When the adjustment is performed, this convention is used to refine the adjusted date. The most common convention is to move the end date to the last business day of the month if the start date is the last business day of the month.
    - adjustment
      
      BusinessDayAdjustment adjustment
      
      The business day adjustment that is performed to the result of the addition.
      This adjustment is applied to the result of the addition calculation.
      If no adjustment is required, use the 'None' business day adjustment.
    - tenor
      
      Tenor tenor
      
      The tenor to be added.
      When the adjustment is performed, this tenor will be added to the input date.
Package com.opengamma.strata.basics.index
- Class com.opengamma.strata.basics.index.FxIndexObservation extends Object implements Serializable
  
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  - Serialized Fields
    - fixingDate
      
      LocalDate fixingDate
      
      The date of the index fixing.
      This is an adjusted date with any business day rule applied. Valid business days are defined by FxIndex.getFixingCalendar().
    - index
      
      FxIndex index
      
      The FX index.
      The rate will be queried from this index.
    - maturityDate
      
      LocalDate maturityDate
      
      The date of the transfer implied by the fixing date.
      This is an adjusted date with any business day rule applied. This must be equal to FxIndex.calculateMaturityFromFixing(LocalDate, ReferenceData).
- Class com.opengamma.strata.basics.index.IborIndexObservation extends Object implements Serializable
  
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  - Serialized Fields
    - effectiveDate
      
      LocalDate effectiveDate
      
      The effective date of the investment implied by the fixing date.
      This is an adjusted date with any business day rule applied. This must be equal to IborIndex.calculateEffectiveFromFixing(LocalDate, ReferenceData).
    - fixingDate
      
      LocalDate fixingDate
      
      The date of the index fixing.
      This is an adjusted date with any business day rule applied. Valid business days are defined by RateIndex.getFixingCalendar().
    - index
      
      IborIndex index
      
      The Ibor index.
      The rate to be paid is based on this index. It will be a well known market index such as 'GBP-LIBOR-3M'.
    - maturityDate
      
      LocalDate maturityDate
      
      The maturity date of the investment implied by the fixing date.
      This is an adjusted date with any business day rule applied. This must be equal to IborIndex.calculateMaturityFromEffective(LocalDate, ReferenceData).
    - yearFraction
      
      double yearFraction
      
      The year fraction of the investment implied by the fixing date.
      This is calculated using the day count of the index. It represents the fraction of the year between the effective date and the maturity date. Typically the value will be close to 1 for one year and close to 0.5 for six months.
- Class com.opengamma.strata.basics.index.ImmutableFloatingRateName extends Object implements Serializable
  
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  - Serialized Fields
    - externalName
      
      String externalName
      
      The external name, typically from FpML, such as 'GBP-LIBOR-BBA'.
    - fixingDateOffsetDays
      
      Integer fixingDateOffsetDays
      
      The fixing date offset, in days, optional. This is used when a floating rate name implies a non-standard fixing date offset. This is only used for Ibor Indices, and currently only for DKK CIBOR.
    - indexName
      
      String indexName
      
      The root of the name of the index, such as 'GBP-LIBOR', to which the tenor is appended. This name matches that used by IborIndex or OvernightIndex. Typically, multiple FloatingRateName names map to one Ibor or Overnight index.
    - type
      
      FloatingRateType type
      
      The type of the index.
- Class com.opengamma.strata.basics.index.ImmutableFxIndex extends Object implements Serializable
  
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  - Serialized Fields
    - currencyPair
      
      CurrencyPair currencyPair
      
      The currency pair.
      An index defines an FX rate in a single direction, such as from EUR to USD. This currency pair defines that direction.
      In most cases, the same index can be used to convert in both directions by taking the rate or the reciprocal as necessary.
    - fixingCalendar
      
      HolidayCalendarId fixingCalendar
      
      The calendar that determines which dates are fixing dates.
      The fixing date is when the rate is determined.
    - fixingDateOffset
      
      DaysAdjustment fixingDateOffset
      
      The adjustment applied to the maturity date to obtain the fixing date.
      The maturity date is the start date of the indexed deposit. In most cases, the fixing date is 2 days before the maturity date.
    - maturityDateOffset
      
      DaysAdjustment maturityDateOffset
      
      The adjustment applied to the fixing date to obtain the maturity date.
      The maturity date is the start date of the indexed deposit. In most cases, the maturity date is 2 days after the fixing date.
    - name
      
      String name
      
      The index name, such as 'EUR/GBP-ECB'.
- Class com.opengamma.strata.basics.index.ImmutableIborIndex extends Object implements Serializable
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - active
      
      boolean active
      
      Whether the index is active, defaulted to true.
      Over time some indices become inactive and are no longer produced. If this occurs, this flag will be set to false.
    - currency
      
      Currency currency
      
      The currency of the index.
    - dayCount
      
      DayCount dayCount
      
      The day count convention.
    - defaultFixedLegDayCount
      
      DayCount defaultFixedLegDayCount
      
      The default day count convention for the associated fixed leg.
      A rate index is often paid against a fixed leg, such as in a vanilla Swap. The day count convention of the fixed leg often differs from that of the index, and the default is value is available here.
    - effectiveDateOffset
      
      DaysAdjustment effectiveDateOffset
      
      The adjustment applied to the fixing date to obtain the effective date.
      The effective date is the start date of the indexed deposit. In most cases, the effective date is 0 or 2 days after the fixing date. This data structure allows the complex rules of some indices to be represented.
    - fixingCalendar
      
      HolidayCalendarId fixingCalendar
      
      The calendar that determines which dates are fixing dates.
      The fixing date is when the rate is determined.
    - fixingDateOffset
      
      DaysAdjustment fixingDateOffset
      
      The adjustment applied to the effective date to obtain the fixing date.
      The fixing date is the date on which the index is to be observed. In most cases, the fixing date is 0 or 2 days before the effective date. This data structure allows the complex rules of some indices to be represented.
    - fixingTime
      
      LocalTime fixingTime
      
      The fixing time.
      The rate is fixed at the fixing time of the fixing date.
    - fixingZone
      
      ZoneId fixingZone
      
      The fixing time-zone.
      The time-zone of the fixing time.
    - maturityDateOffset
      
      TenorAdjustment maturityDateOffset
      
      The adjustment applied to the effective date to obtain the maturity date.
      The maturity date is the end date of the indexed deposit and is relative to the effective date. This data structure allows the complex rules of some indices to be represented.
    - name
      
      String name
      
      The index name, such as 'GBP-LIBOR-3M'.
- Class com.opengamma.strata.basics.index.ImmutableOvernightIndex extends Object implements Serializable
  
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  - Serialized Fields
    - active
      
      boolean active
      
      Whether the index is active, defaulted to true.
      Over time some indices become inactive and are no longer produced. If this occurs, this flag will be set to false.
    - currency
      
      Currency currency
      
      The currency of the index.
    - dayCount
      
      DayCount dayCount
      
      The day count convention.
    - defaultFixedLegDayCount
      
      DayCount defaultFixedLegDayCount
      
      The default day count convention for the associated fixed leg.
      A rate index is often paid against a fixed leg, such as in a vanilla Swap. The day count convention of the fixed leg often differs from that of the index, and the default is value is available here.
    - effectiveDateOffset
      
      int effectiveDateOffset
      
      The number of days to add to the fixing date to obtain the effective date.
      In most cases, the settlement date and start of the implied deposit is on the fixing date. In a few cases, the settlement date is the following business day. This property is zero if settlement is on the fixing date, or one if it is the next day. Maturity is always one business day after the settlement date.
    - fixingCalendar
      
      HolidayCalendarId fixingCalendar
      
      The calendar that the index uses.
      All dates are calculated with reference to the same calendar.
    - name
      
      String name
      
      The index name, such as 'GBP-SONIA'.
    - publicationDateOffset
      
      int publicationDateOffset
      
      The number of days to add to the fixing date to obtain the publication date.
      In most cases, the fixing rate is available on the fixing date. In a few cases, publication of the fixing rate is delayed until the following business day. This property is zero if publication is on the fixing date, or one if it is the next day.
- Class com.opengamma.strata.basics.index.ImmutablePriceIndex extends Object implements Serializable
  
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  - Serialized Fields
    - active
      
      boolean active
      
      Whether the index is active, defaulted to true.
      Over time some indices become inactive and are no longer produced. If this occurs, this flag will be set to false.
    - currency
      
      Currency currency
      
      The currency of the index.
    - name
      
      String name
      
      The index name, such as 'GB-HICP'.
    - publicationFrequency
      
      Frequency publicationFrequency
      
      The publication frequency of the index. Most price indices are published monthly, but some are published quarterly.
    - region
      
      Country region
      
      The region of the index.
- Class com.opengamma.strata.basics.index.OvernightIndexObservation extends Object implements Serializable
  
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  - Serialized Fields
    - effectiveDate
      
      LocalDate effectiveDate
      
      The effective date of the investment implied by the fixing date.
      This is an adjusted date with any business day rule applied. This must be equal to OvernightIndex.calculateEffectiveFromFixing(LocalDate, ReferenceData).
    - fixingDate
      
      LocalDate fixingDate
      
      The date of the index fixing.
      This is an adjusted date with any business day rule applied. Valid business days are defined by RateIndex.getFixingCalendar().
    - index
      
      OvernightIndex index
      
      The Overnight index.
      The rate will be queried from this index.
    - maturityDate
      
      LocalDate maturityDate
      
      The maturity date of the investment implied by the fixing date.
      This is an adjusted date with any business day rule applied. This must be equal to OvernightIndex.calculateMaturityFromEffective(LocalDate, ReferenceData).
    - publicationDate
      
      LocalDate publicationDate
      
      The date that the rate implied by the fixing date is published.
      This is an adjusted date with any business day rule applied. This must be equal to OvernightIndex.calculatePublicationFromFixing(LocalDate, ReferenceData).
    - yearFraction
      
      double yearFraction
      
      The year fraction of the investment implied by the fixing date.
      This is calculated using the day count of the index. It represents the fraction of the year between the effective date and the maturity date. Typically the value will be close to 1 for one year and close to 0.5 for six months.
- Class com.opengamma.strata.basics.index.PriceIndexObservation extends Object implements Serializable
  
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  - Serialized Fields
    - fixingMonth
      
      YearMonth fixingMonth
      
      The fixing month.
      The index will be observed for this month.
    - index
      
      PriceIndex index
      
      The FX index.
      The rate will be queried from this index.
Package com.opengamma.strata.basics.location
- Class com.opengamma.strata.basics.location.Country extends Object implements Serializable
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
      
      Ensure singleton on deserialization.
  - Serialized Fields
    - code
      
      String code
      
      The country code.
Package com.opengamma.strata.basics.schedule
- Class com.opengamma.strata.basics.schedule.Frequency extends Object implements Serializable
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - name
      
      String name
      
      The name of the frequency.
    - period
      
      Period period
      
      The period of the frequency.
- Class com.opengamma.strata.basics.schedule.PeriodicSchedule extends Object implements Serializable
  
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  - Serialized Fields
    - businessDayAdjustment
      
      BusinessDayAdjustment businessDayAdjustment
      
      The business day adjustment to apply.
      Each date in the calculated schedule is determined without taking into account weekends and holidays. The adjustment specified here is used to convert those dates to valid business days.
      The start date and end date may have their own business day adjustment rules. If those are not present, then this adjustment is used instead.
    - endDate
      
      LocalDate endDate
      
      The end date, which is the end of the last schedule period.
      This is the end date of the schedule, it is unadjusted and as such might be a weekend or holiday. Any applicable business day adjustment will be applied when creating the schedule. This is also known as the unadjusted maturity date or unadjusted termination date. This date must be after the start date.
    - endDateBusinessDayAdjustment
      
      BusinessDayAdjustment endDateBusinessDayAdjustment
      
      The optional business day adjustment to apply to the end date.
      The end date property is an unadjusted date and as such might be a weekend or holiday. The adjustment specified here is used to convert the end date to a valid business day.
      If this property is not present, the standard businessDayAdjustment property is used instead.
    - firstRegularStartDate
      
      LocalDate firstRegularStartDate
      
      The optional start date of the first regular schedule period, which is the end date of the initial stub.
      This is used to identify the boundary date between the initial stub and the first regular schedule period.
      This is an unadjusted date, and as such it might not be a valid business day. This date must be on or after 'startDate' and on or before 'endDate'.
      During schedule generation, if this is present it will be used to determine the schedule. If not present, then the overall schedule start date will be used instead, resulting in no initial stub.
    - frequency
      
      Frequency frequency
      
      The regular periodic frequency to use.
      Most dates are calculated using a regular periodic frequency, such as every 3 months. The actual day-of-month or day-of-week is selected using the roll and stub conventions.
    - lastRegularEndDate
      
      LocalDate lastRegularEndDate
      
      The optional end date of the last regular schedule period, which is the start date of the final stub.
      This is used to identify the boundary date between the last regular schedule period and the final stub.
      This is an unadjusted date, and as such it might not be a valid business day. This date must be one or after 'startDate', on or after 'firstRegularStartDate' and on or before 'endDate'.
      During schedule generation, if this is present it will be used to determine the schedule. If not present, then the overall schedule end date will be used instead, resulting in no final stub.
    - overrideStartDate
      
      AdjustableDate overrideStartDate
      
      The optional start date of the first schedule period, overriding normal schedule generation.
      This property is rarely used, and is generally needed when accrual starts before the effective date. If specified, it overrides the start date of the first period once schedule generation has been completed. Note that all schedule generation rules apply to 'startDate', with this applied as a final step. This field primarily exists to support the FpML 'firstPeriodStartDate' concept.
      If a roll convention is explicitly specified and the regular start date does not match it, then the override will be used when generating regular periods.
      If set, it should be different to the start date, although this is not validated. Validation does check that it is on or before 'firstRegularStartDate' and 'lastRegularEndDate', and before 'endDate'.
      During schedule generation, if this is present it will be used to override the start date of the first generated schedule period. If not present, then the start of the first period will be the normal start date.
    - rollConvention
      
      RollConvention rollConvention
      
      The optional convention defining how to roll dates.
      The schedule periods are determined at the high level by repeatedly adding the frequency to the start date, or subtracting it from the end date. The roll convention provides the detailed rule to adjust the day-of-month or day-of-week.
      During schedule generation, if this is present it will be used to determine the schedule. If not present, then the roll convention will be implied.
    - startDate
      
      LocalDate startDate
      
      The start date, which is the start of the first schedule period.
      This is the start date of the schedule, it is unadjusted and as such might be a weekend or holiday. Any applicable business day adjustment will be applied when creating the schedule. This is also known as the unadjusted effective date.
      In most cases, the start date of a financial instrument is just after the trade date, such as two business days later. However, the start date of a schedule is permitted to be any date, which includes dates before or after the trade date.
    - startDateBusinessDayAdjustment
      
      BusinessDayAdjustment startDateBusinessDayAdjustment
      
      The optional business day adjustment to apply to the start date.
      The start date property is an unadjusted date and as such might be a weekend or holiday. The adjustment specified here is used to convert the start date to a valid business day.
      If this property is not present, the standard businessDayAdjustment property is used instead.
    - stubConvention
      
      StubConvention stubConvention
      
      The optional convention defining how to handle stubs.
      The stub convention is used during schedule construction to determine whether the irregular remaining period occurs at the start or end of the schedule. It also determines whether the irregular period is shorter or longer than the regular period. This property interacts with the "explicit dates" of PeriodicSchedule.getFirstRegularStartDate() and PeriodicSchedule.getLastRegularEndDate().
      The convention 'None' may be used to explicitly indicate there are no stubs. There must be no explicit dates. This will be validated during schedule construction.
      The convention 'Both' may be used to explicitly indicate there is both an initial and final stub. The stubs themselves must be specified using explicit dates. This will be validated during schedule construction.
      The conventions 'ShortInitial', 'LongInitial', 'SmartInitial', 'ShortFinal', 'LongFinal' and 'SmartFinal' are used to indicate the type of stub to be generated. The exact behavior varies depending on whether there are explicit dates or not:
      If explicit dates are specified, then the combination of stub convention an explicit date will be validated during schedule construction. For example, the combination of an explicit dated initial stub and a stub convention of 'ShortInitial', 'LongInitial' or 'SmartInitial' is valid, but other stub conventions, such as 'ShortFinal' or 'None' would be invalid.
      If explicit dates are not specified, then it is not required that a stub is generated. The convention determines whether to generate dates from the start date forward, or the end date backwards. Date generation may or may not result in a stub, but if it does then the stub will be of the correct type.
      When the stub convention is not present, the generation of stubs is based on the presence or absence of the explicit dates. When there are no explicit stubs and there is a roll convention that matches the start or end date, then the stub convention will be defaulted to 'SmartInitial' or 'SmartFinal'.
- Class com.opengamma.strata.basics.schedule.Schedule extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - frequency
      
      Frequency frequency
      
      The periodic frequency used when building the schedule.
      If the schedule was not built from a regular periodic frequency, then the frequency should be a suitable estimate.
    - periods
      
      ImmutableList<SchedulePeriod> periods
      
      The schedule periods.
      There will be at least one period. The periods are ordered from earliest to latest. It is intended that each period is adjacent to the next one, however each period is independent and non-adjacent periods are allowed.
    - rollConvention
      
      RollConvention rollConvention
      
      The roll convention used when building the schedule.
      If the schedule was not built from a regular periodic frequency, then the convention should be 'None'.
- Class com.opengamma.strata.basics.schedule.ScheduleException extends IllegalArgumentException implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - definition
      
      PeriodicSchedule definition
      
      The invalid schedule definition.
- Class com.opengamma.strata.basics.schedule.SchedulePeriod extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - endDate
      
      LocalDate endDate
      
      The end date of this period, used for financial calculations such as interest accrual.
      The last date in the schedule period, typically treated as exclusive. If the schedule adjusts for business days, then this is the adjusted date.
    - startDate
      
      LocalDate startDate
      
      The start date of this period, used for financial calculations such as interest accrual.
      The first date in the schedule period, typically treated as inclusive. If the schedule adjusts for business days, then this is the adjusted date.
    - unadjustedEndDate
      
      LocalDate unadjustedEndDate
      
      The unadjusted end date.
      The end date before any business day adjustment. If the schedule adjusts for business days, then this is typically the regular periodic date. If the schedule does not adjust for business days, then this is the same as the end date.
      When building, this will default to the end date if not specified.
    - unadjustedStartDate
      
      LocalDate unadjustedStartDate
      
      The unadjusted start date.
      The start date before any business day adjustment. If the schedule adjusts for business days, then this is typically the regular periodic date. If the schedule does not adjust for business days, then this is the same as the start date.
      When building, this will default to the start date if not specified.
Package com.opengamma.strata.basics.value
- Class com.opengamma.strata.basics.value.ValueAdjustment extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - modifyingValue
      
      double modifyingValue
      
      The value used to modify the base value. This value is given meaning by the associated type.
    - type
      
      ValueAdjustmentType type
      
      The type of adjustment to make.
- Class com.opengamma.strata.basics.value.ValueDerivatives extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - derivatives
      
      DoubleArray derivatives
      
      The derivatives of the variable with respect to some inputs.
    - value
      
      double value
      
      The value of the variable.
- Class com.opengamma.strata.basics.value.ValueSchedule extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - initialValue
      
      double initialValue
      
      The initial value.
      This is used for the lifetime of the trade unless specifically varied.
    - steps
      
      List<ValueStep> steps
      
      The steps defining the change in the value.
      Each step consists of a key locating the date of the change and the adjustment that occurs.
    - stepSequence
      
      ValueStepSequence stepSequence
      
      The sequence of steps changing the value.
      This allows a regular pattern of steps to be encoded. All step dates must be unique, thus the list of steps must not contain any date implied by this sequence.
- Class com.opengamma.strata.basics.value.ValueStep extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - date
      
      LocalDate date
      
      The date of the schedule period boundary at which the change occurs.
      This property is used to define the date that the step occurs in absolute terms. This must be one of the unadjusted dates in the schedule period schedule. This is an unadjusted date and calculation period business day adjustments will apply.
      For example, consider a 5 year swap from 2012-02-01 to 2017-02-01 with 6 month frequency. The date '2013-02-01' is an unadjusted schedule period boundary, and so may be specified here.
    - periodIndex
      
      Integer periodIndex
      
      The index of the schedule period boundary at which the change occurs.
      This property is used to define the date that the step occurs in relative terms. The date is identified by specifying the zero-based index of the schedule period boundary. The change will occur at the start of the specified period. Thus an index of zero is the start of the first period or initial stub. The index must be one or greater, as a change is not permitted at the start of the first period.
      For example, consider a 5 year swap from 2012-02-01 to 2017-02-01 with 6 month frequency. A zero-based index of '2' would refer to start of the 3rd period, which would be 2013-02-01.
    - value
      
      ValueAdjustment value
      
      The value representing the change that occurs.
      The adjustment can be an absolute value, or various kinds of relative values.
- Class com.opengamma.strata.basics.value.ValueStepSequence extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - adjustment
      
      ValueAdjustment adjustment
      
      The adjustment representing the change that occurs at each step.
      The adjustment type must not be 'Replace'.
    - firstStepDate
      
      LocalDate firstStepDate
      
      The first date in the sequence.
      This sequence will change the value on this date, but not before. This must be one of the unadjusted dates in the schedule period schedule.
      For example, consider a 5 year swap from 2012-02-01 to 2017-02-01 with 6 month frequency. The date '2013-02-01' is an unadjusted schedule period boundary, and so may be specified here.
    - frequency
      
      Frequency frequency
      
      The frequency of the sequence.
      This sequence will change the value on each date between the start and end defined by this frequency. The frequency is interpreted relative to the frequency of a Schedule. It must be equal or greater than the related schedule.
    - lastStepDate
      
      LocalDate lastStepDate
      
      The last date in the sequence.
      This sequence will change the value on this date, but not after. This must be one of the unadjusted dates in the schedule period schedule.
      For example, consider a 5 year swap from 2012-02-01 to 2017-02-01 with 6 month frequency. The date '2015-02-01' is an unadjusted schedule period boundary, and so may be specified here.
Package com.opengamma.strata.calc
- Class com.opengamma.strata.calc.ColumnName extends TypedString<ColumnName> implements Serializable
  
  serialVersionUID:
  
  1L
- Class com.opengamma.strata.calc.ImmutableMeasure extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - currencyConvertible
      
      boolean currencyConvertible
      
      Flag indicating whether measure values should be automatically converted to the reporting currency.
    - name
      
      String name
      
      The measure name.
      Measure names must only contains the characters A-Z, a-z, 0-9 and -.
- Class com.opengamma.strata.calc.ReportingCurrency extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - currency
      
      Currency currency
      
      The reporting currency.
      This property will be set only if the type is 'Specific'.
    - type
      
      ReportingCurrencyType type
      
      The type of reporting currency.
Package com.opengamma.strata.calc.marketdata
- Class com.opengamma.strata.calc.marketdata.MarketDataConfig extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - configs
      
      ImmutableMap<Class<?>,com.opengamma.strata.calc.marketdata.SingleTypeMarketDataConfig> configs
      
      The configuration objects, keyed by their type and name.
    - defaultConfigs
      
      ImmutableMap<Class<?>,Object> defaultConfigs
      
      The configuration objects where there is only one instance per type.
Package com.opengamma.strata.calc.runner
- Class com.opengamma.strata.calc.runner.CalculationParameters extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - aliases
      
      ImmutableMap<Class<? extends CalculationParameter>,Class<? extends CalculationParameter>> aliases
      
      The aliases.
    - parameters
      
      ImmutableMap<Class<? extends CalculationParameter>,CalculationParameter> parameters
      
      The parameters, keyed by query type.
- Class com.opengamma.strata.calc.runner.CalculationParametersId extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - name
      
      String name
      
      The name of the parameters.
- Class com.opengamma.strata.calc.runner.CalculationResult extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - columnIndex
      
      int columnIndex
      
      The column index of the value in the results grid.
    - result
      
      Result<?> result
      
      The result of the calculation.
      The result may be a single value or a multi-scenario value. A multi-scenario value will implement ScenarioArray unless it has been aggregated.
      If the calculation did not complete successfully, a failure result will be returned explaining the problem. Callers must check whether the result is a success or failure before examining the result value.
    - rowIndex
      
      int rowIndex
      
      The row index of the value in the results grid.
- Class com.opengamma.strata.calc.runner.CalculationResults extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - cells
      
      ImmutableList<CalculationResult> cells
      
      The calculated cells. Each entry contains a calculation result for a single cell.
    - target
      
      CalculationTarget target
      
      The target of the calculation, often a trade.
Package com.opengamma.strata.collect
- Class com.opengamma.strata.collect.Decimal extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - scale
      
      int scale
      
      The scale.
    - unscaled
      
      long unscaled
      
      The unscaled value.
- Class com.opengamma.strata.collect.FixedScaleDecimal extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - decimal
      
      Decimal decimal
      
      The unscaled value.
    - fixedScale
      
      int fixedScale
      
      The fixed scale.
- Class com.opengamma.strata.collect.TypedString extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - name
      
      String name
      
      The name.
- Class com.opengamma.strata.collect.UncheckedReflectiveOperationException extends RuntimeException implements Serializable
  
  serialVersionUID:
  
  1L
Package com.opengamma.strata.collect.array
- Class com.opengamma.strata.collect.array.DoubleArray extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - array
      
      double[] array
      
      The underlying array of doubles.
- Class com.opengamma.strata.collect.array.DoubleMatrix extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - array
      
      double[][] array
      
      The underlying array of doubles.
- Class com.opengamma.strata.collect.array.IntArray extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - array
      
      int[] array
      
      The underlying array of ints.
- Class com.opengamma.strata.collect.array.LongArray extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - array
      
      long[] array
      
      The underlying array of longs.
Package com.opengamma.strata.collect.io
- Class com.opengamma.strata.collect.io.ArrayByteSource extends BeanByteSource implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - array
      
      byte[] array
      
      The byte array.
    - fileName
      
      String fileName
      
      The file name, null if not known.
- Class com.opengamma.strata.collect.io.FileByteSource extends BeanByteSource implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - file
      
      File file
      
      The underlying file.
- Class com.opengamma.strata.collect.io.StringCharSource extends BeanCharSource implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - fileName
      
      String fileName
      
      The file name, null if not known.
    - value
      
      String value
      
      The string.
- Class com.opengamma.strata.collect.io.UriByteSource extends BeanByteSource implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - uri
      
      URI uri
      
      The underlying URI.
Package com.opengamma.strata.collect.result
- Class com.opengamma.strata.collect.result.Failure extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - items
      
      ImmutableSet<FailureItem> items
      
      The set of failure items. There will be at least one failure item.
    - message
      
      String message
      
      The error message associated with the failure.
    - reason
      
      FailureReason reason
      
      The reason associated with the failure.
- Class com.opengamma.strata.collect.result.FailureException extends RuntimeException implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - failure
      
      Failure failure
      
      The details of the failure.
- Class com.opengamma.strata.collect.result.FailureItem extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - attributes
      
      ImmutableMap<String,String> attributes
      
      The attributes associated with this failure. Attributes can contain additional information about the failure. For example, a line number in a file or the ID of a trade.
    - causeType
      
      Class<? extends Throwable> causeType
      
      The type of the throwable that caused the failure, not present if it wasn't caused by a throwable.
    - message
      
      String message
      
      The error message associated with the failure.
    - reason
      
      FailureReason reason
      
      The reason associated with the failure.
    - stackTrace
      
      String stackTrace
      
      Stack trace where the failure occurred. If the failure was caused by an Exception its stack trace is used, otherwise it's the location where the failure was created.
- Class com.opengamma.strata.collect.result.FailureItemException extends RuntimeException implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - item
      
      FailureItem item
      
      The failure item.
- Class com.opengamma.strata.collect.result.FailureItems extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - failures
      
      ImmutableList<FailureItem> failures
      
      The failures.
- Class com.opengamma.strata.collect.result.IllegalArgFailureException extends IllegalArgumentException implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - item
      
      FailureItem item
      
      The failure item.
- Class com.opengamma.strata.collect.result.ParseFailureException extends IllegalArgumentException implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - item
      
      FailureItem item
      
      The failure item.
- Class com.opengamma.strata.collect.result.Result extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - failure
      
      Failure failure
      
      The failure. This is only present if the result is a failure.
    - value
      
      T value
      
      The value. This is only present if the result is a success.
- Class com.opengamma.strata.collect.result.ValueWithFailures extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - failures
      
      ImmutableList<FailureItem> failures
      
      The failure items.
    - value
      
      T value
      
      The success value.
Package com.opengamma.strata.collect.tuple
- Class com.opengamma.strata.collect.tuple.DoublesPair extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - first
      
      double first
      
      The first element in this pair.
    - second
      
      double second
      
      The second element in this pair.
- Class com.opengamma.strata.collect.tuple.IntDoublePair extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - first
      
      int first
      
      The first element in this pair.
    - second
      
      double second
      
      The second element in this pair.
- Class com.opengamma.strata.collect.tuple.LongDoublePair extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - first
      
      long first
      
      The first element in this pair.
    - second
      
      double second
      
      The second element in this pair.
- Class com.opengamma.strata.collect.tuple.ObjDoublePair extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - first
      
      A first
      
      The first element in this pair.
    - second
      
      double second
      
      The second element in this pair.
- Class com.opengamma.strata.collect.tuple.ObjIntPair extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - first
      
      A first
      
      The first element in this pair.
    - second
      
      int second
      
      The second element in this pair.
- Class com.opengamma.strata.collect.tuple.Pair extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - first
      
      A first
      
      The first element in this pair.
    - second
      
      B second
      
      The second element in this pair.
- Class com.opengamma.strata.collect.tuple.Triple extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - first
      
      A first
      
      The first element in this triple.
    - second
      
      B second
      
      The second element in this triple.
    - third
      
      C third
      
      The third element in this triple.
Package com.opengamma.strata.data
- Class com.opengamma.strata.data.FieldName extends TypedString<FieldName> implements Serializable
  
  serialVersionUID:
  
  1L
- Class com.opengamma.strata.data.FxMatrixId extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - observableSource
      
      ObservableSource observableSource
      
      The source of observable market data. This is used when looking up the underlying market quotes for the rate.
- Class com.opengamma.strata.data.FxRateId extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - observableSource
      
      ObservableSource observableSource
      
      The source of observable market data. This is used when looking up the underlying market quotes for the rate.
    - pair
      
      CurrencyPair pair
      
      The currency pair that is required. For example, 'GBP/USD'.
- Class com.opengamma.strata.data.ImmutableMarketData extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - timeSeries
      
      ImmutableMap<ObservableId,LocalDateDoubleTimeSeries> timeSeries
      
      The time-series.
      If a request is made for a time-series that is not in the map, an empty series will be returned.
    - valuationDate
      
      LocalDate valuationDate
      
      The valuation date associated with the market data.
    - values
      
      ImmutableMap<MarketDataId<?>,Object> values
      
      The market data values.
- Class com.opengamma.strata.data.MarketDataFxRateProvider extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - fxRatesSource
      
      ObservableSource fxRatesSource
      
      The source of market data for FX rates.
    - marketData
      
      MarketData marketData
      
      The market data that provides the FX rates.
    - triangulationCurrency
      
      Currency triangulationCurrency
      
      The triangulation currency to use.
      If specified, this currency is used to triangulate FX rates in preference to the standard approach. This would be useful if all FX rates are supplied relative to a currency other than USD.
- Class com.opengamma.strata.data.MarketDataNotFoundException extends IllegalArgumentException implements Serializable
  
  serialVersionUID:
  
  1L
- Class com.opengamma.strata.data.ObservableSource extends TypedString<ObservableSource> implements Serializable
  
  serialVersionUID:
  
  1L
Package com.opengamma.strata.data.scenario
- Class com.opengamma.strata.data.scenario.CurrencyScenarioArray extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - amounts
      
      CurrencyAmountArray amounts
      
      The currency amounts, one per scenario.
- Class com.opengamma.strata.data.scenario.DoubleScenarioArray extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - values
      
      DoubleArray values
      
      The calculated values, one per scenario.
- Class com.opengamma.strata.data.scenario.FxRateScenarioArray extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - pair
      
      CurrencyPair pair
      
      The currency pair. The pair is formed of two parts, the base and the counter. In the pair 'AAA/BBB' the base is 'AAA' and the counter is 'BBB'.
    - rates
      
      DoubleArray rates
      
      The rates applicable to the currency pair. One unit of the base currency is exchanged for this amount of the counter currency.
- Class com.opengamma.strata.data.scenario.ImmutableScenarioMarketData extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - scenarioCount
      
      int scenarioCount
      
      The number of scenarios.
    - timeSeries
      
      ImmutableMap<ObservableId,LocalDateDoubleTimeSeries> timeSeries
      
      The time-series of market data values.
      If a request is made for a time-series that is not in the map, an empty series will be returned.
    - valuationDate
      
      MarketDataBox<LocalDate> valuationDate
      
      The valuation date associated with each scenario.
    - values
      
      ImmutableMap<MarketDataId<?>,MarketDataBox<?>> values
      
      The individual items of market data.
- Class com.opengamma.strata.data.scenario.MultiCurrencyScenarioArray extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - amounts
      
      MultiCurrencyAmountArray amounts
      
      The multi-currency amounts, one per scenario.
Package com.opengamma.strata.loader.fpml
- Class com.opengamma.strata.loader.fpml.FpmlParseException extends ParseFailureException implements Serializable
  
  serialVersionUID:
  
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Package com.opengamma.strata.market
- Class com.opengamma.strata.market.FxRateShifts extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - currencyPair
      
      CurrencyPair currencyPair
      
      The currency pair for which the shifts are applied.
      This also defines the direction of the FX rate to be shifted.
    - shiftAmount
      
      DoubleArray shiftAmount
      
      The shifts to apply to FxRate.
      Each element in the array corresponds to each scenario.
    - shiftType
      
      ShiftType shiftType
      
      The type of shift applied to the FX rate.
- Class com.opengamma.strata.market.GenericDoubleShifts extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - shiftAmount
      
      DoubleArray shiftAmount
      
      The shifts to apply to a Double value.
      Each element in the array corresponds to each scenario.
    - shiftType
      
      ShiftType shiftType
      
      The type of shift applied to a Double value.
    - spread
      
      double spread
      
      The constant spread.
- Class com.opengamma.strata.market.ValueType extends TypedString<ValueType> implements Serializable
  
  serialVersionUID:
  
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Package com.opengamma.strata.market.amount
- Class com.opengamma.strata.market.amount.CashFlow extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - discountFactor
      
      double discountFactor
      
      The discount factor.
      This is the discount factor between valuation date and the payment date. Thus present value is the forecast value multiplied by the discount factor.
    - forecastValue
      
      CurrencyAmount forecastValue
      
      The forecast value of the cash flow.
      The forecast value is signed. A negative value indicates a payment while a positive value indicates receipt.
    - paymentDate
      
      LocalDate paymentDate
      
      The payment date.
      This is the date on which the cash flow occurs.
    - presentValue
      
      CurrencyAmount presentValue
      
      The present value of the cash flow.
      The present value is signed. A negative value indicates a payment while a positive value indicates receipt.
- Class com.opengamma.strata.market.amount.CashFlows extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - cashFlows
      
      ImmutableList<CashFlow> cashFlows
      
      The cash flows.
      Each entry includes details of a single cash flow.
- Class com.opengamma.strata.market.amount.LegAmounts extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - amounts
      
      ImmutableList<LegAmount> amounts
      
      The leg amounts.
- Class com.opengamma.strata.market.amount.SwapLegAmount extends Object implements Serializable
  
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  - Serialized Fields
    - amount
      
      CurrencyAmount amount
      
      The amount associated with the leg. The meaning associated with this amount is implied by the context. This amount may have been currency converted.
    - currency
      
      Currency currency
      
      The currency of the leg. This is not be affected by any currency conversion applied to the amount.
    - payReceive
      
      PayReceive payReceive
      
      Whether the leg is pay or receive.
    - type
      
      SwapLegType type
      
      The type of the leg, such as Fixed or Ibor.
Package com.opengamma.strata.market.curve
- Class com.opengamma.strata.market.curve.AddFixedCurve extends Object implements Serializable
  
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  - Serialized Fields
    - fixedCurve
      
      Curve fixedCurve
      
      The fixed curve. Also called base or shape curve.
    - spreadCurve
      
      Curve spreadCurve
      
      The spread curve. Also called the variable curve.
- Class com.opengamma.strata.market.curve.CombinedCurve extends Object implements Serializable
  
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  - Serialized Fields
    - baseCurve
      
      Curve baseCurve
      
      The base curve.
    - metadata
      
      CurveMetadata metadata
      
      The curve metadata.
    - spreadCurve
      
      Curve spreadCurve
      
      The spread curve.
- Class com.opengamma.strata.market.curve.ConstantCurve extends Object implements Serializable
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - metadata
      
      CurveMetadata metadata
      
      The curve metadata.
      The metadata will not normally have parameter metadata.
    - yValue
      
      double yValue
      
      The single y-value.
- Class com.opengamma.strata.market.curve.ConstantNodalCurve extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - metadata
      
      CurveMetadata metadata
      
      The curve metadata.
      The metadata will have a single parameter metadata.
    - xValue
      
      double xValue
      
      The single x-value.
    - yValue
      
      double yValue
      
      The single y-value.
- Class com.opengamma.strata.market.curve.CurveGroupName extends TypedString<CurveGroupName> implements Serializable
  
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- Class com.opengamma.strata.market.curve.CurveId extends Object implements Serializable
  
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  - Serialized Fields
    - curveGroupName
      
      CurveGroupName curveGroupName
      
      The curve group name.
    - curveName
      
      CurveName curveName
      
      The curve name.
    - observableSource
      
      ObservableSource observableSource
      
      The source of observable market data.
- Class com.opengamma.strata.market.curve.CurveInfoType extends TypedString<CurveInfoType<T>> implements Serializable
  
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- Class com.opengamma.strata.market.curve.CurveName extends MarketDataName<Curve> implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - name
      
      String name
      
      The name.
- Class com.opengamma.strata.market.curve.CurveNodeDate extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - date
      
      LocalDate date
      
      The fixed date to be used on the node, only used when the type is 'Fixed'.
    - type
      
      CurveNodeDateType type
      
      The method by which the date of the node is calculated, defaulted to 'End'.
- Class com.opengamma.strata.market.curve.CurveNodeDateOrder extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - action
      
      CurveNodeClashAction action
      
      The action to perform if a clash occurs.
    - minGapInDays
      
      int minGapInDays
      
      The minimum gap between two curve nodes, measured in calendar days. A gap of one day is the smallest allowed. A clash occurs if the period between the two nodes is less than the minimum. The gap applies to the node before this one and the node after this one.
- Class com.opengamma.strata.market.curve.CurveParallelShifts extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - shiftAmounts
      
      DoubleArray shiftAmounts
      
      The amount by which the y-values are shifted.
    - shiftType
      
      ShiftType shiftType
      
      The type of shift to apply to the y-values of the curve.
- Class com.opengamma.strata.market.curve.CurveParameterSize extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - name
      
      CurveName name
      
      The curve name.
    - parameterCount
      
      int parameterCount
      
      The number of parameters.
- Class com.opengamma.strata.market.curve.DefaultCurveMetadata extends Object implements Serializable
  
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  - Serialized Fields
    - curveName
      
      CurveName curveName
      
      The curve name.
    - info
      
      ImmutableMap<CurveInfoType<?>,Object> info
      
      The additional curve information.
      This stores additional information for the curve.
      The most common information is the day count and curve calibration Jacobian.
    - parameterMetadata
      
      ImmutableList<ParameterMetadata> parameterMetadata
      
      The metadata about the parameters.
      If present, the parameter metadata will match the number of parameters on the curve.
    - xValueType
      
      ValueType xValueType
      
      The x-value type, providing meaning to the x-values of the curve.
      This type provides meaning to the x-values. For example, the x-value might represent a year fraction, as represented using ValueType.YEAR_FRACTION.
      If using the builder, this defaults to ValueType.UNKNOWN.
    - yValueType
      
      ValueType yValueType
      
      The y-value type, providing meaning to the y-values of the curve.
      This type provides meaning to the y-values. For example, the y-value might represent a zero rate, as represented using ValueType.ZERO_RATE.
      If using the builder, this defaults to ValueType.UNKNOWN.
- Class com.opengamma.strata.market.curve.DepositIsdaCreditCurveNode extends Object implements Serializable
  
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  - Serialized Fields
    - businessDayAdjustment
      
      BusinessDayAdjustment businessDayAdjustment
      
      The business day adjustment to apply to the start and end date.
      The start and end date will be adjusted as defined here.
    - dayCount
      
      DayCount dayCount
      
      The day count convention.
      This defines the term year fraction.
    - label
      
      String label
      
      The label to use for the node, defaulted.
      When building, this will default based on the tenor if not specified.
    - observableId
      
      ObservableId observableId
      
      The identifier of the market data value that provides the rate.
    - spotDateOffset
      
      DaysAdjustment spotDateOffset
      
      The offset of the start date from the trade date.
      The offset is applied to the trade date and is typically plus 2 business days.
    - tenor
      
      Tenor tenor
      
      The period between the start date and the end date.
- Class com.opengamma.strata.market.curve.HybridNodalCurve extends Object implements Serializable
  
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  - Serialized Fields
    - leftCurve
      
      NodalCurve leftCurve
      
      The left nodal curve.
    - rightCurve
      
      NodalCurve rightCurve
      
      The right nodal curve.
- Class com.opengamma.strata.market.curve.InflationNodalCurve extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - adjustmentType
      
      ShiftType adjustmentType
      
      The shift type applied to the unadjusted value and the adjustment. (value, seasonality) -> adjustmentType.applyShift(value, seasonality).
    - seasonality
      
      DoubleArray seasonality
      
      Describes the monthly seasonal adjustments. The array has a dimension of 12, one element for each month. The adjustments are described as a perturbation to the existing values. No adjustment to the fixing value.
    - underlying
      
      NodalCurve underlying
      
      The underlying curve, before the seasonality adjustment. This includes the fixed initial value, which is not treated as a parameter.
- Class com.opengamma.strata.market.curve.InterpolatedNodalCurve extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - extrapolatorLeft
      
      CurveExtrapolator extrapolatorLeft
      
      The extrapolator for x-values on the left, defaulted to 'Flat". This is used for x-values smaller than the smallest known x-value.
    - extrapolatorRight
      
      CurveExtrapolator extrapolatorRight
      
      The extrapolator for x-values on the right, defaulted to 'Flat". This is used for x-values larger than the largest known x-value.
    - interpolator
      
      CurveInterpolator interpolator
      
      The interpolator. This is used for x-values between the smallest and largest known x-value.
    - metadata
      
      CurveMetadata metadata
      
      The curve metadata.
      The metadata includes an optional list of parameter metadata. If present, the size of the parameter metadata list will match the number of parameters of this curve.
    - xValues
      
      DoubleArray xValues
      
      The array of x-values, one for each point.
      This array will contains at least two elements and be of the same length as y-values.
    - yValues
      
      DoubleArray yValues
      
      The array of y-values, one for each point.
      This array will contains at least two elements and be of the same length as x-values.
- Class com.opengamma.strata.market.curve.InterpolatedNodalCurveDefinition extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - dayCount
      
      DayCount dayCount
      
      The day count, optional.
      If the x-value of the curve represents time as a year fraction, the day count can be specified to define how the year fraction is calculated.
    - extrapolatorLeft
      
      CurveExtrapolator extrapolatorLeft
      
      The extrapolator used to find points to the left of the leftmost point on the curve.
    - extrapolatorRight
      
      CurveExtrapolator extrapolatorRight
      
      The extrapolator used to find points to the right of the rightmost point on the curve.
    - interpolator
      
      CurveInterpolator interpolator
      
      The interpolator used to find points on the curve.
    - name
      
      CurveName name
      
      The curve name.
    - nodes
      
      ImmutableList<CurveNode> nodes
      
      The nodes in the curve.
      The nodes are used to find the par rates and calibrate the curve. There must be at least two nodes in the curve.
    - xValueType
      
      ValueType xValueType
      
      The x-value type, providing meaning to the x-values of the curve.
      This type provides meaning to the x-values. For example, the x-value might represent a year fraction, as represented using ValueType.YEAR_FRACTION.
      If using the builder, this defaults to ValueType.UNKNOWN.
    - yValueType
      
      ValueType yValueType
      
      The y-value type, providing meaning to the y-values of the curve.
      This type provides meaning to the y-values. For example, the y-value might represent a zero rate, as represented using ValueType.ZERO_RATE.
      If using the builder, this defaults to ValueType.UNKNOWN.
- Class com.opengamma.strata.market.curve.IsdaCreditCurveDefinition extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - computeJacobian
      
      boolean computeJacobian
      
      The flag indicating if the Jacobian matrices should be computed and stored in metadata or not.
    - currency
      
      Currency currency
      
      The curve currency.
      The resultant curve will be used for discounting based on this currency. This is typically the same as the currency of the curve node instruments in curveNodes.
    - curveNodes
      
      ImmutableList<IsdaCreditCurveNode> curveNodes
      
      The curve nodes.
      The nodes are used to find the par rates and calibrate the curve.
    - curveValuationDate
      
      LocalDate curveValuationDate
      
      The curve valuation date.
      The date on which the resultant curve is used for pricing. This date is not necessarily the same as the valuationDate of MarketData on which the market data was snapped.
    - dayCount
      
      DayCount dayCount
      
      The day count.
      If the x-value of the curve represents time as a year fraction, the day count can be specified to define how the year fraction is calculated.
    - name
      
      CurveName name
      
      The curve name.
    - storeNodeTrade
      
      boolean storeNodeTrade
      
      The flag indicating if the node trade should be stored or not.
      This property is used only for credit curve calibration.
- Class com.opengamma.strata.market.curve.IssuerCurveInputsId extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - curveGroupName
      
      CurveGroupName curveGroupName
      
      The curve group name.
    - curveName
      
      CurveName curveName
      
      The curve name.
    - observableSource
      
      ObservableSource observableSource
      
      The source of observable market data.
- Class com.opengamma.strata.market.curve.JacobianCalibrationMatrix extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - jacobianMatrix
      
      DoubleMatrix jacobianMatrix
      
      The inverse Jacobian matrix produced during curve calibration. This is the derivative of the curve parameters with respect to the market quotes.
    - order
      
      ImmutableList<CurveParameterSize> order
      
      The curve order. This defines the order of the curves during calibration, which can be used as a key to interpret the Jacobian matrix.
- Class com.opengamma.strata.market.curve.LegalEntityCurveGroup extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - issuerCurves
      
      ImmutableMap<Pair<LegalEntityGroup,Currency>,Curve> issuerCurves
      
      The issuer curves in the curve group, keyed by legal entity group and currency.
    - name
      
      CurveGroupName name
      
      The name of the curve group.
    - repoCurves
      
      ImmutableMap<Pair<RepoGroup,Currency>,Curve> repoCurves
      
      The repo curves in the curve group, keyed by repo group and currency.
- Class com.opengamma.strata.market.curve.LegalEntityCurveGroupId extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - curveGroupName
      
      CurveGroupName curveGroupName
      
      The curve group name.
    - observableSource
      
      ObservableSource observableSource
      
      The source of observable market data.
- Class com.opengamma.strata.market.curve.LegalEntityGroup extends TypedString<LegalEntityGroup> implements Serializable
  
  serialVersionUID:
  
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- Class com.opengamma.strata.market.curve.ParallelShiftedCurve extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - shiftAmount
      
      double shiftAmount
      
      The amount by which y-values are shifted. The meaning of this amount is determined by #getShiftType().
    - shiftType
      
      ShiftType shiftType
      
      The type of shift to apply to the y-values of the curve. The amount of the shift is determined by #getShiftAmount().
    - underlyingCurve
      
      Curve underlyingCurve
      
      The underlying curve.
- Class com.opengamma.strata.market.curve.RatesCurveGroup extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - discountCurves
      
      ImmutableMap<Currency,Curve> discountCurves
      
      The discount curves in the group, keyed by currency.
    - forwardCurves
      
      ImmutableMap<Index,Curve> forwardCurves
      
      The forward curves in the group, keyed by index.
    - name
      
      CurveGroupName name
      
      The name of the curve group.
- Class com.opengamma.strata.market.curve.RatesCurveGroupDefinition extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - computeJacobian
      
      boolean computeJacobian
      
      The flag indicating if the Jacobian matrices should be computed and stored in metadata or not.
    - computePvSensitivityToMarketQuote
      
      boolean computePvSensitivityToMarketQuote
      
      The flag indicating if present value sensitivity to market quotes should be computed and stored in metadata or not.
    - curveDefinitions
      
      ImmutableList<CurveDefinition> curveDefinitions
      
      Definitions which specify how the curves are calibrated.
      Curve definitions are required for curves that need to be calibrated. A definition is not necessary if the curve is not built by the Strata curve calibrator.
    - entries
      
      ImmutableList<RatesCurveGroupEntry> entries
      
      The configuration for building the curves in the group.
    - name
      
      CurveGroupName name
      
      The name of the curve group.
    - seasonalityDefinitions
      
      ImmutableMap<CurveName,SeasonalityDefinition> seasonalityDefinitions
      
      Definitions which specify which seasonality should be used for some price index curves.
      If a curve linked to a price index does not have an entry in the map, no seasonality is used for that curve.
- Class com.opengamma.strata.market.curve.RatesCurveGroupEntry extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - curveName
      
      CurveName curveName
      
      The curve name.
    - discountCurrencies
      
      ImmutableSet<Currency> discountCurrencies
      
      The currencies for which the curve provides discount rates. This is empty if the curve is not used for Ibor rates.
    - indices
      
      ImmutableSet<Index> indices
      
      The indices for which the curve provides forward rates. This is empty if the curve is not used for forward rates.
- Class com.opengamma.strata.market.curve.RatesCurveGroupId extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - curveGroupName
      
      CurveGroupName curveGroupName
      
      The curve group name.
    - observableSource
      
      ObservableSource observableSource
      
      The source of observable market data.
- Class com.opengamma.strata.market.curve.RatesCurveInputs extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - curveMetadata
      
      CurveMetadata curveMetadata
      
      The metadata for the curve.
      This is used to identify the curve and the necessary pieces of market data.
    - marketData
      
      ImmutableMap<? extends MarketDataId<?>,?> marketData
      
      The market data.
      There will typically be at least one entry for each node on the curve.
- Class com.opengamma.strata.market.curve.RatesCurveInputsId extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - curveGroupName
      
      CurveGroupName curveGroupName
      
      The curve group name.
    - curveName
      
      CurveName curveName
      
      The curve name.
    - observableSource
      
      ObservableSource observableSource
      
      The source of observable market data.
- Class com.opengamma.strata.market.curve.RepoCurveInputsId extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - curveGroupName
      
      CurveGroupName curveGroupName
      
      The curve group name.
    - curveName
      
      CurveName curveName
      
      The curve name.
    - observableSource
      
      ObservableSource observableSource
      
      The source of observable market data.
- Class com.opengamma.strata.market.curve.RepoGroup extends TypedString<RepoGroup> implements Serializable
  
  serialVersionUID:
  
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- Class com.opengamma.strata.market.curve.SeasonalityDefinition extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - adjustmentType
      
      ShiftType adjustmentType
      
      The shift type applied to the unadjusted value and the adjustment. (value, seasonality) -> adjustmentType.applyShift(value, seasonality).
    - seasonalityMonthOnMonth
      
      DoubleArray seasonalityMonthOnMonth
      
      The month on month adjustment.
      This is an array of length 12, with the first element being the adjustment from January to February, the second element being the adjustment from February to March, and so on to the 12th element being the adjustment from December to January.
- Class com.opengamma.strata.market.curve.SimpleCurveParameterMetadata extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - xValue
      
      double xValue
      
      The x-value.
    - xValueType
      
      ValueType xValueType
      
      The type of the x-value.
- Class com.opengamma.strata.market.curve.SwapIsdaCreditCurveNode extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - businessDayAdjustment
      
      BusinessDayAdjustment businessDayAdjustment
      
      The business day adjustment to apply to the start date, end date and accrual schedule.
      The date property is an unadjusted date and as such might be a weekend or holiday. The adjustment specified here is used to convert a relevant date to a valid business day.
    - dayCount
      
      DayCount dayCount
      
      The day count convention applicable.
      This is used to convert schedule period dates to a numerical value.
    - label
      
      String label
      
      The label to use for the node, defaulted.
      When building, this will default based on the tenor if not specified.
    - observableId
      
      ObservableId observableId
      
      The identifier of the market data value that provides the rate.
    - paymentFrequency
      
      Frequency paymentFrequency
      
      The periodic frequency of payments, optional with defaulting getter.
      Regular payments will be made at the specified periodic frequency. The compounding is not allowed in this node. Thus the frequency is the same as the accrual periodic frequency.
    - spotDateOffset
      
      DaysAdjustment spotDateOffset
      
      The offset of the start date from the trade date.
      The offset is applied to the trade date and is typically plus 2 business days.
    - tenor
      
      Tenor tenor
      
      The tenor of the swap.
      This is the period from the first accrual date to the last accrual date.
Package com.opengamma.strata.market.curve.node
- Class com.opengamma.strata.market.curve.node.CdsIndexIsdaCreditCurveNode extends Object implements Serializable
  
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  - Serialized Fields
    - cdsIndexId
      
      StandardId cdsIndexId
      
      The CDS index identifier.
      This identifier is used to refer this CDS index product.
    - fixedRate
      
      Double fixedRate
      
      The fixed coupon rate.
      This must be represented in decimal form.
    - label
      
      String label
      
      The label to use for the node.
      When building, this will default based on template if not specified.
    - legalEntityIds
      
      ImmutableList<StandardId> legalEntityIds
      
      The legal entity identifiers.
      These identifiers refer to the reference legal entities of the CDS index.
    - observableId
      
      ObservableId observableId
      
      The identifier of the market data value that provides the quoted value.
    - quoteConvention
      
      CdsQuoteConvention quoteConvention
      
      The market quote convention.
      The CDS index is quoted in par spread, points upfront or quoted spread. See CdsQuoteConvention for detail.
    - template
      
      CdsTemplate template
      
      The template for the single names associated with this node.
- Class com.opengamma.strata.market.curve.node.CdsIsdaCreditCurveNode extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - fixedRate
      
      Double fixedRate
      
      The fixed coupon rate.
      This must be represented in decimal form.
    - label
      
      String label
      
      The label to use for the node.
      When building, this will default based on template if not specified.
    - legalEntityId
      
      StandardId legalEntityId
      
      The legal entity identifier.
      This identifier is used for the reference legal entity of the CDS.
    - observableId
      
      ObservableId observableId
      
      The identifier of the market data value that provides the quoted value.
    - quoteConvention
      
      CdsQuoteConvention quoteConvention
      
      The market quote convention.
      The CDS is quoted in par spread, points upfront or quoted spread. See CdsQuoteConvention for detail.
    - template
      
      CdsTemplate template
      
      The template for the CDS associated with this node.
- Class com.opengamma.strata.market.curve.node.FixedIborSwapCurveNode extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - additionalSpread
      
      double additionalSpread
      
      The additional spread added to the rate.
    - date
      
      CurveNodeDate date
      
      The method by which the date of the node is calculated, defaulted to 'End'.
    - dateOrder
      
      CurveNodeDateOrder dateOrder
      
      The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default to CurveNodeDateOrder.DEFAULT.
    - label
      
      String label
      
      The label to use for the node, defaulted.
      When building, this will default based on the tenor if not specified.
    - rateId
      
      ObservableId rateId
      
      The identifier of the market data value that provides the rate.
    - template
      
      FixedIborSwapTemplate template
      
      The template for the swap associated with this node.
- Class com.opengamma.strata.market.curve.node.FixedInflationSwapCurveNode extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - additionalSpread
      
      double additionalSpread
      
      The additional spread added to the fixed rate.
    - date
      
      CurveNodeDate date
      
      The method by which the date of the node is calculated, defaulted to 'End'.
    - dateOrder
      
      CurveNodeDateOrder dateOrder
      
      The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default to CurveNodeDateOrder.DEFAULT.
    - label
      
      String label
      
      The label to use for the node, defaulted.
      When building, this will default based on the tenor if not specified.
    - rateId
      
      ObservableId rateId
      
      The identifier of the market data value that provides the rate.
    - template
      
      FixedInflationSwapTemplate template
      
      The template for the swap associated with this node.
- Class com.opengamma.strata.market.curve.node.FixedOvernightSwapCurveNode extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - additionalSpread
      
      double additionalSpread
      
      The additional spread added to the rate.
    - date
      
      CurveNodeDate date
      
      The method by which the date of the node is calculated, defaulted to 'End'.
    - dateOrder
      
      CurveNodeDateOrder dateOrder
      
      The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default to CurveNodeDateOrder.DEFAULT.
    - label
      
      String label
      
      The label to use for the node, defaulted.
      When building, this will default based on the tenor if not specified.
    - rateId
      
      ObservableId rateId
      
      The identifier of the market data value that provides the rate.
    - template
      
      FixedOvernightSwapTemplate template
      
      The template for the swap associated with this node.
- Class com.opengamma.strata.market.curve.node.FraCurveNode extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - additionalSpread
      
      double additionalSpread
      
      The additional spread added to the rate.
    - date
      
      CurveNodeDate date
      
      The method by which the date of the node is calculated, defaulted to 'End'.
    - dateOrder
      
      CurveNodeDateOrder dateOrder
      
      The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default to CurveNodeDateOrder.DEFAULT.
    - label
      
      String label
      
      The label to use for the node, defaulted.
      When building, this will default based on the period to end if not specified.
    - rateId
      
      ObservableId rateId
      
      The identifier of the market data value that provides the rate.
    - template
      
      FraTemplate template
      
      The template for the FRA associated with this node.
- Class com.opengamma.strata.market.curve.node.FxSwapCurveNode extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - date
      
      CurveNodeDate date
      
      The method by which the date of the node is calculated, defaulted to 'End'.
    - dateOrder
      
      CurveNodeDateOrder dateOrder
      
      The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default to CurveNodeDateOrder.DEFAULT.
    - farForwardPointsId
      
      ObservableId farForwardPointsId
      
      The identifier of the market data value which provides the FX forward points.
    - fxRateId
      
      FxRateId fxRateId
      
      The identifier used to obtain the FX rate market value, defaulted from the template. This only needs to be specified if using multiple market data sources.
    - label
      
      String label
      
      The label to use for the node, defaulted.
      When building, this will default based on the far period if not specified.
    - template
      
      FxSwapTemplate template
      
      The template for the FX Swap associated with this node.
- Class com.opengamma.strata.market.curve.node.IborFixingDepositCurveNode extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - additionalSpread
      
      double additionalSpread
      
      The additional spread added to the rate.
    - date
      
      CurveNodeDate date
      
      The method by which the date of the node is calculated, defaulted to 'End'.
    - dateOrder
      
      CurveNodeDateOrder dateOrder
      
      The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default to CurveNodeDateOrder.DEFAULT.
    - label
      
      String label
      
      The label to use for the node, defaulted.
      When building, this will default based on the deposit period if not specified.
    - rateId
      
      ObservableId rateId
      
      The identifier of the market data value that provides the rate.
    - template
      
      IborFixingDepositTemplate template
      
      The template for the Ibor fixing deposit associated with this node.
- Class com.opengamma.strata.market.curve.node.IborFutureCurveNode extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - additionalSpread
      
      double additionalSpread
      
      The additional spread added to the price. This amount is directly added to the price, where 0.993 represents a 0.7% rate.
    - date
      
      CurveNodeDate date
      
      The method by which the date of the node is calculated, defaulted to 'End'.
    - dateOrder
      
      CurveNodeDateOrder dateOrder
      
      The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default to CurveNodeDateOrder.DEFAULT.
    - label
      
      String label
      
      The label to use for the node, may be empty.
      If empty, a default label will be created when the metadata is built. The default label depends on the valuation date, so cannot be created in the node.
    - rateId
      
      QuoteId rateId
      
      The identifier of the market data value which provides the price.
    - template
      
      IborFutureTemplate template
      
      The template for the Ibor Futures associated with this node.
- Class com.opengamma.strata.market.curve.node.IborIborSwapCurveNode extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - additionalSpread
      
      double additionalSpread
      
      The additional spread added to the market quote.
    - date
      
      CurveNodeDate date
      
      The method by which the date of the node is calculated, defaulted to 'End'.
    - dateOrder
      
      CurveNodeDateOrder dateOrder
      
      The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default to CurveNodeDateOrder.DEFAULT.
    - label
      
      String label
      
      The label to use for the node, defaulted.
      When building, this will default based on the tenor if not specified.
    - rateId
      
      ObservableId rateId
      
      The identifier of the market data value that provides the rate.
    - template
      
      IborIborSwapTemplate template
      
      The template for the swap associated with this node.
- Class com.opengamma.strata.market.curve.node.OvernightFutureCurveNode extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - additionalSpread
      
      double additionalSpread
      
      The additional spread added to the price. This amount is directly added to the price, where 0.993 represents a 0.7% rate.
    - date
      
      CurveNodeDate date
      
      The method by which the date of the node is calculated, defaulted to 'End'.
    - dateOrder
      
      CurveNodeDateOrder dateOrder
      
      The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default to CurveNodeDateOrder.DEFAULT.
    - label
      
      String label
      
      The label to use for the node, may be empty.
      If empty, a default label will be created when the metadata is built. The default label depends on the valuation date, so cannot be created in the node.
    - rateId
      
      QuoteId rateId
      
      The identifier of the market data value which provides the price.
    - template
      
      OvernightFutureTemplate template
      
      The template for the Overnight Futures associated with this node. The contract specification of the future.
- Class com.opengamma.strata.market.curve.node.OvernightIborSwapCurveNode extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - additionalSpread
      
      double additionalSpread
      
      The additional spread added to the rate.
    - date
      
      CurveNodeDate date
      
      The method by which the date of the node is calculated, defaulted to 'End'.
    - dateOrder
      
      CurveNodeDateOrder dateOrder
      
      The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default to CurveNodeDateOrder.DEFAULT.
    - label
      
      String label
      
      The label to use for the node, defaulted.
      When building, this will default based on the tenor if not specified.
    - rateId
      
      ObservableId rateId
      
      The identifier of the market data value that provides the rate.
    - template
      
      OvernightIborSwapTemplate template
      
      The template for the swap associated with this node.
- Class com.opengamma.strata.market.curve.node.TermDepositCurveNode extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - additionalSpread
      
      double additionalSpread
      
      The additional spread added to the rate.
    - date
      
      CurveNodeDate date
      
      The method by which the date of the node is calculated, defaulted to 'End'.
    - dateOrder
      
      CurveNodeDateOrder dateOrder
      
      The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default to CurveNodeDateOrder.DEFAULT.
    - label
      
      String label
      
      The label to use for the node, defaulted.
      When building, this will default based on the deposit period if not specified.
    - rateId
      
      ObservableId rateId
      
      The identifier of the market data value that provides the rate.
    - template
      
      TermDepositTemplate template
      
      The template for the term deposit associated with this node.
- Class com.opengamma.strata.market.curve.node.ThreeLegBasisSwapCurveNode extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - additionalSpread
      
      double additionalSpread
      
      The additional spread added to the market quote.
    - date
      
      CurveNodeDate date
      
      The method by which the date of the node is calculated, defaulted to 'End'.
    - dateOrder
      
      CurveNodeDateOrder dateOrder
      
      The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default to CurveNodeDateOrder.DEFAULT.
    - label
      
      String label
      
      The label to use for the node, defaulted.
      When building, this will default based on the tenor if not specified.
    - rateId
      
      ObservableId rateId
      
      The identifier of the market data value that provides the rate.
    - template
      
      ThreeLegBasisSwapTemplate template
      
      The template for the swap associated with this node.
- Class com.opengamma.strata.market.curve.node.XCcyIborIborSwapCurveNode extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - additionalSpread
      
      double additionalSpread
      
      The additional spread added to the market quote.
    - date
      
      CurveNodeDate date
      
      The method by which the date of the node is calculated, defaulted to 'End'.
    - dateOrder
      
      CurveNodeDateOrder dateOrder
      
      The date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default to CurveNodeDateOrder.DEFAULT.
    - fxRateId
      
      FxRateId fxRateId
      
      The identifier used to obtain the FX rate market value, defaulted from the template. This only needs to be specified if using multiple market data sources.
    - label
      
      String label
      
      The label to use for the node, defaulted.
      When building, this will default based on the tenor if not specified.
    - spreadId
      
      ObservableId spreadId
      
      The identifier of the market data value which provides the spread.
    - template
      
      XCcyIborIborSwapTemplate template
      
      The template for the swap associated with this node.
Package com.opengamma.strata.market.explain
- Class com.opengamma.strata.market.explain.ExplainKey extends TypedString<ExplainKey<T>> implements Serializable
  
  serialVersionUID:
  
  1L
- Class com.opengamma.strata.market.explain.ExplainMap extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - map
      
      ImmutableMap<ExplainKey<?>,Object> map
      
      The map of explanatory values.
Package com.opengamma.strata.market.observable
- Class com.opengamma.strata.market.observable.IndexQuoteId extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - fieldName
      
      FieldName fieldName
      
      The field name in the market data record that contains the market data item. The most common field name is market value.
    - index
      
      Index index
      
      The index.
    - observableSource
      
      ObservableSource observableSource
      
      The source of observable market data.
- Class com.opengamma.strata.market.observable.LegalEntityInformation extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - defaulted
      
      boolean defaulted
      
      Whether the legal entity has defaulted or not.
      True if defaulted, false otherwise.
    - legalEntityId
      
      StandardId legalEntityId
      
      The legal entity identifier.
- Class com.opengamma.strata.market.observable.LegalEntityInformationId extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - legalEntityId
      
      StandardId legalEntityId
      
      The legal entity identifier.
- Class com.opengamma.strata.market.observable.QuoteId extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - fieldName
      
      FieldName fieldName
      
      The field name in the market data record that contains the market data item. The most common field name is market value.
    - observableSource
      
      ObservableSource observableSource
      
      The source of observable market data.
    - standardId
      
      StandardId standardId
      
      The identifier of the data. This is typically an identifier from an external data provider.
- Class com.opengamma.strata.market.observable.QuoteScenarioArray extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - quotes
      
      DoubleArray quotes
      
      The values of the quotes.
- Class com.opengamma.strata.market.observable.QuoteScenarioArrayId extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - id
      
      QuoteId id
      
      The market data key identifying the quote.
Package com.opengamma.strata.market.option
- Class com.opengamma.strata.market.option.DeltaStrike extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - value
      
      double value
      
      The value of absolute delta.
- Class com.opengamma.strata.market.option.LogMoneynessStrike extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - value
      
      double value
      
      The value of log-moneyness.
- Class com.opengamma.strata.market.option.MoneynessStrike extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - value
      
      double value
      
      The value of moneyness.
- Class com.opengamma.strata.market.option.SimpleStrike extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - value
      
      double value
      
      The value of strike.
- Class com.opengamma.strata.market.option.StrikeType extends TypedString<StrikeType> implements Serializable
  
  serialVersionUID:
  
  1L
Package com.opengamma.strata.market.param
- Class com.opengamma.strata.market.param.CrossGammaParameterSensitivities extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - sensitivities
      
      ImmutableList<CrossGammaParameterSensitivity> sensitivities
      
      The parameter sensitivities.
      Each entry includes details of the ParameterizedData it relates to.
- Class com.opengamma.strata.market.param.CrossGammaParameterSensitivity extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - currency
      
      Currency currency
      
      The currency of the sensitivity.
    - marketDataName
      
      MarketDataName<?> marketDataName
      
      The market data name.
      This name is used in the market data system to identify the data that the sensitivities refer to.
    - order
      
      ImmutableList<Pair<MarketDataName<?>,List<? extends ParameterMetadata>>> order
      
      The sensitivity order.
      This defines the order of sensitivity values, which can be used as a key to interpret sensitivity.
    - parameterMetadata
      
      ImmutableList<ParameterMetadata> parameterMetadata
      
      The list of parameter metadata.
      There is one entry for each parameter.
    - sensitivity
      
      DoubleMatrix sensitivity
      
      The parameter sensitivity values.
      The curve delta sensitivities to parameterized market data. This is a n x m matrix, where n must agree with the size of parameterMetadata and m must be the sum of parameter count in order.
- Class com.opengamma.strata.market.param.CurrencyParameterSensitivities extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - sensitivities
      
      ImmutableList<CurrencyParameterSensitivity> sensitivities
      
      The parameter sensitivities.
      Each entry includes details of the ParameterizedData it relates to.
- Class com.opengamma.strata.market.param.CurrencyParameterSensitivity extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - currency
      
      Currency currency
      
      The currency of the sensitivity.
    - marketDataName
      
      MarketDataName<?> marketDataName
      
      The market data name.
      This name is used in the market data system to identify the data that the sensitivities refer to.
    - parameterMetadata
      
      ImmutableList<ParameterMetadata> parameterMetadata
      
      The list of parameter metadata.
      There is one entry for each parameter.
    - parameterSplit
      
      ImmutableList<ParameterSize> parameterSplit
      
      The split of parameters between the underlying parameterized data.
      A single CurrencyParameterSensitivity represents the sensitivity to a single ParameterizedData instance. However, a ParameterizedData instance can itself be backed by more than one underlying instance. For example, a curve formed from two underlying curves. If this list is present, it represents how to split this sensitivity between the underlying instances.
    - sensitivity
      
      DoubleArray sensitivity
      
      The parameter sensitivity values.
      There is one sensitivity value for each parameter.
- Class com.opengamma.strata.market.param.LabelDateParameterMetadata extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - date
      
      LocalDate date
      
      The date associated with the parameter.
      This is the date that is most closely associated with the parameter. The actual parameter is typically a year fraction based on a day count.
    - label
      
      String label
      
      The label that describes the parameter.
- Class com.opengamma.strata.market.param.LabelParameterMetadata extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - label
      
      String label
      
      The label that describes the parameter.
- Class com.opengamma.strata.market.param.ParameterSize extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - name
      
      MarketDataName<?> name
      
      The name of the market data.
    - parameterCount
      
      int parameterCount
      
      The number of parameters.
- Class com.opengamma.strata.market.param.PointShifts extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - nodeIndices
      
      ImmutableMap<Object,Integer> nodeIndices
      
      Indices of each parameter, keyed by an object identifying the node.
      The key is typically the node identifier. The key may also be the node label.
    - shifts
      
      DoubleMatrix shifts
      
      The shift to apply to the rates.
      There is one row in the matrix for each scenario and one column for each parameter in the data. Node indices are found using nodeIndices.
    - shiftType
      
      ShiftType shiftType
      
      The type of shift applied to the parameters.
- Class com.opengamma.strata.market.param.ResolvedTradeParameterMetadata extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - label
      
      String label
      
      The label that describes the parameter.
    - trade
      
      ResolvedTrade trade
      
      The trade that describes the parameter.
- Class com.opengamma.strata.market.param.TenorDateParameterMetadata extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - date
      
      LocalDate date
      
      The date associated with the parameter.
      This is the date that is most closely associated with the parameter. The actual parameter is typically a year fraction based on a day count.
    - label
      
      String label
      
      The label that describes the parameter, defaulted to the tenor.
    - tenor
      
      Tenor tenor
      
      The tenor associated with the parameter.
- Class com.opengamma.strata.market.param.TenorParameterMetadata extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - label
      
      String label
      
      The label that describes the parameter, defaulted to the tenor.
    - tenor
      
      Tenor tenor
      
      The tenor associated with the parameter.
- Class com.opengamma.strata.market.param.TenorTenorParameterMetadata extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - expiryTenor
      
      Tenor expiryTenor
      
      The expiry tenor associated with the parameter.
    - label
      
      String label
      
      The label that describes the parameter, defaulted to both tenors.
    - underlyingTenor
      
      Tenor underlyingTenor
      
      The underlying tenor associated with the parameter.
- Class com.opengamma.strata.market.param.UnitParameterSensitivities extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - sensitivities
      
      ImmutableList<UnitParameterSensitivity> sensitivities
      
      The parameter sensitivities.
      Each entry includes details of the ParameterizedData it relates to.
- Class com.opengamma.strata.market.param.UnitParameterSensitivity extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - marketDataName
      
      MarketDataName<?> marketDataName
      
      The market data name.
      This name is used in the market data system to identify the data that the sensitivities refer to.
    - parameterMetadata
      
      ImmutableList<ParameterMetadata> parameterMetadata
      
      The list of parameter metadata.
      There is one entry for each parameter.
    - parameterSplit
      
      ImmutableList<ParameterSize> parameterSplit
      
      The split of parameters between the underlying parameterized data.
      A single UnitParameterSensitivity represents the sensitivity to a single ParameterizedData instance. However, a ParameterizedData instance can itself be backed by more than one underlying instance. For example, a curve formed from two underlying curves. This list is present, it represents how to split this sensitivity between the underlying instances.
    - sensitivity
      
      DoubleArray sensitivity
      
      The parameter sensitivity values.
      There is one sensitivity value for each parameter.
- Class com.opengamma.strata.market.param.YearMonthDateParameterMetadata extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - date
      
      LocalDate date
      
      The date associated with the parameter.
      This is the date that is most closely associated with the parameter. The actual parameter is typically a year fraction based on a day count.
    - label
      
      String label
      
      The label that describes the parameter, defaulted to the year-month.
    - yearMonth
      
      YearMonth yearMonth
      
      The year-month associated with the parameter.
Package com.opengamma.strata.market.sensitivity
- Class com.opengamma.strata.market.sensitivity.CurveSensitivities extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - info
      
      PortfolioItemInfo info
      
      The additional information.
      This allows additional information to be attached to the sensitivities.
    - typedSensitivities
      
      ImmutableMap<CurveSensitivitiesType,CurrencyParameterSensitivities> typedSensitivities
      
      The sensitivities, keyed by type.
      The map allows sensitivity to different types to be expressed. For example, there might be both delta and gamma sensitivity.
- Class com.opengamma.strata.market.sensitivity.CurveSensitivitiesType extends TypedString<CurveSensitivitiesType> implements Serializable
  
  serialVersionUID:
  
  1L
- Class com.opengamma.strata.market.sensitivity.PointSensitivities extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - sensitivities
      
      ImmutableList<PointSensitivity> sensitivities
      
      The point sensitivities.
      Each entry includes details of the market data query it relates to.
Package com.opengamma.strata.market.surface
- Class com.opengamma.strata.market.surface.ConstantSurface extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - metadata
      
      SurfaceMetadata metadata
      
      The surface metadata.
      The metadata will have not have parameter metadata.
    - zValue
      
      double zValue
      
      The single z-value.
- Class com.opengamma.strata.market.surface.DefaultSurfaceMetadata extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - info
      
      ImmutableMap<SurfaceInfoType<?>,Object> info
      
      The additional surface information.
      This stores additional information for the surface.
    - parameterMetadata
      
      ImmutableList<ParameterMetadata> parameterMetadata
      
      The metadata about the parameters.
      If present, the parameter metadata should match the number of parameters on the surface.
    - surfaceName
      
      SurfaceName surfaceName
      
      The surface name.
    - xValueType
      
      ValueType xValueType
      
      The x-value type, providing meaning to the x-values of the curve.
      This type provides meaning to the x-values. For example, the x-value might represent a year fraction, as represented using ValueType.YEAR_FRACTION.
      If using the builder, this defaults to ValueType.UNKNOWN.
    - yValueType
      
      ValueType yValueType
      
      The y-value type, providing meaning to the y-values of the curve.
      This type provides meaning to the y-values.
      If using the builder, this defaults to ValueType.UNKNOWN.
    - zValueType
      
      ValueType zValueType
      
      The x-value type, providing meaning to the z-values of the curve.
      This type provides meaning to the z-values.
      If using the builder, this defaults to ValueType.UNKNOWN.
- Class com.opengamma.strata.market.surface.DeformedSurface extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - deformationFunction
      
      Function<DoublesPair,ValueDerivatives> deformationFunction
      
      The deformation function.
      The deformation to the original surface is define by this function. The function takes DoublesPair of x-value and y-value, then returns ValueDerivatives which contains z-value for the specified x,y values, and node sensitivities to the original surface.
    - metadata
      
      SurfaceMetadata metadata
      
      The surface metadata.
      The metadata includes an optional list of parameter metadata.
    - originalSurface
      
      Surface originalSurface
      
      The original surface.
      The underlying surface which receives the deformation defined by deformationFunction.
- Class com.opengamma.strata.market.surface.InterpolatedNodalSurface extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - interpolator
      
      SurfaceInterpolator interpolator
      
      The underlying interpolator.
    - metadata
      
      SurfaceMetadata metadata
      
      The surface metadata.
      The metadata includes an optional list of parameter metadata. If present, the size of the parameter metadata list will match the number of parameters of this surface.
    - xValues
      
      DoubleArray xValues
      
      The array of x-values, one for each point.
      This array will contains at least two elements.
    - yValues
      
      DoubleArray yValues
      
      The array of y-values, one for each point.
      This array will contains at least two elements and be of the same length as x-values.
    - zValues
      
      DoubleArray zValues
      
      The array of z-values, one for each point.
      This array will contains at least two elements and be of the same length as x-values.
- Class com.opengamma.strata.market.surface.SimpleSurfaceParameterMetadata extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - xValue
      
      double xValue
      
      The x-value.
    - xValueType
      
      ValueType xValueType
      
      The type of the x-value.
    - yValue
      
      double yValue
      
      The y-value.
    - yValueType
      
      ValueType yValueType
      
      The type of the y-value.
- Class com.opengamma.strata.market.surface.SurfaceInfoType extends TypedString<SurfaceInfoType<T>> implements Serializable
  
  serialVersionUID:
  
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- Class com.opengamma.strata.market.surface.SurfaceName extends MarketDataName<Surface> implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - name
      
      String name
      
      The name.
Package com.opengamma.strata.market.surface.interpolator
- Class com.opengamma.strata.market.surface.interpolator.GridSurfaceInterpolator extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - xExtrapolatorLeft
      
      CurveExtrapolator xExtrapolatorLeft
      
      The x-value left extrapolator.
    - xExtrapolatorRight
      
      CurveExtrapolator xExtrapolatorRight
      
      The x-value right extrapolator.
    - xInterpolator
      
      CurveInterpolator xInterpolator
      
      The x-value interpolator.
    - yExtrapolatorLeft
      
      CurveExtrapolator yExtrapolatorLeft
      
      The y-value left extrapolator.
    - yExtrapolatorRight
      
      CurveExtrapolator yExtrapolatorRight
      
      The y-value right extrapolator.
    - yInterpolator
      
      CurveInterpolator yInterpolator
      
      The y-value interpolator.
Package com.opengamma.strata.math
- Class com.opengamma.strata.math.MathException extends RuntimeException implements Serializable
  
  serialVersionUID:
  
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Package com.opengamma.strata.math.impl.cern
- Class com.opengamma.strata.math.impl.cern.ChiSquare extends com.opengamma.strata.math.impl.cern.AbstractContinousDistribution implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - b
      
      double b
    - freedom
      
      double freedom
    - freedom_in
      
      double freedom_in
    - vd
      
      double vd
    - vm
      
      double vm
    - vp
      
      double vp
- Class com.opengamma.strata.math.impl.cern.Gamma extends com.opengamma.strata.math.impl.cern.AbstractContinousDistribution implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - alpha
      
      double alpha
    - lambda
      
      double lambda
- Class com.opengamma.strata.math.impl.cern.MersenneTwister extends RandomEngine implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - mt
      
      int[] mt
    - mti
      
      int mti
- Class com.opengamma.strata.math.impl.cern.MersenneTwister64 extends MersenneTwister implements Serializable
  
  serialVersionUID:
  
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- Class com.opengamma.strata.math.impl.cern.Normal extends com.opengamma.strata.math.impl.cern.AbstractContinousDistribution implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - cache
      
      double cache
    - cacheFilled
      
      boolean cacheFilled
    - mean
      
      double mean
    - SQRT_INV
      
      double SQRT_INV
    - standardDeviation
      
      double standardDeviation
    - variance
      
      double variance
- Class com.opengamma.strata.math.impl.cern.RandomEngine extends com.opengamma.strata.math.impl.cern.PersistentObject implements Serializable
  
  serialVersionUID:
  
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- Class com.opengamma.strata.math.impl.cern.StudentT extends com.opengamma.strata.math.impl.cern.AbstractContinousDistribution implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - freedom
      
      double freedom
    - TERM
      
      double TERM
Package com.opengamma.strata.math.impl.statistics.descriptive
- Class com.opengamma.strata.math.impl.statistics.descriptive.QuantileResult extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - indices
      
      int[] indices
      
      The indices of sample data used in the calculation. For discrete methods, the length is 1 and for interpolated methods, the length is usually 2.
    - value
      
      double value
      
      The quantile value.
    - weights
      
      DoubleArray weights
      
      The weights of the sample data used in the quantitle calculation. The samples used with those weights are given by the indices.
Package com.opengamma.strata.measure
- Class com.opengamma.strata.measure.ValuationZoneTimeDefinition extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - defaultLocalTime
      
      LocalTime defaultLocalTime
      
      The default local time.
      The default local time will be used if the input date is not scenario value or if the scenario size of the input date exceeds the size of localTimes.
    - localTimes
      
      ImmutableList<LocalTime> localTimes
      
      The local time.
      The local time in zoneId. The size is not necessarily the same as the scenario size. defaultLocalTime will be used if extra LocalTime is required.
    - zoneId
      
      ZoneId zoneId
      
      The zone ID.
Package com.opengamma.strata.measure.calc
- Class com.opengamma.strata.measure.calc.TargetTypeCalculationParameter extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - defaultParameter
      
      CalculationParameter defaultParameter
      
      The default underlying parameter.
    - parameters
      
      ImmutableMap<Class<?>,CalculationParameter> parameters
      
      The underlying parameters, keyed by target type.
    - queryType
      
      Class<? extends CalculationParameter> queryType
      
      The parameter query type.
- Class com.opengamma.strata.measure.calc.TradeCounterpartyCalculationParameter extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - defaultParameter
      
      CalculationParameter defaultParameter
      
      The default underlying parameter.
    - parameters
      
      ImmutableMap<StandardId,CalculationParameter> parameters
      
      The underlying parameters, keyed by counterparty ID.
    - queryType
      
      Class<? extends CalculationParameter> queryType
      
      The parameter query type.
Package com.opengamma.strata.measure.cms
- Class com.opengamma.strata.measure.cms.CmsSabrExtrapolationParams extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - cutOffStrike
      
      double cutOffStrike
      
      The cut-off strike.
      The smile is extrapolated above that level.
    - mu
      
      double mu
      
      The tail thickness parameter.
      This must be greater than 0 in order to ensure that the call price converges to 0 for infinite strike.
Package com.opengamma.strata.measure.curve
- Class com.opengamma.strata.measure.curve.RootFinderConfig extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - absoluteTolerance
      
      double absoluteTolerance
      
      The absolute tolerance for the root finder.
    - maximumSteps
      
      int maximumSteps
      
      The maximum number of steps for the root finder.
    - relativeTolerance
      
      double relativeTolerance
      
      The relative tolerance for the root finder.
Package com.opengamma.strata.measure.fxopt
- Class com.opengamma.strata.measure.fxopt.BlackFxOptionInterpolatedNodalSurfaceVolatilitiesSpecification extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - currencyPair
      
      CurrencyPair currencyPair
    - dayCount
      
      DayCount dayCount
    - name
      
      FxOptionVolatilitiesName name
    - nodes
      
      ImmutableList<FxOptionVolatilitiesNode> nodes
    - strikeExtrapolatorLeft
      
      CurveExtrapolator strikeExtrapolatorLeft
      
      The left extrapolator used in the strike dimension.
    - strikeExtrapolatorRight
      
      CurveExtrapolator strikeExtrapolatorRight
      
      The right extrapolator used in the strike dimension.
    - strikeInterpolator
      
      CurveInterpolator strikeInterpolator
      
      The interpolator used in the strike dimension.
    - timeExtrapolatorLeft
      
      CurveExtrapolator timeExtrapolatorLeft
      
      The left extrapolator used in the time dimension.
    - timeExtrapolatorRight
      
      CurveExtrapolator timeExtrapolatorRight
      
      The right extrapolator used in the time dimension.
    - timeInterpolator
      
      CurveInterpolator timeInterpolator
      
      The interpolator used in the time dimension.
- Class com.opengamma.strata.measure.fxopt.BlackFxOptionSmileVolatilitiesSpecification extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - currencyPair
      
      CurrencyPair currencyPair
      
      The currency pair that the volatilities are for.
    - dayCount
      
      DayCount dayCount
      
      The day count convention used for the expiry.
    - name
      
      FxOptionVolatilitiesName name
      
      The name of the volatilities.
    - nodes
      
      ImmutableList<FxOptionVolatilitiesNode> nodes
      
      The nodes in the FX option volatilities.
      The nodes are used to find the quotes and build the volatilities.
    - strikeExtrapolatorLeft
      
      CurveExtrapolator strikeExtrapolatorLeft
      
      The left extrapolator used in the strike dimension.
    - strikeExtrapolatorRight
      
      CurveExtrapolator strikeExtrapolatorRight
      
      The right extrapolator used in the strike dimension.
    - strikeInterpolator
      
      CurveInterpolator strikeInterpolator
      
      The interpolator used in the strike dimension.
    - timeExtrapolatorLeft
      
      CurveExtrapolator timeExtrapolatorLeft
      
      The left extrapolator used in the time dimension.
    - timeExtrapolatorRight
      
      CurveExtrapolator timeExtrapolatorRight
      
      The right extrapolator used in the time dimension.
    - timeInterpolator
      
      CurveInterpolator timeInterpolator
      
      The interpolator used in the time dimension.
- Class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesDefinition extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - specification
      
      FxOptionVolatilitiesSpecification specification
      
      The FX option volatility specification.
- Class com.opengamma.strata.measure.fxopt.FxOptionVolatilitiesNode extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - businessDayAdjustment
      
      BusinessDayAdjustment businessDayAdjustment
      
      The business day adjustment to apply to the delivery date.
      Typically this is the same as the standard convention of the business day adjustment applied to the delivery date of the underlying FX forward.
    - currencyPair
      
      CurrencyPair currencyPair
      
      The currency pair.
      The quote must be based on this currency pair and direction.
    - expiryDateOffset
      
      DaysAdjustment expiryDateOffset
      
      The offset of the expiry date from the delivery date.
      By default the expiry date offset is the inverse of spotDateOffset. In this case BusinessDayAdjustment in spotDateOffset must be NONE.
    - label
      
      String label
      
      The label to use for the node.
    - quoteId
      
      QuoteId quoteId
      
      The quote ID.
    - quoteValueType
      
      ValueType quoteValueType
      
      The value type of the quote.
    - spotDateOffset
      
      DaysAdjustment spotDateOffset
      
      The offset of the spot value date from the valuation date.
      Typically this is the same as the standard convention of the spot date offset of the underlying FX forward.
    - strike
      
      Strike strike
      
      The strike.
    - tenor
      
      Tenor tenor
      
      The tenor.
      Typically the tenor is coherent to that of the underlying FX forward. Thus it spans the period between spot date to delivery date.
Package com.opengamma.strata.pricer
- Class com.opengamma.strata.pricer.PricingException extends RuntimeException implements Serializable
  
  serialVersionUID:
  
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- Class com.opengamma.strata.pricer.SimpleDiscountFactors extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - currency
      
      Currency currency
      
      The currency that the discount factors are for.
    - curve
      
      Curve curve
      
      The underlying curve. The metadata of the curve must define a day count.
    - valuationDate
      
      LocalDate valuationDate
      
      The valuation date.
- Class com.opengamma.strata.pricer.ZeroRateDiscountFactors extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - currency
      
      Currency currency
      
      The currency that the discount factors are for.
    - curve
      
      Curve curve
      
      The underlying curve. The metadata of the curve must define a day count.
    - valuationDate
      
      LocalDate valuationDate
      
      The valuation date.
- Class com.opengamma.strata.pricer.ZeroRatePeriodicDiscountFactors extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - currency
      
      Currency currency
      
      The currency that the discount factors are for.
    - curve
      
      Curve curve
      
      The underlying curve. The metadata of the curve must define a day count.
    - valuationDate
      
      LocalDate valuationDate
      
      The valuation date.
- Class com.opengamma.strata.pricer.ZeroRateSensitivity extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - currency
      
      Currency currency
      
      The currency of the sensitivity.
    - curveCurrency
      
      Currency curveCurrency
      
      The currency of the curve for which the sensitivity is computed.
    - sensitivity
      
      double sensitivity
      
      The value of the sensitivity.
    - yearFraction
      
      double yearFraction
      
      The time that was queried, expressed as a year fraction.
Package com.opengamma.strata.pricer.bond
- Class com.opengamma.strata.pricer.bond.BlackBondFutureExpiryLogMoneynessVolatilities extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - surface
      
      Surface surface
      
      The Black volatility surface.
      The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the log-moneyness.
    - valuationDateTime
      
      ZonedDateTime valuationDateTime
      
      The valuation date-time.
      The volatilities are calibrated for this date-time.
- Class com.opengamma.strata.pricer.bond.BondFutureOptionSensitivity extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - currency
      
      Currency currency
      
      The currency of the sensitivity.
    - expiry
      
      double expiry
      
      The expiry date-time of the option.
    - futureExpiryDate
      
      LocalDate futureExpiryDate
      
      The expiry date of the underlying future.
    - futurePrice
      
      double futurePrice
      
      The underlying future price.
    - sensitivity
      
      double sensitivity
      
      The value of the sensitivity.
    - strikePrice
      
      double strikePrice
      
      The option strike price.
    - volatilitiesName
      
      BondFutureVolatilitiesName volatilitiesName
      
      The name of the volatilities.
- Class com.opengamma.strata.pricer.bond.BondFutureVolatilitiesId extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - name
      
      BondFutureVolatilitiesName name
      
      The name of the volatilities.
- Class com.opengamma.strata.pricer.bond.BondFutureVolatilitiesName extends MarketDataName<BondFutureVolatilities> implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - name
      
      String name
      
      The name.
- Class com.opengamma.strata.pricer.bond.BondVolatilitiesName extends MarketDataName<BondYieldVolatilities> implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - name
      
      String name
      
      The name.
- Class com.opengamma.strata.pricer.bond.BondYieldSensitivity extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - currency
      
      Currency currency
      
      The currency of the sensitivity.
    - duration
      
      double duration
      
      The underlying duration.
    - expiry
      
      double expiry
      
      The time to expiry of the option as a year fraction.
    - forward
      
      double forward
      
      The underlying bond forward yield.
    - sensitivity
      
      double sensitivity
      
      The value of the sensitivity.
    - strike
      
      double strike
      
      The strike yield.
    - volatilitiesName
      
      BondVolatilitiesName volatilitiesName
      
      The name of the volatilities.
- Class com.opengamma.strata.pricer.bond.ImmutableLegalEntityDiscountingProvider extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - issuerCurveGroups
      
      ImmutableMap<LegalEntityId,LegalEntityGroup> issuerCurveGroups
      
      The groups used to find an issuer curve by legal entity.
      This maps the legal entity ID to a group. The group is used to find the curve in issuerCurves.
      This property was renamed in version 1.1 of Strata from legalEntityMap.
    - issuerCurves
      
      ImmutableMap<Pair<LegalEntityGroup,Currency>,DiscountFactors> issuerCurves
      
      The issuer curves, keyed by group and currency. The curve data, predicting the future, associated with each legal entity group and currency.
    - repoCurveGroups
      
      ImmutableMap<LegalEntityId,RepoGroup> repoCurveGroups
      
      The groups used to find a repo curve by legal entity.
      This maps the legal entity ID to a group. The group is used to find the curve in repoCurves.
    - repoCurves
      
      ImmutableMap<Pair<RepoGroup,Currency>,DiscountFactors> repoCurves
      
      The repo curves, keyed by group and currency. The curve data, predicting the future, associated with each repo group and currency.
    - repoCurveSecurityGroups
      
      ImmutableMap<SecurityId,RepoGroup> repoCurveSecurityGroups
      
      The groups used to find a repo curve by security.
      This maps the security ID to a group. The group is used to find the curve in repoCurves.
    - valuationDate
      
      LocalDate valuationDate
      
      The valuation date. All curves and other data items in this provider are calibrated for this date.
- Class com.opengamma.strata.pricer.bond.IssuerCurveDiscountFactors extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - discountFactors
      
      DiscountFactors discountFactors
      
      The underlying discount factors for a single currency.
      This contains curve, curve currency, valuation date and day count convention. The discount factor, its point sensitivity and curve sensitivity are computed by this DiscountFactors.
    - legalEntityGroup
      
      LegalEntityGroup legalEntityGroup
      
      The legal entity group.
      The group defines the legal entity that the discount factors are for.
- Class com.opengamma.strata.pricer.bond.IssuerCurveZeroRateSensitivity extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - currency
      
      Currency currency
      
      The currency of the sensitivity.
    - curveCurrency
      
      Currency curveCurrency
      
      The currency of the curve for which the sensitivity is computed.
    - legalEntityGroup
      
      LegalEntityGroup legalEntityGroup
      
      The legal entity group.
      The group defines the legal entity that the discount factors are for.
    - sensitivity
      
      double sensitivity
      
      The value of the sensitivity.
    - yearFraction
      
      double yearFraction
      
      The time that was queried, expressed as a year fraction.
- Class com.opengamma.strata.pricer.bond.NormalBondYieldExpiryDurationVolatilities extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - currency
      
      Currency currency
      
      The currency.
    - surface
      
      Surface surface
      
      The normal volatility surface.
      The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the duration, as a year fraction.
    - valuationDateTime
      
      ZonedDateTime valuationDateTime
      
      The valuation date-time.
      The volatilities are calibrated for this date-time.
- Class com.opengamma.strata.pricer.bond.RepoCurveDiscountFactors extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - discountFactors
      
      DiscountFactors discountFactors
      
      The underlying discount factors for a single currency.
      This contains curve, curve currency, valuation date and day count convention. The discount factor, its point sensitivity and curve sensitivity are computed by this DiscountFactors.
    - repoGroup
      
      RepoGroup repoGroup
      
      The repo group.
      This defines the group that the discount factors are for.
- Class com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - currency
      
      Currency currency
      
      The currency of the sensitivity.
    - curveCurrency
      
      Currency curveCurrency
      
      The currency of the curve for which the sensitivity is computed.
    - repoGroup
      
      RepoGroup repoGroup
      
      The repo group.
      This defines the group that the discount factors are for.
    - sensitivity
      
      double sensitivity
      
      The value of the sensitivity.
    - yearFraction
      
      double yearFraction
      
      The time that was queried, expressed as a year fraction.
Package com.opengamma.strata.pricer.capfloor
- Class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryFlatVolatilities extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - curve
      
      Curve curve
      
      The Black volatility curve.
      The x-value of the curve is the expiry, as a year fraction. The y-value of the curve is the volatility.
    - index
      
      IborIndex index
      
      The Ibor index.
      The data must valid in terms of this Ibor index.
    - valuationDateTime
      
      ZonedDateTime valuationDateTime
      
      The valuation date-time.
      The volatilities are calibrated for this date-time.
- Class com.opengamma.strata.pricer.capfloor.BlackIborCapletFloorletExpiryStrikeVolatilities extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - index
      
      IborIndex index
      
      The Ibor index.
      The data must valid in terms of this Ibor index.
    - surface
      
      Surface surface
      
      The Black volatility surface.
      The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the strike.
    - valuationDateTime
      
      ZonedDateTime valuationDateTime
      
      The valuation date-time.
      The volatilities are calibrated for this date-time.
- Class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletFlatVolatilityDefinition extends Object implements Serializable
  
  serialVersionUID:
  
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  - Serialized Fields
    - dayCount
      
      DayCount dayCount
      
      The day count to measure the time.
    - extrapolatorLeft
      
      CurveExtrapolator extrapolatorLeft
      
      The extrapolator for the caplet volatilities on the left.
    - extrapolatorRight
      
      CurveExtrapolator extrapolatorRight
      
      The extrapolator for the caplet volatilities on the right.
    - index
      
      IborIndex index
      
      The Ibor index for which the data is valid.
    - interpolator
      
      CurveInterpolator interpolator
      
      The interpolator for the caplet volatilities.
    - lambda
      
      double lambda
      
      Penalty intensity parameter.
    - name
      
      IborCapletFloorletVolatilitiesName name
      
      The name of the volatilities.
- Class com.opengamma.strata.pricer.capfloor.DirectIborCapletFloorletVolatilityDefinition extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - dayCount
      
      DayCount dayCount
      
      The day count to measure the time in the expiry dimension.
    - index
      
      IborIndex index
      
      The Ibor index for which the data is valid.
    - interpolator
      
      GridSurfaceInterpolator interpolator
      
      The interpolator for the caplet volatilities.
    - lambdaExpiry
      
      double lambdaExpiry
      
      Penalty intensity parameter for expiry dimension.
    - lambdaStrike
      
      double lambdaStrike
      
      Penalty intensity parameter for strike dimension.
    - name
      
      IborCapletFloorletVolatilitiesName name
      
      The name of the volatilities.
    - shiftCurve
      
      Curve shiftCurve
      
      The shift parameter of shifted Black model.
      The x value of the curve is the expiry. The market volatilities are calibrated to shifted Black model if this field is not null.
- Class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodAmounts extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - amounts
      
      ImmutableMap<IborCapletFloorletPeriod,Double> amounts
      
      The map of Ibor caplet/floorlet periods to the double amount.
- Class com.opengamma.strata.pricer.capfloor.IborCapletFloorletPeriodCurrencyAmounts extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - amounts
      
      ImmutableMap<IborCapletFloorletPeriod,CurrencyAmount> amounts
      
      The map of Ibor caplet/floorlet periods to the currency amount.
- Class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSabrSensitivity extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - currency
      
      Currency currency
      
      The currency of the sensitivity.
    - expiry
      
      double expiry
      
      The time to expiry of the option as a year fraction.
    - sensitivity
      
      double sensitivity
      
      The value of the sensitivity.
    - sensitivityType
      
      SabrParameterType sensitivityType
      
      The type of the sensitivity.
    - volatilitiesName
      
      IborCapletFloorletVolatilitiesName volatilitiesName
      
      The name of the volatilities.
- Class com.opengamma.strata.pricer.capfloor.IborCapletFloorletSensitivity extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - currency
      
      Currency currency
      
      The currency of the sensitivity.
    - expiry
      
      double expiry
      
      The time to expiry of the option as a year fraction.
    - forward
      
      double forward
      
      The forward rate.
    - sensitivity
      
      double sensitivity
      
      The value of the sensitivity.
    - strike
      
      double strike
      
      The strike rate.
    - volatilitiesName
      
      IborCapletFloorletVolatilitiesName volatilitiesName
      
      The name of the volatilities.
- Class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilitiesId extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - name
      
      IborCapletFloorletVolatilitiesName name
      
      The name of the volatilities.
- Class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilitiesName extends MarketDataName<IborCapletFloorletVolatilities> implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - name
      
      String name
      
      The name.
- Class com.opengamma.strata.pricer.capfloor.IborCapletFloorletVolatilityCalibrationResult extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialized Fields
    - chiSquare
      
      double chiSquare
      
      The chi-square value.
      The chi square is 0 if the volatilities are computed by root-finding. The chi square is generally non-zero if the volatilities are computed by least square method.
    - volatilities
      
      IborCapletFloorletVolatilities volatilities
      
      The caplet volatilities.
- Class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryFlatVolatilities extends Object implements Serializable
  
  serialVersionUID:
  
  1L
  - Serialization Methods
    - readResolve
      
      private Object readResolve()
  - Serialized Fields
    - curve
      
      Curve curve
      
      The normal volatility curve.
    - The x-value type must be ValueType.YEAR_FRACTION
    - The y-value type must be ValueType.NORMAL_VOLATILITY

index

IborIndex index

The Ibor index.

The data must valid in terms of this Ibor index.

valuationDateTime

ZonedDateTime valuationDateTime

The valuation date-time.

The volatilities are calibrated for this date-time.

Class com.opengamma.strata.pricer.capfloor.NormalIborCapletFloorletExpiryStrikeVolatilities extends Object implements Serializable

serialVersionUID:: 1L

Serialization Methods
- readResolve
```
private Object readResolve()
```
Serialized Fields
- index
```
IborIndex index
```
  The Ibor index.
  The data must valid in terms of this Ibor index.
- surface
```
Surface surface
```
  The normal volatility surface.
  The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the strike.
- valuationDateTime
```
ZonedDateTime valuationDateTime
```
  The valuation date-time.
  The volatilities are calibrated for this date-time.

Class com.opengamma.strata.pricer.capfloor.NormalSabrParametersIborCapletFloorletVolatilities extends Object implements Serializable

serialVersionUID:: 1L

Serialized Fields
- dataSensitivityAlpha
```
ImmutableList<DoubleArray> dataSensitivityAlpha
```
  The sensitivity of the Alpha parameters to the raw data used for calibration.
  The order of the sensitivities have to be coherent with the curve parameter metadata.
- dataSensitivityBeta
```
ImmutableList<DoubleArray> dataSensitivityBeta
```
  The sensitivity of the Beta parameters to the raw data used for calibration.
  The order of the sensitivities have to be coherent with the curve parameter metadata.
- dataSensitivityNu
```
ImmutableList<DoubleArray> dataSensitivityNu
```
  The sensitivity of the Nu parameters to the raw data used for calibration.
  The order of the sensitivities have to be coherent with the curve parameter metadata.
- dataSensitivityRho
```
ImmutableList<DoubleArray> dataSensitivityRho
```
  The sensitivity of the Rho parameters to the raw data used for calibration.
  The order of the sensitivities have to be coherent with the curve parameter metadata.
- index
```
IborIndex index
```
  The Ibor index.
  The data must valid in terms of this Ibor index.
- name
```
IborCapletFloorletVolatilitiesName name
```
  The name.
- parameters
```
SabrParameters parameters
```
  The SABR model parameters.
  Each model parameter of SABR model is a curve. The x-value of the curve is the expiry, as a year fraction.
- valuationDateTime
```
ZonedDateTime valuationDateTime
```
  The valuation date-time.
  The volatilities are calibrated for this date-time.

Class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityBootstrapDefinition extends Object implements Serializable

serialVersionUID:: 1L

Serialized Fields
- betaCurve
```
Curve betaCurve
```
  The beta (elasticity) curve.
  This represents the beta parameter of SABR model.
  The beta will be treated as one of the calibration parameters if this field is not specified.
- dayCount
```
DayCount dayCount
```
  The day count to measure the time in the expiry dimension.
- extrapolatorLeft
```
CurveExtrapolator extrapolatorLeft
```
  The left extrapolator for the SABR parameter curves.
  The x value of the interpolated curves is the expiry.
- extrapolatorRight
```
CurveExtrapolator extrapolatorRight
```
  The right extrapolator for the SABR parameter curves.
  The x value of the interpolated curves is the expiry.
- index
```
IborIndex index
```
  The Ibor index for which the data is valid.
- interpolator
```
CurveInterpolator interpolator
```
  The interpolator for the SABR parameter curves.
  The x value of the interpolated curves is the expiry.
- name
```
IborCapletFloorletVolatilitiesName name
```
  The name of the volatilities.
- rhoCurve
```
Curve rhoCurve
```
  The rho (correlation) curve.
  This represents the rho parameter of SABR model.
  The rho will be treated as one of the calibration parameters if this field is not specified.
- sabrVolatilityFormula
```
SabrVolatilityFormula sabrVolatilityFormula
```
  The SABR formula.
- shiftCurve
```
Curve shiftCurve
```
  The shift curve.
  This represents the shift parameter of shifted SABR model. The x value of the curve is the expiry.
  The shift is set to be zero if this field is not specified.

Class com.opengamma.strata.pricer.capfloor.SabrIborCapletFloorletVolatilityCalibrationDefinition extends Object implements Serializable

serialVersionUID:: 1L

Serialized Fields
- betaCurve
```
Curve betaCurve
```
  The beta (elasticity) curve.
  This represents the beta parameter of SABR model.
  The beta will be treated as one of the calibration parameters if this field is not specified. Either betaCurve or rhoCurve must be present.
- dayCount
```
DayCount dayCount
```
  The day count to measure the time in the expiry dimension.
- extrapolatorLeft
```
CurveExtrapolator extrapolatorLeft
```
  The left extrapolator for the SABR parameters.
  The flat extrapolation is used if not specified.
- extrapolatorRight
```
CurveExtrapolator extrapolatorRight
```
  The right extrapolator for the SABR parameters.
  The flat extrapolation is used if not specified.
- index
```
IborIndex index
```
  The Ibor index for which the data is valid.
- initialParameters
```
DoubleArray initialParameters
```
  The initial parameter values used in calibration.
  Default values will be used if not specified. The size of this field must be 4, ordered as alpha, beta, rho and nu.
- interpolator
```
CurveInterpolator interpolator
```
  The interpolator for the SABR parameters.
- name
```
IborCapletFloorletVolatilitiesName name
```
  The name of the volatilities.
- parameterCurveNodes
```
ImmutableList<DoubleArray> parameterCurveNodes
```
  The nodes of SABR parameter curves.
  The size of the list must be 4, ordered as alpha, beta, rho and nu.
  If the number of nodes is greater than 1, the curve will be created with CurveInterpolator and CurveExtrapolator specified below. Otherwise, ConstantNodalCurve will be created.
- rhoCurve
```
Curve rhoCurve
```
  The rho (correlation) curve.
  This represents the rho parameter of SABR model.
  The rho will be treated as one of the calibration parameters if this field is not specified. Either betaCurve or rhoCurve must be present.
- sabrVolatilityFormula
```
SabrVolatilityFormula sabrVolatilityFormula
```
  The SABR formula.
- shiftCurve
```
Curve shiftCurve
```
  The shift curve.
  This represents the shift parameter of shifted SABR model.
  The shift is set to be zero if this field is not specified.

Class com.opengamma.strata.pricer.capfloor.SabrParametersIborCapletFloorletVolatilities extends Object implements Serializable

serialVersionUID:: 1L

Serialized Fields
- dataSensitivityAlpha
```
ImmutableList<DoubleArray> dataSensitivityAlpha
```
  The sensitivity of the Alpha parameters to the raw data used for calibration.
  The order of the sensitivities have to be coherent with the curve parameter metadata.
- dataSensitivityBeta
```
ImmutableList<DoubleArray> dataSensitivityBeta
```
  The sensitivity of the Beta parameters to the raw data used for calibration.
  The order of the sensitivities have to be coherent with the curve parameter metadata.
- dataSensitivityNu
```
ImmutableList<DoubleArray> dataSensitivityNu
```
  The sensitivity of the Nu parameters to the raw data used for calibration.
  The order of the sensitivities have to be coherent with the curve parameter metadata.
- dataSensitivityRho
```
ImmutableList<DoubleArray> dataSensitivityRho
```
  The sensitivity of the Rho parameters to the raw data used for calibration.
  The order of the sensitivities have to be coherent with the curve parameter metadata.
- index
```
IborIndex index
```
  The Ibor index.
  The data must valid in terms of this Ibor index.
- name
```
IborCapletFloorletVolatilitiesName name
```
  The name.
- parameters
```
SabrParameters parameters
```
  The SABR model parameters.
  Each model parameter of SABR model is a curve. The x-value of the curve is the expiry, as a year fraction.
- valuationDateTime
```
ZonedDateTime valuationDateTime
```
  The valuation date-time.
  The volatilities are calibrated for this date-time.

Class com.opengamma.strata.pricer.capfloor.ShiftedBlackIborCapletFloorletExpiryStrikeVolatilities extends Object implements Serializable

serialVersionUID:: 1L

Serialization Methods
- readResolve
```
private Object readResolve()
```
Serialized Fields
- index
```
IborIndex index
```
  The Ibor index.
  The data must valid in terms of this Ibor index.
- shiftCurve
```
Curve shiftCurve
```
  The shift parameter of shifted Black model.
  The x value of the curve is the expiry. Use BlackIborCapletFloorletExpiryStrikeVolatilities for zero shift.
- surface
```
Surface surface
```
  The Black volatility surface.
  The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the strike.
- valuationDateTime
```
ZonedDateTime valuationDateTime
```
  The valuation date-time.
  The volatilities are calibrated for this date-time.

Class com.opengamma.strata.pricer.capfloor.SurfaceIborCapletFloorletVolatilityBootstrapDefinition extends Object implements Serializable

serialVersionUID:: 1L

Serialized Fields
- dayCount
```
DayCount dayCount
```
  The day count to measure the time in the expiry dimension.
- index
```
IborIndex index
```
  The Ibor index.
- interpolator
```
GridSurfaceInterpolator interpolator
```
  The interpolator for the caplet volatilities.
- name
```
IborCapletFloorletVolatilitiesName name
```
  The name of the volatilities.
- shiftCurve
```
Curve shiftCurve
```
  The shift parameter of shifted Black model.
  The market volatilities are calibrated to shifted Black model if this field is not null.

Package com.opengamma.strata.pricer.common

Class com.opengamma.strata.pricer.common.GenericVolatilitySurfacePeriodParameterMetadata extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - label
```
String label
```
    The label that describes the node.
  - period
```
Period period
```
    The period of the surface node.
    This is the period to expiry that the node on the surface is defined as. There is not necessarily a direct relationship with a date from an underlying instrument.
  - strike
```
Strike strike
```
    The strike of the surface node.
    This is the strike that the node on the surface is defined as.
Class com.opengamma.strata.pricer.common.GenericVolatilitySurfaceYearFractionParameterMetadata extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - label
```
String label
```
    The label that describes the node.
  - strike
```
Strike strike
```
    The strike of the surface node.
    This is the strike that the node on the surface is defined as.
  - yearFraction
```
double yearFraction
```
    The year fraction of the surface node.
    This is the time to expiry that the node on the surface is defined as. There is not necessarily a direct relationship with a date from an underlying instrument.
  - yearFractionTenor
```
Tenor yearFractionTenor
```
    The tenor associated with the year fraction.

Package com.opengamma.strata.pricer.credit

Class com.opengamma.strata.pricer.credit.ConstantRecoveryRates extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - legalEntityId
```
StandardId legalEntityId
```
    The legal entity identifier.
    This identifier is used for the reference legal entity of a credit derivative.
  - recoveryRate
```
double recoveryRate
```
    The recovery rate.
    The recovery rate is represented in decimal form, and must be between 0 and 1 inclusive.
  - valuationDate
```
LocalDate valuationDate
```
    The valuation date.
Class com.opengamma.strata.pricer.credit.CreditCurveZeroRateSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - legalEntityId
```
StandardId legalEntityId
```
    The legal entity identifier.
    This identifier is used for the reference legal entity of a credit derivative.
  - zeroRateSensitivity
```
ZeroRateSensitivity zeroRateSensitivity
```
    The zero rate sensitivity.
    This stores curve currency, year fraction, sensitivity currency and sensitivity value.
Class com.opengamma.strata.pricer.credit.ImmutableCreditRatesProvider extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - creditCurves
```
ImmutableMap<Pair<StandardId,Currency>,LegalEntitySurvivalProbabilities> creditCurves
```
    The credit curves.
    The curve data, predicting the survival probability, associated with each legal entity and currency.
  - discountCurves
```
ImmutableMap<Currency,CreditDiscountFactors> discountCurves
```
    The discounting curves.
    The curve data, predicting the discount factor, associated with each currency.
  - recoveryRateCurves
```
ImmutableMap<StandardId,RecoveryRates> recoveryRateCurves
```
    The credit rate curves.
    The curve date, predicting the recovery rate, associated with each legal entity.
  - valuationDate
```
LocalDate valuationDate
```
    The valuation date.
    All curves and other data items in this provider are calibrated for this date.
Class com.opengamma.strata.pricer.credit.IsdaCreditDiscountFactors extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currency
```
Currency currency
```
    The currency that the discount factors are for.
  - curve
```
NodalCurve curve
```
    The underlying curve.
    The metadata of the curve must define a day count.
  - dayCount
```
DayCount dayCount
```
    The day count convention of the curve.
  - valuationDate
```
LocalDate valuationDate
```
    The valuation date.
Class com.opengamma.strata.pricer.credit.JumpToDefault extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - amounts
```
ImmutableMap<StandardId,Double> amounts
```
    The amounts, identified by legal entity ID.
  - currency
```
Currency currency
```
    The currency of the amounts.
Class com.opengamma.strata.pricer.credit.LegalEntitySurvivalProbabilities extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - legalEntityId
```
StandardId legalEntityId
```
    The legal entity identifier.
    This identifier is used for the reference legal entity of a credit derivative.
  - survivalProbabilities
```
CreditDiscountFactors survivalProbabilities
```
    The underlying curve.
    The metadata of the curve must define a day count.

Package com.opengamma.strata.pricer.fx

Class com.opengamma.strata.pricer.fx.DiscountFxForwardRates extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - baseCurrencyDiscountFactors
```
DiscountFactors baseCurrencyDiscountFactors
```
    The discount factors for the base currency of the currency pair.
  - counterCurrencyDiscountFactors
```
DiscountFactors counterCurrencyDiscountFactors
```
    The discount factors for the counter currency of the currency pair.
  - currencyPair
```
CurrencyPair currencyPair
```
    The currency pair that the rates are for.
  - fxRateProvider
```
FxRateProvider fxRateProvider
```
    The provider of FX rates.
Class com.opengamma.strata.pricer.fx.ForwardFxIndexRates extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - fixings
```
LocalDateDoubleTimeSeries fixings
```
    The time-series of fixings, defaulted to an empty time-series. This includes the known historical fixings and may be empty.
  - fxForwardRates
```
FxForwardRates fxForwardRates
```
    The underlying FX forward rates.
  - index
```
FxIndex index
```
    The index that the rates are for.
Class com.opengamma.strata.pricer.fx.FxForwardSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currency
```
Currency currency
```
    The currency of the sensitivity.
  - currencyPair
```
CurrencyPair currencyPair
```
    The currency pair for which the sensitivity is computed.
  - referenceCurrency
```
Currency referenceCurrency
```
    The reference currency.
    This is the base currency of the FX conversion that occurs using the currency pair. The reference currency must be one of the two currencies of the currency pair.
  - referenceDate
```
LocalDate referenceDate
```
    The date to query the rate for.
  - sensitivity
```
double sensitivity
```
    The value of the sensitivity. This is the amount that is converted from the base currency to the counter currency.
Class com.opengamma.strata.pricer.fx.FxIndexSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currency
```
Currency currency
```
    The currency of the sensitivity.
  - observation
```
FxIndexObservation observation
```
    The FX rate observation.
    This includes the index and fixing date.
  - referenceCurrency
```
Currency referenceCurrency
```
    The reference currency.
    This is the base currency of the FX conversion that occurs using the index. The reference currency must be one of the two currencies of the index.
  - sensitivity
```
double sensitivity
```
    The value of the sensitivity.

Package com.opengamma.strata.pricer.fxopt

Class com.opengamma.strata.pricer.fxopt.BlackFxOptionFlatVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - currencyPair
```
CurrencyPair currencyPair
```
    The currency pair that the volatilities are for.
  - curve
```
Curve curve
```
    The Black volatility curve.
    The x-values represent the expiry year-fraction. The metadata of the curve must define a day count.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time. All data items in this provider is calibrated for this date-time.
Class com.opengamma.strata.pricer.fxopt.BlackFxOptionSmileVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currencyPair
```
CurrencyPair currencyPair
```
    The currency pair that the volatilities are for.
  - name
```
FxOptionVolatilitiesName name
```
    The name of the volatilities.
  - smile
```
SmileDeltaTermStructure smile
```
    The volatility model.
    This represents expiry dependent smile which consists of ATM, risk reversal and strangle as used in FX market.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time. All data items in this provider is calibrated for this date-time.
Class com.opengamma.strata.pricer.fxopt.BlackFxOptionSurfaceVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - currencyPair
```
CurrencyPair currencyPair
```
    The currency pair that the volatilities are for.
  - name
```
FxOptionVolatilitiesName name
```
    The name of the volatilities.
  - surface
```
Surface surface
```
    The Black volatility surface.
    The x-values represent the expiry year-fraction. The y-values represent the strike. The metadata of the surface must define a day count.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time. All data items in this provider is calibrated for this date-time.
Class com.opengamma.strata.pricer.fxopt.FxOptionSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currency
```
Currency currency
```
    The currency of the sensitivity.
  - currencyPair
```
CurrencyPair currencyPair
```
    The currency pair for which the sensitivity is presented.
  - expiry
```
double expiry
```
    The time to expiry of the option as a year fraction.
  - forward
```
double forward
```
    The forward rate.
  - sensitivity
```
double sensitivity
```
    The value of the sensitivity.
  - strike
```
double strike
```
    The strike rate.
  - volatilitiesName
```
FxOptionVolatilitiesName volatilitiesName
```
    The name of the volatilities.
Class com.opengamma.strata.pricer.fxopt.FxOptionVolatilitiesId extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - name
```
FxOptionVolatilitiesName name
```
    The name of the volatilities.
Class com.opengamma.strata.pricer.fxopt.FxOptionVolatilitiesName extends MarketDataName<FxOptionVolatilities> implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - name
```
String name
```
    The name.
Class com.opengamma.strata.pricer.fxopt.FxVolatilitySurfaceYearFractionParameterMetadata extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currencyPair
```
CurrencyPair currencyPair
```
    The currency pair that describes the node.
  - label
```
String label
```
    The label that describes the node.
  - strike
```
Strike strike
```
    The strike of the surface node.
    This is the strike that the node on the surface is defined as.
  - yearFraction
```
double yearFraction
```
    The year fraction of the surface node.
    This is the time to expiry that the node on the surface is defined as. There is not necessarily a direct relationship with a date from an underlying instrument.
  - yearFractionTenor
```
Tenor yearFractionTenor
```
    The tenor associated with the year fraction.
Class com.opengamma.strata.pricer.fxopt.InterpolatedStrikeSmileDeltaTermStructure extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - dayCount
```
DayCount dayCount
```
    The day count convention used for the expiry.
  - strikeExtrapolatorLeft
```
CurveExtrapolator strikeExtrapolatorLeft
```
    The left extrapolator used in the strike dimension.
  - strikeExtrapolatorRight
```
CurveExtrapolator strikeExtrapolatorRight
```
    The right extrapolator used in the strike dimension.
  - strikeInterpolator
```
CurveInterpolator strikeInterpolator
```
    The interpolator used in the strike dimension.
  - timeExtrapolatorLeft
```
CurveExtrapolator timeExtrapolatorLeft
```
    The left extrapolator used in the time dimension.
  - timeExtrapolatorRight
```
CurveExtrapolator timeExtrapolatorRight
```
    The right extrapolator used in the time dimension.
  - timeInterpolator
```
CurveInterpolator timeInterpolator
```
    The interpolator used in the time dimension.
  - volatilityTerm
```
ImmutableList<SmileDeltaParameters> volatilityTerm
```
    The smile description at the different time to expiry. All item should have the same deltas.
Class com.opengamma.strata.pricer.fxopt.RecombiningTrinomialTreeData extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - discountFactor
```
DoubleArray discountFactor
```
    The discount factor.
    The i-th element is the discount factor between the i-th layer and the (i+1)-th layer.
  - stateValue
```
DoubleMatrix stateValue
```
    The state value.
    The (i,j) component of this matrix represents the underlying asset price at the j-th lowest node at the i-th time layer.
  - time
```
DoubleArray time
```
    The time.
    The i-th element is the year fraction between the 0-th time layer and the i-th layer.
  - transitionProbability
```
ImmutableList<DoubleMatrix> transitionProbability
```
    The transition probability.
    The i-th element of the list represents the transition probability values for the nodes at the i-th time layer. The matrix is (2*i+1) times 3, and its j-th row involves [0] down probability, [1] middle probability and [2] up probability for the j-th lowest node.
Class com.opengamma.strata.pricer.fxopt.SmileAndBucketedSensitivities extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - sensitivities
```
DoubleMatrix sensitivities
```
    The sensitivities.
  - smile
```
SmileDeltaParameters smile
```
    The smile.
Class com.opengamma.strata.pricer.fxopt.SmileDeltaParameters extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - delta
```
DoubleArray delta
```
    The delta of the different data points. Must be positive and sorted in ascending order. The put will have as delta the opposite of the numbers. The array is typically [0.1, 0.25]. The at-the-money value of 0.5 is not included.
  - expiry
```
double expiry
```
    The time to expiry associated with the data.
  - parameterMetadata
```
ImmutableList<ParameterMetadata> parameterMetadata
```
    The associated metadata. This will be of size (delta.size() * 2) + 1 with the put with lower delta (in absolute value) first, at-the-money and call with larger delta first.
  - volatility
```
DoubleArray volatility
```
    The volatilities associated with the strikes. This will be of size (delta.size() * 2) + 1 with the put with lower delta (in absolute value) first, at-the-money and call with larger delta first.
Class com.opengamma.strata.pricer.fxopt.VolatilityAndBucketedSensitivities extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - sensitivities
```
DoubleMatrix sensitivities
```
    The sensitivities.
  - volatility
```
double volatility
```
    The volatility.

Package com.opengamma.strata.pricer.impl.rate.model

Class com.opengamma.strata.pricer.impl.rate.model.HullWhiteOneFactorPiecewiseConstantInterestRateModel extends Object implements Serializable

serialVersionUID:

1L

Package com.opengamma.strata.pricer.impl.tree

Class com.opengamma.strata.pricer.impl.tree.ConstantContinuousSingleBarrierKnockoutFunction extends com.opengamma.strata.pricer.impl.tree.SingleBarrierKnockoutFunction implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - barrierLevel
```
double barrierLevel
```
    The constant barrier level.
  - barrierType
```
BarrierType barrierType
```
    The barrier type.
  - numberOfSteps
```
int numberOfSteps
```
    The number of time steps.
  - rebate
```
DoubleArray rebate
```
    The rebate.
    The rebate amounts for individual time layer. The size must be equal to numberOfSteps + 1
  - sign
```
double sign
```
    The sign.
    The sign is +1 for call and -1 for put.
  - strike
```
double strike
```
    The strike value.
  - timeToExpiry
```
double timeToExpiry
```
    The time to expiry.
Class com.opengamma.strata.pricer.impl.tree.EuropeanVanillaOptionFunction extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - numberOfSteps
```
int numberOfSteps
```
    The number of time steps.
  - sign
```
double sign
```
    The sign.
    The sign is +1 for call and -1 for put.
  - strike
```
double strike
```
    The strike value.
  - timeToExpiry
```
double timeToExpiry
```
    The time to expiry.

Package com.opengamma.strata.pricer.impl.volatility.smile

Class com.opengamma.strata.pricer.impl.volatility.smile.SabrFormulaData extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - parameters
```
DoubleArray parameters
```
    The model parameters.
    This must be an array of length 4. The parameters in the array are in the order of alpha, beta, rho and nu. The constraints for the parameters are defined in SabrFormulaData.isAllowed(int, double).
Class com.opengamma.strata.pricer.impl.volatility.smile.SabrHaganVolatilityFunctionProvider extends VolatilityFunctionProvider<SabrFormulaData> implements Serializable

serialVersionUID:

1L
Class com.opengamma.strata.pricer.impl.volatility.smile.SabrInArrearsVolatilityFunction extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - q
```
double q
```
    The mean reversion related parameter.
Class com.opengamma.strata.pricer.impl.volatility.smile.SsviFormulaData extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - parameters
```
DoubleArray parameters
```
    The model parameters.
    This must be an array of length 3. The parameters in the array are in the order of sigma (ATM volatility), rho and eta. The constraints for the parameters are defined in SsviFormulaData.isAllowed(int, double).
Class com.opengamma.strata.pricer.impl.volatility.smile.SsviVolatilityFunction extends VolatilityFunctionProvider<SsviFormulaData> implements Serializable

serialVersionUID:

1L

Package com.opengamma.strata.pricer.index

Class com.opengamma.strata.pricer.index.IborFutureOptionSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currency
```
Currency currency
```
    The currency of the sensitivity.
  - expiry
```
double expiry
```
    The time to expiry of the option as a year fraction.
  - fixingDate
```
LocalDate fixingDate
```
    The fixing date of the underlying future.
  - futurePrice
```
double futurePrice
```
    The underlying future price.
  - sensitivity
```
double sensitivity
```
    The value of the sensitivity.
  - strikePrice
```
double strikePrice
```
    The option strike price.
  - volatilitiesName
```
IborFutureOptionVolatilitiesName volatilitiesName
```
    The name of the volatilities.
Class com.opengamma.strata.pricer.index.IborFutureOptionVolatilitiesId extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - name
```
IborFutureOptionVolatilitiesName name
```
    The name of the volatilities.
Class com.opengamma.strata.pricer.index.IborFutureOptionVolatilitiesName extends MarketDataName<IborFutureOptionVolatilities> implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - name
```
String name
```
    The name.
Class com.opengamma.strata.pricer.index.NormalIborFutureOptionExpirySimpleMoneynessVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - index
```
IborIndex index
```
    The index of the underlying future.
  - surface
```
Surface surface
```
    The normal volatility surface.
    The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the simple moneyness.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time.
    The volatilities are calibrated for this date-time.

Package com.opengamma.strata.pricer.model

Class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParameters extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - meanReversion
```
double meanReversion
```
    The mean reversion speed parameter.
  - volatility
```
DoubleArray volatility
```
    The volatility parameters.
    The volatility is constant between the volatility times, i.e., volatility value at t is volatility.get(i) for any t between volatilityTime.get(i) and volatilityTime.get(i+1).
  - volatilityTime
```
DoubleArray volatilityTime
```
    The times separating the constant volatility periods.
    The time should be sorted by increasing order. The first time is 0 and the last time is 1000 (represents infinity). These extra times are added in HullWhiteOneFactorPiecewiseConstantParameters.of(double, DoubleArray, DoubleArray).
Class com.opengamma.strata.pricer.model.HullWhiteOneFactorPiecewiseConstantParametersProvider extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - dayCount
```
DayCount dayCount
```
    The day count applicable to the model.
  - parameters
```
HullWhiteOneFactorPiecewiseConstantParameters parameters
```
    The Hull-White model parameters.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date.
    The volatilities are calibrated for this date-time.
Class com.opengamma.strata.pricer.model.SabrInterestRateParameters extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - alphaSurface
```
Surface alphaSurface
```
    The alpha (volatility level) surface.
    The first dimension is the expiry and the second the tenor.
  - betaSurface
```
Surface betaSurface
```
    The beta (elasticity) surface.
    The first dimension is the expiry and the second the tenor.
  - nuSurface
```
Surface nuSurface
```
    The nu (volatility of volatility) surface.
    The first dimension is the expiry and the second the tenor.
  - rhoSurface
```
Surface rhoSurface
```
    The rho (correlation) surface.
    The first dimension is the expiry and the second the tenor.
  - sabrVolatilityFormula
```
SabrVolatilityFormula sabrVolatilityFormula
```
    The SABR volatility formula.
  - shiftSurface
```
Surface shiftSurface
```
    The shift parameter of shifted SABR model.
    The first dimension is the expiry and the second the tenor. The shift is set to be 0 unless specified.
Class com.opengamma.strata.pricer.model.SabrParameters extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - alphaCurve
```
Curve alphaCurve
```
    The alpha (volatility level) curve.
    The x value of the curve is the expiry.
  - betaCurve
```
Curve betaCurve
```
    The beta (elasticity) curve.
    The x value of the curve is the expiry.
  - nuCurve
```
Curve nuCurve
```
    The nu (volatility of volatility) curve.
    The x value of the curve is the expiry.
  - rhoCurve
```
Curve rhoCurve
```
    The rho (correlation) curve.
    The x value of the curve is the expiry.
  - sabrVolatilityFormula
```
SabrVolatilityFormula sabrVolatilityFormula
```
    The SABR volatility formula.
  - shiftCurve
```
Curve shiftCurve
```
    The shift parameter of shifted SABR model.
    The x value of the curve is the expiry. The shift is set to be 0 unless specified.

Package com.opengamma.strata.pricer.option

Class com.opengamma.strata.pricer.option.RawOptionData extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - data
```
DoubleMatrix data
```
    The data. The values can be model parameters (like Black or normal volatilities) or direct option prices. The first (outer) dimension is the expiry, the second dimension is the strike. A 'NaN' value indicates that the data is not available.
  - dataType
```
ValueType dataType
```
    The type of the raw data.
  - error
```
DoubleMatrix error
```
    The measurement error of the option data.
    These will be used if the option data is calibrated by a least square method. data and error must have the same number of elements.
  - expiries
```
ImmutableList<Period> expiries
```
    The expiry values.
  - shift
```
Double shift
```
    The shift for which the raw data is valid. Used only if the dataType is 'BlackVolatility'.
  - strikes
```
DoubleArray strikes
```
    The strike values. Can be directly strike or moneyness (simple or log)
  - strikeType
```
ValueType strikeType
```
    The value type of the strike-like dimension.
Class com.opengamma.strata.pricer.option.TenorRawOptionData extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - data
```
ImmutableSortedMap<Tenor,RawOptionData> data
```
    The map of tenor to option data.

Package com.opengamma.strata.pricer.rate

Class com.opengamma.strata.pricer.rate.DiscountIborIndexRates extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - discountFactors
```
DiscountFactors discountFactors
```
    The underlying discount factor curve.
  - fixings
```
LocalDateDoubleTimeSeries fixings
```
    The time-series of fixings, defaulted to an empty time-series. This includes the known historical fixings and may be empty.
  - index
```
IborIndex index
```
    The index that the rates are for.
Class com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - discountFactors
```
DiscountFactors discountFactors
```
    The underlying discount factor curve.
  - fixings
```
LocalDateDoubleTimeSeries fixings
```
    The time-series of fixings, defaulted to an empty time-series. This includes the known historical fixings and may be empty.
  - index
```
OvernightIndex index
```
    The index that the rates are for.
Class com.opengamma.strata.pricer.rate.HistoricIborIndexRates extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - fixings
```
LocalDateDoubleTimeSeries fixings
```
    The time-series of fixings, defaulted to an empty time-series. This includes the known historical fixings and may be empty.
  - index
```
IborIndex index
```
    The index that the rates are for.
  - valuationDate
```
LocalDate valuationDate
```
    The valuation date.
Class com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - fixings
```
LocalDateDoubleTimeSeries fixings
```
    The time-series of fixings, defaulted to an empty time-series. This includes the known historical fixings and may be empty.
  - index
```
OvernightIndex index
```
    The index that the rates are for.
  - valuationDate
```
LocalDate valuationDate
```
    The valuation date.
Class com.opengamma.strata.pricer.rate.HistoricPriceIndexValues extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - fixings
```
LocalDateDoubleTimeSeries fixings
```
    The monthly time-series of fixings. This includes the known historical fixings and must not be empty.
    Only one value is stored per month. The value is stored in the time-series on the last date of each month (which may be a non-working day).
  - index
```
PriceIndex index
```
    The index that the values are for.
  - valuationDate
```
LocalDate valuationDate
```
    The valuation date.
Class com.opengamma.strata.pricer.rate.IborRateSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currency
```
Currency currency
```
    The currency of the sensitivity.
  - observation
```
IborIndexObservation observation
```
    The Ibor index observation.
    This includes the index and fixing date.
  - sensitivity
```
double sensitivity
```
    The value of the sensitivity.
Class com.opengamma.strata.pricer.rate.ImmutableRatesProvider extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - discountCurves
```
ImmutableMap<Currency,Curve> discountCurves
```
    The discount curves, defaulted to an empty map. The curve data, predicting the future, associated with each currency.
  - fxRateProvider
```
FxRateProvider fxRateProvider
```
    The provider of foreign exchange rates. Conversions where both currencies are the same always succeed.
  - indexCurves
```
ImmutableMap<Index,Curve> indexCurves
```
    The forward curves, defaulted to an empty map. The curve data, predicting the future, associated with each index. This is used for Ibor, Overnight and Price indices.
  - timeSeries
```
ImmutableMap<Index,LocalDateDoubleTimeSeries> timeSeries
```
    The time-series, defaulted to an empty map. The historic data associated with each index.
  - valuationDate
```
LocalDate valuationDate
```
    The valuation date. All curves and other data items in this provider are calibrated for this date.
Class com.opengamma.strata.pricer.rate.InflationRateSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currency
```
Currency currency
```
    The currency of the sensitivity.
  - observation
```
PriceIndexObservation observation
```
    The Price index observation.
    This includes the index and fixing month.
  - sensitivity
```
double sensitivity
```
    The value of the sensitivity.
Class com.opengamma.strata.pricer.rate.OvernightRateSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currency
```
Currency currency
```
    The currency of the sensitivity.
  - endDate
```
LocalDate endDate
```
    The end date of the period. This must be after the fixing date. It may be the maturity date implied by the fixing date, but it may also be later.
  - observation
```
OvernightIndexObservation observation
```
    The Overnight rate observation.
    This includes the index and fixing date.
  - sensitivity
```
double sensitivity
```
    The value of the sensitivity.
Class com.opengamma.strata.pricer.rate.SimpleIborIndexRates extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - curve
```
Curve curve
```
    The underlying forward curve.
  - fixings
```
LocalDateDoubleTimeSeries fixings
```
    The time-series of fixings, defaulted to an empty time-series. This includes the known historical fixings and may be empty.
  - index
```
IborIndex index
```
    The index that the rates are for.
  - valuationDate
```
LocalDate valuationDate
```
    The valuation date.
Class com.opengamma.strata.pricer.rate.SimplePriceIndexValues extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - curve
```
Curve curve
```
    The underlying curve. Each x-value on the curve is the number of months between the valuation month and the estimation month. For example, zero represents the valuation month, one the next month and so on.
  - fixings
```
LocalDateDoubleTimeSeries fixings
```
    The monthly time-series of fixings. This includes the known historical fixings and must not be empty.
    Only one value is stored per month. The value is stored in the time-series on the last date of each month (which may be a non-working day).
  - index
```
PriceIndex index
```
    The index that the values are for.
  - valuationDate
```
LocalDate valuationDate
```
    The valuation date.

Package com.opengamma.strata.pricer.swaption

Class com.opengamma.strata.pricer.swaption.BlackSwaptionExpiryTenorVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - convention
```
FixedFloatSwapConvention convention
```
    The swap convention that the volatilities are to be used for.
  - surface
```
Surface surface
```
    The Black volatility surface.
    The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the swap tenor, as a year fraction rounded to the month.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time.
    The volatilities are calibrated for this date-time.
Class com.opengamma.strata.pricer.swaption.NormalSwaptionExpirySimpleMoneynessVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - convention
```
FixedFloatSwapConvention convention
```
    The swap convention that the volatilities are to be used for.
  - surface
```
Surface surface
```
    The normal volatility surface.
    The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the simple moneyness, i.e. strike - forward, as a rate.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time.
    The volatilities are calibrated for this date-time.
Class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryStrikeVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - convention
```
FixedFloatSwapConvention convention
```
    The swap convention that the volatilities are to be used for.
  - surface
```
Surface surface
```
    The normal volatility surface.
    The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the strike, as a rate.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time.
    The volatilities are calibrated for this date-time.
Class com.opengamma.strata.pricer.swaption.NormalSwaptionExpiryTenorVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - convention
```
FixedFloatSwapConvention convention
```
    The swap convention that the volatilities are to be used for.
  - surface
```
Surface surface
```
    The normal volatility surface.
    The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the swap tenor, as a year fraction rounded to the month.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time.
    The volatilities are calibrated for this date-time.
Class com.opengamma.strata.pricer.swaption.SabrParametersSwaptionVolatilities extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - convention
```
FixedFloatSwapConvention convention
```
    The swap convention that the volatilities are to be used for.
  - dataSensitivityAlpha
```
ImmutableList<DoubleArray> dataSensitivityAlpha
```
    The sensitivity of the Alpha parameters to the raw data used for calibration.
    The order of the sensitivities have to be coherent with the surface parameter metadata.
  - dataSensitivityBeta
```
ImmutableList<DoubleArray> dataSensitivityBeta
```
    The sensitivity of the Beta parameters to the raw data used for calibration.
    The order of the sensitivities have to be coherent with the surface parameter metadata.
  - dataSensitivityNu
```
ImmutableList<DoubleArray> dataSensitivityNu
```
    The sensitivity of the Nu parameters to the raw data used for calibration.
    The order of the sensitivities have to be coherent with the surface parameter metadata.
  - dataSensitivityRho
```
ImmutableList<DoubleArray> dataSensitivityRho
```
    The sensitivity of the Rho parameters to the raw data used for calibration.
    The order of the sensitivities have to be coherent with the surface parameter metadata.
  - name
```
SwaptionVolatilitiesName name
```
    The name.
  - parameters
```
SabrInterestRateParameters parameters
```
    The SABR model parameters.
    Each model parameter of SABR model is a surface. The x-value of the surface is the expiry, as a year fraction. The y-value of the surface is the swap tenor, as a year fraction rounded to the month.
  - valuationDateTime
```
ZonedDateTime valuationDateTime
```
    The valuation date-time.
    The volatilities are calibrated for this date-time.
Class com.opengamma.strata.pricer.swaption.SabrSwaptionDefinition extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - convention
```
FixedFloatSwapConvention convention
```
    The swap convention that the volatilities are to be used for.
  - dayCount
```
DayCount dayCount
```
    The day count to use.
  - interpolator
```
SurfaceInterpolator interpolator
```
    The interpolator for the alpha, rho and nu surfaces.
  - name
```
SwaptionVolatilitiesName name
```
    The name of the volatilities.
Class com.opengamma.strata.pricer.swaption.SwaptionSabrSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currency
```
Currency currency
```
    The currency of the sensitivity.
  - expiry
```
double expiry
```
    The time to expiry of the option as a year fraction.
  - sensitivity
```
double sensitivity
```
    The value of the sensitivity.
  - sensitivityType
```
SabrParameterType sensitivityType
```
    The type of the sensitivity.
  - tenor
```
double tenor
```
    The underlying swap tenor.
  - volatilitiesName
```
SwaptionVolatilitiesName volatilitiesName
```
    The name of the volatilities.
Class com.opengamma.strata.pricer.swaption.SwaptionSensitivity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currency
```
Currency currency
```
    The currency of the sensitivity.
  - expiry
```
double expiry
```
    The time to expiry of the option as a year fraction.
  - forward
```
double forward
```
    The underlying swap forward rate.
  - sensitivity
```
double sensitivity
```
    The value of the sensitivity.
  - strike
```
double strike
```
    The swaption strike rate.
  - tenor
```
double tenor
```
    The underlying swap tenor.
  - volatilitiesName
```
SwaptionVolatilitiesName volatilitiesName
```
    The name of the volatilities.
Class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpirySimpleMoneynessParameterMetadata extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - label
```
String label
```
    The label that describes the node.
  - simpleMoneyness
```
double simpleMoneyness
```
    The simple moneyness of the surface node.
    This is defined as strike - forward.
  - yearFraction
```
double yearFraction
```
    The year fraction of the surface node.
    This is the time to expiry that the node on the surface is defined as. There is not necessarily a direct relationship with a date from an underlying instrument.
Class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryStrikeParameterMetadata extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - label
```
String label
```
    The label that describes the node.
  - strike
```
double strike
```
    The strike of the surface node.
  - yearFraction
```
double yearFraction
```
    The year fraction of the surface node.
    This is the time to expiry that the node on the surface is defined as. There is not necessarily a direct relationship with a date from an underlying instrument.
Class com.opengamma.strata.pricer.swaption.SwaptionSurfaceExpiryTenorParameterMetadata extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - label
```
String label
```
    The label that describes the node.
  - tenor
```
double tenor
```
    The tenor of the surface node.
    This is the tenor of the underlying swap that the node on the surface is defined as.
  - yearFraction
```
double yearFraction
```
    The year fraction of the surface node.
    This is the time to expiry that the node on the surface is defined as. There is not necessarily a direct relationship with a date from an underlying instrument.
Class com.opengamma.strata.pricer.swaption.SwaptionVolatilitiesId extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - name
```
SwaptionVolatilitiesName name
```
    The name of the volatilities.
Class com.opengamma.strata.pricer.swaption.SwaptionVolatilitiesName extends MarketDataName<SwaptionVolatilities> implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - name
```
String name
```
    The name.

Package com.opengamma.strata.product

Class com.opengamma.strata.product.AttributeType extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - name
```
String name
```
    The name.
Class com.opengamma.strata.product.GenericSecurity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
SecurityInfo info
```
    The standard security information.
    This includes the security identifier.
Class com.opengamma.strata.product.GenericSecurityPosition extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PositionInfo info
```
    The additional position information, defaulted to an empty instance.
    This allows additional information to be attached to the position.
  - longQuantity
```
double longQuantity
```
    The long quantity of the security.
    This is the quantity of the underlying security that is held. The quantity cannot be negative, as that would imply short selling.
  - security
```
GenericSecurity security
```
    The underlying security.
  - shortQuantity
```
double shortQuantity
```
    The short quantity of the security.
    This is the quantity of the underlying security that has been short sold. The quantity cannot be negative, as that would imply the position is long.
Class com.opengamma.strata.product.GenericSecurityTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - price
```
double price
```
    The price that was traded, in decimal form.
    This is the price agreed when the trade occurred.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This is the number of contracts that were traded. This will be positive if buying and negative if selling.
  - security
```
GenericSecurity security
```
    The security that was traded.
Class com.opengamma.strata.product.LegalEntityId extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - standardId
```
StandardId standardId
```
    The identifier, expressed as a standard two-part identifier.
Class com.opengamma.strata.product.PortfolioItemSummary extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currencies
```
ImmutableSet<Currency> currencies
```
    The currencies of the item.
    This should include the primary currencies the item is based on, not just the payment currencies.
  - description
```
String description
```
    The description of the item.
  - id
```
StandardId id
```
    The identifier of the item, optional.
  - portfolioItemType
```
PortfolioItemType portfolioItemType
```
    The type of the item.
  - productType
```
ProductType productType
```
    The type of the product.
Class com.opengamma.strata.product.PositionInfo extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - attributes
```
ImmutableMap<AttributeType<?>,Object> attributes
```
    The position attributes.
    Position attributes provide the ability to associate arbitrary information in a key-value map.
  - id
```
StandardId id
```
    The primary identifier for the position, optional.
    The identifier is used to identify the position. It will typically be an identifier in an external data system.
    A position may have multiple active identifiers. Any identifier may be chosen here. Certain uses of the identifier, such as storage in a database, require that the identifier does not change over time, and this should be considered best practice.
Class com.opengamma.strata.product.ProductType extends TypedString<ProductType> implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - description
```
String description
```
    The description.
Class com.opengamma.strata.product.SecurityId extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - standardId
```
StandardId standardId
```
    The identifier, expressed as a standard two-part identifier.
Class com.opengamma.strata.product.SecurityInfo extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - attributes
```
ImmutableMap<AttributeType<?>,Object> attributes
```
    The security attributes.
    Security attributes provide the ability to associate arbitrary information in a key-value map.
  - id
```
SecurityId id
```
    The security identifier.
    This identifier uniquely identifies the security within the system. It is the key used to lookup the security in ReferenceData.
    A real-world security will typically have multiple identifiers. The only restriction placed on the identifier is that it is sufficiently unique for the reference data lookup. As such, it is acceptable to use an identifier from a well-known global or vendor symbology.
  - priceInfo
```
SecurityPriceInfo priceInfo
```
    The information about the security price.
    This provides information about the security price. This can be used to convert the price into a monetary value.
Class com.opengamma.strata.product.SecurityPosition extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PositionInfo info
```
    The additional position information, defaulted to an empty instance.
    This allows additional information to be attached to the position.
  - longQuantity
```
double longQuantity
```
    The long quantity of the security.
    This is the quantity of the underlying security that is held. The quantity cannot be negative, as that would imply short selling.
  - securityId
```
SecurityId securityId
```
    The identifier of the underlying security.
    This identifier uniquely identifies the security within the system.
  - shortQuantity
```
double shortQuantity
```
    The quantity that was traded.
    This is the quantity of the underlying security that has been short sold. The quantity cannot be negative, as that would imply the position is long.
Class com.opengamma.strata.product.SecurityPriceInfo extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - contractSize
```
double contractSize
```
    The size of each contract.
    Contract size is the quantity of the underlying present in each derivative contract. For example, an equity option typically consists of 100 shares.
  - tickSize
```
double tickSize
```
    The size of each tick.
    Tick size is the minimum movement in the price of the security. For example, the price might move up or down in units of 0.01 It must be a positive decimal number.
  - tickValue
```
CurrencyAmount tickValue
```
    The monetary value of one tick.
    Tick value is the monetary value of the minimum movement in the price of the security. When the price changes by one tick, this amount is gained or lost.
Class com.opengamma.strata.product.SecurityTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - price
```
double price
```
    The price agreed when the trade occurred.
    This is the price agreed when the trade occurred.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This will be positive if buying and negative if selling.
  - securityId
```
SecurityId securityId
```
    The identifier of the security that was traded.
    This identifier uniquely identifies the security within the system.
Class com.opengamma.strata.product.SimpleAttributes extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - attributes
```
ImmutableMap<AttributeType<?>,Object> attributes
```
    The attributes.
    Attributes provide the ability to associate arbitrary information in a key-value map.
Class com.opengamma.strata.product.SimpleLegalEntity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - country
```
Country country
```
    The country that the legal entity is based in.
  - legalEntityId
```
LegalEntityId legalEntityId
```
    The legal entity identifier.
  - name
```
String name
```
    The legal entity name.
Class com.opengamma.strata.product.TradedPrice extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - price
```
double price
```
    The price at which the trade was agreed.
    See the security type for more details on the meaning of the price.
  - tradeDate
```
LocalDate tradeDate
```
    The trade date.
    The date that the trade occurred.
Class com.opengamma.strata.product.TradeInfo extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - attributes
```
ImmutableMap<AttributeType<?>,Object> attributes
```
    The trade attributes.
    Trade attributes provide the ability to associate arbitrary information in a key-value map.
  - counterparty
```
StandardId counterparty
```
    The counterparty identifier, optional.
    An identifier used to specify the counterparty of the trade.
  - id
```
StandardId id
```
    The primary identifier for the trade, optional.
    The identifier is used to identify the trade. It will typically be an identifier in an external data system.
    A trade may have multiple active identifiers. Any identifier may be chosen here. Certain uses of the identifier, such as storage in a database, require that the identifier does not change over time, and this should be considered best practice.
  - settlementDate
```
LocalDate settlementDate
```
    The settlement date, optional.
  - tradeDate
```
LocalDate tradeDate
```
    The trade date, optional.
  - tradeTime
```
LocalTime tradeTime
```
    The trade time, optional.
  - zone
```
ZoneId zone
```
    The trade time-zone, optional.

Package com.opengamma.strata.product.bond

Class com.opengamma.strata.product.bond.Bill extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - dayCount
```
DayCount dayCount
```
    The day count convention applicable.
    The conversion from dates to a numerical value is made based on this day count.
  - legalEntityId
```
LegalEntityId legalEntityId
```
    The legal entity identifier.
    This identifier is used for the legal entity that issues the bill.
  - notional
```
AdjustablePayment notional
```
    The adjustable notional payment of the bill notional, the amount must be positive.
  - securityId
```
SecurityId securityId
```
    The security identifier.
    This identifier uniquely identifies the security within the system.
  - settlementDateOffset
```
DaysAdjustment settlementDateOffset
```
    The number of days between valuation date and settlement date.
    It is usually one business day for US and UK bills and two days for Euroland government bills.
  - yieldConvention
```
BillYieldConvention yieldConvention
```
    Yield convention.
    The convention defines how to convert from yield to price and inversely.
Class com.opengamma.strata.product.bond.BillPosition extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PositionInfo info
```
    The additional position information, defaulted to an empty instance.
    This allows additional information to be attached to the position.
  - longQuantity
```
double longQuantity
```
    The long quantity of the security.
    This is the quantity of the underlying security that is held. The quantity cannot be negative, as that would imply short selling.
  - product
```
Bill product
```
    The bill that was traded.
    The product captures the contracted financial details.
  - shortQuantity
```
double shortQuantity
```
    The short quantity of the security.
    This is the quantity of the underlying security that has been short sold. The quantity cannot be negative, as that would imply the position is long.
Class com.opengamma.strata.product.bond.BillSecurity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - dayCount
```
DayCount dayCount
```
    The day count convention applicable.
    The conversion from dates to a numerical value is made based on this day count.
  - info
```
SecurityInfo info
```
    The standard security information.
    This includes the security identifier.
  - legalEntityId
```
LegalEntityId legalEntityId
```
    The legal entity identifier.
    This identifier is used for the legal entity that issues the bill.
  - notional
```
AdjustablePayment notional
```
    The adjustable notional payment of the bill notional, the amount must be positive.
  - settlementDateOffset
```
DaysAdjustment settlementDateOffset
```
    The number of days between valuation date and settlement date.
    It is usually one business day for US and UK bills and two days for Euroland government bills.
  - yieldConvention
```
BillYieldConvention yieldConvention
```
    Yield convention.
    The convention defines how to convert from yield to price and inversely.
Class com.opengamma.strata.product.bond.BillTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - price
```
double price
```
    The price at which the bill was traded, in decimal form.
  - product
```
Bill product
```
    The bill that was traded.
    The product captures the contracted financial details of the trade.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This will be positive if buying and negative if selling.
Class com.opengamma.strata.product.bond.BondFuture extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - conversionFactors
```
ImmutableList<Double> conversionFactors
```
    The conversion factor for each bond in the basket.
    The price of each underlying security in the basket is rescaled by the conversion factor. This must not be empty, and its size must be the same as the size of deliveryBasket.
    All of the underlying bonds must have the same notional and currency.
  - deliveryBasket
```
ImmutableList<FixedCouponBond> deliveryBasket
```
    The basket of deliverable bonds.
    The underling which will be delivered in the future time is chosen from a basket of underling securities. This must not be empty.
    All of the underlying bonds must have the same notional and currency.
  - firstDeliveryDate
```
LocalDate firstDeliveryDate
```
    The first delivery date.
    The first date on which the underlying is delivered.
    If not specified, the date will be computed from firstNoticeDate by using settlementDateOffset in the first element of the delivery basket when the future is resolved.
  - firstNoticeDate
```
LocalDate firstNoticeDate
```
    The first notice date.
    The first date on which the delivery of the underlying is authorized.
  - lastDeliveryDate
```
LocalDate lastDeliveryDate
```
    The last delivery date.
    The last date on which the underlying is delivered.
    If not specified, the date will be computed from lastNoticeDate by using settlementDateOffset in the first element of the delivery basket when the future is resolved.
  - lastNoticeDate
```
LocalDate lastNoticeDate
```
    The last notice date.
    The last date on which the delivery of the underlying is authorized.
  - lastTradeDate
```
LocalDate lastTradeDate
```
    The last trading date.
    The future security is traded until this date.
  - rounding
```
Rounding rounding
```
    The definition of how to round the futures price, defaulted to no rounding.
    The price is represented in decimal form, not percentage form. As such, the decimal places expressed by the rounding refers to this decimal form. For example, the common market price of 99.7125 for a 0.2875% rate is represented as 0.997125 which has 6 decimal places.
  - securityId
```
SecurityId securityId
```
    The security identifier.
    This identifier uniquely identifies the security within the system.
Class com.opengamma.strata.product.bond.BondFutureOption extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - expiryDate
```
LocalDate expiryDate
```
    The expiry date of the option.
    The expiry date is related to the expiry time and time-zone. The date must not be after last trade date of the underlying future.
  - expiryTime
```
LocalTime expiryTime
```
    The expiry time of the option.
    The expiry time is related to the expiry date and time-zone.
  - expiryZone
```
ZoneId expiryZone
```
    The time-zone of the expiry time.
    The expiry time-zone is related to the expiry date and time.
  - premiumStyle
```
FutureOptionPremiumStyle premiumStyle
```
    The style of the option premium.
    The two options are daily margining and upfront premium.
  - putCall
```
PutCall putCall
```
    Whether the option is put or call.
    A call gives the owner the right, but not obligation, to buy the underlying at an agreed price in the future. A put gives a similar option to sell.
  - rounding
```
Rounding rounding
```
    The definition of how to round the option price, defaulted to no rounding.
    The price is represented in decimal form, not percentage form. As such, the decimal places expressed by the rounding refers to this decimal form. For example, the common market price of 99.7125 is represented as 0.997125 which has 6 decimal places.
  - securityId
```
SecurityId securityId
```
    The security identifier.
    This identifier uniquely identifies the security within the system.
  - strikePrice
```
double strikePrice
```
    The strike price, represented in decimal form.
    This is the price at which the option applies and refers to the price of the underlying future. This must be represented in decimal form, (1.0 - decimalRate). As such, the common market price of 99.3 for a 0.7% rate must be input as 0.993. The rate implied by the strike can take negative values.
  - underlyingFuture
```
BondFuture underlyingFuture
```
    The underlying future.
Class com.opengamma.strata.product.bond.BondFutureOptionPosition extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PositionInfo info
```
    The additional position information, defaulted to an empty instance.
    This allows additional information to be attached to the position.
  - longQuantity
```
double longQuantity
```
    The long quantity of the security.
    This is the quantity of the underlying security that is held. The quantity cannot be negative, as that would imply short selling.
  - product
```
BondFutureOption product
```
    The option that was traded.
    The product captures the contracted financial details.
  - shortQuantity
```
double shortQuantity
```
    The short quantity of the security.
    This is the quantity of the underlying security that has been short sold. The quantity cannot be negative, as that would imply the position is long.
Class com.opengamma.strata.product.bond.BondFutureOptionSecurity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currency
```
Currency currency
```
    The currency that the future is traded in.
  - expiryDate
```
LocalDate expiryDate
```
    The expiry date of the option.
    The expiry date is related to the expiry time and time-zone. The date must not be after last trade date of the underlying future.
  - expiryTime
```
LocalTime expiryTime
```
    The expiry time of the option.
    The expiry time is related to the expiry date and time-zone.
  - expiryZone
```
ZoneId expiryZone
```
    The time-zone of the expiry time.
    The expiry time-zone is related to the expiry date and time.
  - info
```
SecurityInfo info
```
    The standard security information.
    This includes the security identifier.
  - premiumStyle
```
FutureOptionPremiumStyle premiumStyle
```
    The style of the option premium.
    The two options are daily margining and upfront premium.
  - putCall
```
PutCall putCall
```
    Whether the option is put or call.
    A call gives the owner the right, but not obligation, to buy the underlying at an agreed price in the future. A put gives a similar option to sell.
  - rounding
```
Rounding rounding
```
    The definition of how to round the option price, defaulted to no rounding.
    The price is represented in decimal form, not percentage form. As such, the decimal places expressed by the rounding refers to this decimal form. For example, the common market price of 99.7125 is represented as 0.997125 which has 6 decimal places.
  - strikePrice
```
double strikePrice
```
    The strike price, represented in decimal form.
    This is the price at which the option applies and refers to the price of the underlying future. This must be represented in decimal form, (1.0 - decimalRate). As such, the common market price of 99.3 for a 0.7% rate must be input as 0.993. The rate implied by the strike can take negative values.
  - underlyingFutureId
```
SecurityId underlyingFutureId
```
    The identifier of the underlying future.
Class com.opengamma.strata.product.bond.BondFutureOptionTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade. The trade date is required when calling BondFutureOptionTrade.resolve(ReferenceData).
  - price
```
double price
```
    The price that was traded, in decimal form.
    This is the price agreed when the trade occurred.
  - product
```
BondFutureOption product
```
    The option that was traded.
    The product captures the contracted financial details of the trade.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This is the number of contracts that were traded. This will be positive if buying and negative if selling.
Class com.opengamma.strata.product.bond.BondFuturePosition extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PositionInfo info
```
    The additional position information, defaulted to an empty instance.
    This allows additional information to be attached to the position.
  - longQuantity
```
double longQuantity
```
    The long quantity of the security.
    This is the quantity of the underlying security that is held. The quantity cannot be negative, as that would imply short selling.
  - product
```
BondFuture product
```
    The future that was traded.
    The product captures the contracted financial details.
  - shortQuantity
```
double shortQuantity
```
    The short quantity of the security.
    This is the quantity of the underlying security that has been short sold. The quantity cannot be negative, as that would imply the position is long.
Class com.opengamma.strata.product.bond.BondFutureSecurity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - conversionFactors
```
ImmutableList<Double> conversionFactors
```
    The conversion factor for each bond in the basket.
    The price of each underlying security in the basket is rescaled by the conversion factor. This must not be empty, and its size must be the same as the size of deliveryBasketIds.
    All of the underlying bonds must have the same notional and currency.
  - currency
```
Currency currency
```
    The currency that the future is traded in.
  - deliveryBasketIds
```
ImmutableList<SecurityId> deliveryBasketIds
```
    The basket of deliverable bonds.
    The underlying which will be delivered in the future time is chosen from a basket of underling securities. This must not be empty.
    All of the underlying bonds must have the same notional and currency.
  - firstDeliveryDate
```
LocalDate firstDeliveryDate
```
    The first delivery date.
    The first date on which the underlying is delivered.
    If not specified, the date will be computed from firstNoticeDate by using settlementDateOffset in the first element of the delivery basket when the future is resolved.
  - firstNoticeDate
```
LocalDate firstNoticeDate
```
    The first notice date.
    The first date on which the delivery of the underlying is authorized.
  - info
```
SecurityInfo info
```
    The standard security information.
    This includes the security identifier.
  - lastDeliveryDate
```
LocalDate lastDeliveryDate
```
    The last delivery date.
    The last date on which the underlying is delivered.
    If not specified, the date will be computed from lastNoticeDate by using settlementDateOffset in the first element of the delivery basket when the future is resolved.
  - lastNoticeDate
```
LocalDate lastNoticeDate
```
    The last notice date.
    The last date on which the delivery of the underlying is authorized.
  - lastTradeDate
```
LocalDate lastTradeDate
```
    The last trading date.
    The future security is traded until this date.
  - rounding
```
Rounding rounding
```
    The definition of how to round the futures price, defaulted to no rounding.
    The price is represented in decimal form, not percentage form. As such, the decimal places expressed by the rounding refers to this decimal form. For example, the common market price of 99.7125 for a 0.2875% rate is represented as 0.997125 which has 6 decimal places.
Class com.opengamma.strata.product.bond.BondFutureTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade. The trade date is required when calling BondFutureTrade.resolve(ReferenceData).
  - price
```
double price
```
    The price that was traded, in decimal form.
    This is the price agreed when the trade occurred.
  - product
```
BondFuture product
```
    The future that was traded.
    The product captures the contracted financial details of the trade.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This is the number of contracts that were traded. This will be positive if buying and negative if selling.
Class com.opengamma.strata.product.bond.CapitalIndexedBond extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualSchedule
```
PeriodicSchedule accrualSchedule
```
    The accrual schedule.
    This is used to define the accrual periods. These are used directly or indirectly to determine other dates in the product.
  - currency
```
Currency currency
```
    The currency that the bond is traded in.
  - dayCount
```
DayCount dayCount
```
    The day count convention applicable.
    The conversion from dates to a numerical value is made based on this day count. For the inflation-indexed bond, the day count convention is used to compute accrued interest.
    Note that the year fraction of a coupon payment is computed based on the unadjusted dates in the schedule.
  - exCouponPeriod
```
DaysAdjustment exCouponPeriod
```
    Ex-coupon period.
    Some bonds trade ex-coupons before the coupon payment. The coupon is paid not to the owner of the bond on the payment date but to the owner of the bond on the detachment date. The difference between the two is the ex-coupon period (measured in days).
    Because the detachment date is not after the coupon date, the number of days stored in this field should be zero or negative.
  - legalEntityId
```
LegalEntityId legalEntityId
```
    The legal entity identifier.
    This identifier is used for the legal entity that issues the bond.
  - notional
```
double notional
```
    The notional amount, must be positive.
    The notional expressed here must be positive. The currency of the notional is specified by currency.
  - rateCalculation
```
InflationRateCalculation rateCalculation
```
    The inflation rate calculation.
    The reference index is interpolated index or monthly index. Real coupons are represented by gearing in the calculation. The price index value at the start of the bond is represented by firstIndexValue in the calculation.
  - securityId
```
SecurityId securityId
```
    The security identifier.
    This identifier uniquely identifies the security within the system.
  - settlementDateOffset
```
DaysAdjustment settlementDateOffset
```
    The number of days between valuation date and settlement date.
    This is used to compute clean price. The clean price is the relative price to be paid at the standard settlement date in exchange for the bond.
  - yieldConvention
```
CapitalIndexedBondYieldConvention yieldConvention
```
    Yield convention.
    The convention defines how to convert from yield to price and inversely.
Class com.opengamma.strata.product.bond.CapitalIndexedBondPaymentPeriod extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currency
```
Currency currency
```
    The primary currency of the payment period.
    The amounts of the notional are usually expressed in terms of this currency, however they can be converted from amounts in a different currency.
  - detachmentDate
```
LocalDate detachmentDate
```
    The detachment date.
    Some bonds trade ex-coupon before the coupon payment. The coupon is paid not to the owner of the bond on the payment date but to the owner of the bond on the detachment date.
    When building, this will default to the end date if not specified.
  - endDate
```
LocalDate endDate
```
    The end date of the payment period.
    This is the last date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - notional
```
double notional
```
    The notional amount, must be non-zero.
    The notional amount applicable during the period. The currency of the notional is specified by currency.
  - rateComputation
```
RateComputation rateComputation
```
    The rate to be computed.
    The value of the period is based on this rate. This must be an inflation rate observation, specifically InflationEndInterpolatedRateComputation or InflationEndMonthRateComputation.
  - realCoupon
```
double realCoupon
```
    The rate of real coupon.
    The real coupon is the rate before taking the inflation into account. For example, a real coupon of c for semi-annual payments is c/2.
  - startDate
```
LocalDate startDate
```
    The start date of the payment period.
    This is the first date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - unadjustedEndDate
```
LocalDate unadjustedEndDate
```
    The unadjusted end date.
    The end date before any business day adjustment is applied.
    When building, this will default to the end date if not specified.
  - unadjustedStartDate
```
LocalDate unadjustedStartDate
```
    The unadjusted start date.
    The start date before any business day adjustment is applied.
    When building, this will default to the start date if not specified.
Class com.opengamma.strata.product.bond.CapitalIndexedBondPosition extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PositionInfo info
```
    The additional position information, defaulted to an empty instance.
    This allows additional information to be attached to the position.
  - longQuantity
```
double longQuantity
```
    The long quantity of the security.
    This is the quantity of the underlying security that is held. The quantity cannot be negative, as that would imply short selling.
  - product
```
CapitalIndexedBond product
```
    The bond that was traded.
    The product captures the contracted financial details.
  - shortQuantity
```
double shortQuantity
```
    The short quantity of the security.
    This is the quantity of the underlying security that has been short sold. The quantity cannot be negative, as that would imply the position is long.
Class com.opengamma.strata.product.bond.CapitalIndexedBondSecurity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualSchedule
```
PeriodicSchedule accrualSchedule
```
    The accrual schedule.
    This is used to define the accrual periods. These are used directly or indirectly to determine other dates in the product.
  - currency
```
Currency currency
```
    The currency that the bond is traded in.
  - dayCount
```
DayCount dayCount
```
    The day count convention applicable.
    The conversion from dates to a numerical value is made based on this day count. For the inflation-indexed bond, the day count convention is used to compute accrued interest.
    Note that the year fraction of a coupon payment is computed based on the unadjusted dates in the schedule.
  - exCouponPeriod
```
DaysAdjustment exCouponPeriod
```
    Ex-coupon period.
    Some bonds trade ex-coupons before the coupon payment. The coupon is paid not to the owner of the bond on the payment date but to the owner of the bond on the detachment date. The difference between the two is the ex-coupon period (measured in days).
    Because the detachment date is not after the coupon date, the number of days stored in this field should be zero or negative.
  - info
```
SecurityInfo info
```
    The standard security information.
    This includes the security identifier.
  - legalEntityId
```
LegalEntityId legalEntityId
```
    The legal entity identifier.
    This identifier is used for the legal entity that issues the bond.
  - notional
```
double notional
```
    The notional amount, must be positive.
    The notional expressed here must be positive. The currency of the notional is specified by currency.
  - rateCalculation
```
InflationRateCalculation rateCalculation
```
    The inflation rate calculation.
    The reference index is interpolated index or monthly index. Real coupons are represented by gearing in the calculation. The price index value at the start of the bond is represented by firstIndexValue in the calculation.
  - settlementDateOffset
```
DaysAdjustment settlementDateOffset
```
    The number of days between valuation date and settlement date.
    This is used to compute clean price. The clean price is the relative price to be paid at the standard settlement date in exchange for the bond.
  - yieldConvention
```
CapitalIndexedBondYieldConvention yieldConvention
```
    Yield convention.
    The convention defines how to convert from yield to price and inversely.
Class com.opengamma.strata.product.bond.CapitalIndexedBondTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade. Either the trade or settlement date is required when calling CapitalIndexedBondTrade.resolve(ReferenceData).
  - price
```
double price
```
    The clean price at which the bond was traded.
    The "clean" price excludes any accrued interest.
    Strata uses decimal prices for bonds in the trade model, pricers and market data. For example, a price of 99.32% is represented in Strata by 0.9932.
  - product
```
CapitalIndexedBond product
```
    The bond that was traded.
    The product captures the contracted financial details of the trade.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This will be positive if buying and negative if selling.
Class com.opengamma.strata.product.bond.FixedCouponBond extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualSchedule
```
PeriodicSchedule accrualSchedule
```
    The accrual schedule.
    This is used to define the accrual periods. These are used directly or indirectly to determine other dates in the product.
  - currency
```
Currency currency
```
    The currency that the bond is traded in.
  - dayCount
```
DayCount dayCount
```
    The day count convention applicable.
    The conversion from dates to a numerical value is made based on this day count. For the fixed bond, the day count convention is used to compute accrued interest.
    Note that the year fraction of a coupon payment is computed based on the unadjusted dates in the schedule.
  - exCouponPeriod
```
DaysAdjustment exCouponPeriod
```
    Ex-coupon period.
    Some bonds trade ex-coupons before the coupon payment. The coupon is paid not to the owner of the bond on the payment date but to the owner of the bond on the detachment date. The difference between the two is the ex-coupon period (measured in days).
    Because the detachment date is not after the coupon date, the number of days stored in this field should be zero or negative.
  - fixedRate
```
double fixedRate
```
    The fixed coupon rate.
    The periodic payments are based on this fixed coupon rate.
  - legalEntityId
```
LegalEntityId legalEntityId
```
    The legal entity identifier.
    This identifier is used for the legal entity that issues the bond.
  - notional
```
double notional
```
    The notional amount, must be positive.
    The notional expressed here must be positive. The currency of the notional is specified by currency.
  - securityId
```
SecurityId securityId
```
    The security identifier.
    This identifier uniquely identifies the security within the system.
  - settlementDateOffset
```
DaysAdjustment settlementDateOffset
```
    The number of days between valuation date and settlement date.
    This is used to compute clean price. The clean price is the relative price to be paid at the standard settlement date in exchange for the bond.
    It is usually one business day for US treasuries and UK Gilts and three days for Euroland government bonds.
  - yieldConvention
```
FixedCouponBondYieldConvention yieldConvention
```
    Yield convention.
    The convention defines how to convert from yield to price and inversely.
Class com.opengamma.strata.product.bond.FixedCouponBondOption extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - cleanStrikePrice
```
double cleanStrikePrice
```
    The clean price at which the option can be exercised, in decimal form.
    The "clean" price excludes any accrued interest.
    Strata uses decimal prices for bonds in the trade model, pricers and market data. For example, a price of 99.32% is represented in Strata by 0.9932.
  - expiryDate
```
AdjustableDate expiryDate
```
    The expiry date of the option.
    This is the last date that the option can be exercised.
    This date is typically set to be a valid business day. However, the businessDayAdjustment property may be set to provide a rule for adjustment.
  - expiryTime
```
LocalTime expiryTime
```
    The expiry time of the option.
    The expiry time is related to the expiry date and time-zone.
  - expiryZone
```
ZoneId expiryZone
```
    The time-zone of the expiry time.
    The expiry time-zone is related to the expiry date and time.
  - longShort
```
LongShort longShort
```
    Whether the option is long or short.
    Long indicates that the owner has the right to exercise the option at expiry.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This will be positive if buying (call) and negative if selling (put).
  - settlementDate
```
AdjustableDate settlementDate
```
    The settlement date when the option is exercised.
    This date is typically set to be a valid business day. However, the businessDayAdjustment property may be set to provide a rule for adjustment.
  - underlying
```
FixedCouponBond underlying
```
    The bond underlying the option.
Class com.opengamma.strata.product.bond.FixedCouponBondPaymentPeriod extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currency
```
Currency currency
```
    The primary currency of the payment period.
    The amounts of the notional are usually expressed in terms of this currency, however they can be converted from amounts in a different currency.
  - detachmentDate
```
LocalDate detachmentDate
```
    The detachment date.
    Some bonds trade ex-coupon before the coupon payment. The coupon is paid not to the owner of the bond on the payment date but to the owner of the bond on the detachment date.
    When building, this will default to the end date if not specified.
  - endDate
```
LocalDate endDate
```
    The end date of the payment period.
    This is the last date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - fixedRate
```
double fixedRate
```
    The fixed coupon rate.
    The single payment is based on this fixed coupon rate.
  - notional
```
double notional
```
    The notional amount, must be positive.
    The notional amount applicable during the period. The currency of the notional is specified by currency.
  - startDate
```
LocalDate startDate
```
    The start date of the payment period.
    This is the first date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - unadjustedEndDate
```
LocalDate unadjustedEndDate
```
    The unadjusted end date.
    The end date before any business day adjustment is applied.
    When building, this will default to the end date if not specified.
  - unadjustedStartDate
```
LocalDate unadjustedStartDate
```
    The unadjusted start date.
    The start date before any business day adjustment is applied.
    When building, this will default to the start date if not specified.
  - yearFraction
```
double yearFraction
```
    The year fraction that the accrual period represents.
    The year fraction of a bond period is based on the unadjusted dates.
    The value is usually calculated using a DayCount. Typically the value will be close to 1 for one year and close to 0.5 for six months. The fraction may be greater than 1, but not less than 0.
Class com.opengamma.strata.product.bond.FixedCouponBondPosition extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PositionInfo info
```
    The additional position information, defaulted to an empty instance.
    This allows additional information to be attached to the position.
  - longQuantity
```
double longQuantity
```
    The long quantity of the security.
    This is the quantity of the underlying security that is held. The quantity cannot be negative, as that would imply short selling.
  - product
```
FixedCouponBond product
```
    The bond that was traded.
    The product captures the contracted financial details.
  - shortQuantity
```
double shortQuantity
```
    The short quantity of the security.
    This is the quantity of the underlying security that has been short sold. The quantity cannot be negative, as that would imply the position is long.
Class com.opengamma.strata.product.bond.FixedCouponBondSecurity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualSchedule
```
PeriodicSchedule accrualSchedule
```
    The accrual schedule.
    This is used to define the accrual periods. These are used directly or indirectly to determine other dates in the product.
  - currency
```
Currency currency
```
    The currency that the bond is traded in.
  - dayCount
```
DayCount dayCount
```
    The day count convention applicable.
    The conversion from dates to a numerical value is made based on this day count. For the fixed bond, the day count convention is used to compute accrued interest.
    Note that the year fraction of a coupon payment is computed based on the unadjusted dates in the schedule.
  - exCouponPeriod
```
DaysAdjustment exCouponPeriod
```
    Ex-coupon period.
    Some bonds trade ex-coupons before the coupon payment. The coupon is paid not to the owner of the bond on the payment date but to the owner of the bond on the detachment date. The difference between the two is the ex-coupon period (measured in days).
    Because the detachment date is not after the coupon date, the number of days stored in this field should be zero or negative.
  - fixedRate
```
double fixedRate
```
    The fixed coupon rate.
    The periodic payments are based on this fixed coupon rate.
  - info
```
SecurityInfo info
```
    The standard security information.
    This includes the security identifier.
  - legalEntityId
```
LegalEntityId legalEntityId
```
    The legal entity identifier.
    This identifier is used for the legal entity that issues the bond.
  - notional
```
double notional
```
    The notional amount, must be positive.
    The notional expressed here must be positive. The currency of the notional is specified by currency.
  - settlementDateOffset
```
DaysAdjustment settlementDateOffset
```
    The number of days between valuation date and settlement date.
    This is used to compute clean price. The clean price is the relative price to be paid at the standard settlement date in exchange for the bond.
    It is usually one business day for US treasuries and UK Gilts and three days for Euroland government bonds.
  - yieldConvention
```
FixedCouponBondYieldConvention yieldConvention
```
    Yield convention.
    The convention defines how to convert from yield to price and inversely.
Class com.opengamma.strata.product.bond.FixedCouponBondTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade. Either the trade or settlement date is required when calling FixedCouponBondTrade.resolve(ReferenceData).
  - price
```
double price
```
    The clean price at which the bond was traded, in decimal form.
    The "clean" price excludes any accrued interest.
    Strata uses decimal prices for bonds in the trade model, pricers and market data. For example, a price of 99.32% is represented in Strata by 0.9932.
  - product
```
FixedCouponBond product
```
    The bond that was traded.
    The product captures the contracted financial details of the trade.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This will be positive if buying and negative if selling.
Class com.opengamma.strata.product.bond.KnownAmountBondPaymentPeriod extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - endDate
```
LocalDate endDate
```
    The end date of the payment period.
    This is the last date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - payment
```
Payment payment
```
    The payment.
    This includes the payment date and amount. If the schedule adjusts for business days, then the date is the adjusted date.
  - startDate
```
LocalDate startDate
```
    The start date of the payment period.
    This is the first date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - unadjustedEndDate
```
LocalDate unadjustedEndDate
```
    The unadjusted end date.
    The end date before any business day adjustment is applied.
    When building, this will default to the end date if not specified.
  - unadjustedStartDate
```
LocalDate unadjustedStartDate
```
    The unadjusted start date.
    The start date before any business day adjustment is applied.
    When building, this will default to the start date if not specified.
Class com.opengamma.strata.product.bond.ResolvedBill extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - dayCount
```
DayCount dayCount
```
    The day count convention applicable.
    The conversion from dates to a numerical value is made based on this day count.
  - legalEntityId
```
LegalEntityId legalEntityId
```
    The legal entity identifier.
    This identifier is used for the legal entity that issues the bill.
  - notional
```
Payment notional
```
    The notional payment of the bill notional, the amount must be positive.
  - securityId
```
SecurityId securityId
```
    The security identifier.
    This identifier uniquely identifies the security within the system.
  - settlementDateOffset
```
DaysAdjustment settlementDateOffset
```
    The number of days between valuation date and settlement date.
    It is usually one business day for US and UK bills and two days for Euroland government bills.
  - yieldConvention
```
BillYieldConvention yieldConvention
```
    Yield convention.
    The convention defines how to convert from yield to price and inversely.
Class com.opengamma.strata.product.bond.ResolvedBillTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PortfolioItemInfo info
```
    The additional information, defaulted to an empty instance.
    This allows additional information to be attached.
  - product
```
ResolvedBill product
```
    The resolved bill product.
    The product captures the contracted financial details of the trade.
  - quantity
```
double quantity
```
    The quantity, indicating the number of bond contracts in the trade.
    This will be positive if buying and negative if selling.
  - settlement
```
Payment settlement
```
    The settlement details of the bill trade.
    When this class is used to represent a position, this property will be empty.
Class com.opengamma.strata.product.bond.ResolvedBondFuture extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - conversionFactors
```
ImmutableList<Double> conversionFactors
```
    The conversion factor for each bond in the basket.
    The price of each underlying security in the basket is rescaled by the conversion factor. This must not be empty, and its size must be the same as the size of deliveryBasket.
    All of the underlying bonds must have the same notional and currency.
  - deliveryBasket
```
ImmutableList<ResolvedFixedCouponBond> deliveryBasket
```
    The basket of deliverable bonds.
    The underling which will be delivered in the future time is chosen from a basket of underling securities. This must not be empty.
    All of the underlying bonds must have the same notional and currency.
  - firstDeliveryDate
```
LocalDate firstDeliveryDate
```
    The first delivery date.
    The first date on which the underlying is delivered.
  - firstNoticeDate
```
LocalDate firstNoticeDate
```
    The first notice date.
    The first date on which the delivery of the underlying is authorized.
  - lastDeliveryDate
```
LocalDate lastDeliveryDate
```
    The last delivery date.
    The last date on which the underlying is delivered.
  - lastNoticeDate
```
LocalDate lastNoticeDate
```
    The last notice date.
    The last date on which the delivery of the underlying is authorized.
  - lastTradeDate
```
LocalDate lastTradeDate
```
    The last trading date.
    The future security is traded until this date.
  - rounding
```
Rounding rounding
```
    The definition of how to round the futures price, defaulted to no rounding.
    The price is represented in decimal form, not percentage form. As such, the decimal places expressed by the rounding refers to this decimal form. For example, the common market price of 99.7125 for a 0.2875% rate is represented as 0.997125 which has 6 decimal places.
  - securityId
```
SecurityId securityId
```
    The security identifier.
    This identifier uniquely identifies the security within the system.
Class com.opengamma.strata.product.bond.ResolvedBondFutureOption extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - expiry
```
ZonedDateTime expiry
```
    The expiry of the option.
    The date must not be after last trade date of the underlying future.
  - premiumStyle
```
FutureOptionPremiumStyle premiumStyle
```
    The style of the option premium.
    The two options are daily margining and upfront premium.
  - putCall
```
PutCall putCall
```
    Whether the option is put or call.
    A call gives the owner the right, but not obligation, to buy the underlying at an agreed price in the future. A put gives a similar option to sell.
  - rounding
```
Rounding rounding
```
    The definition of how to round the option price, defaulted to no rounding.
    The price is represented in decimal form, not percentage form. As such, the decimal places expressed by the rounding refers to this decimal form. For example, the common market price of 99.7125 is represented as 0.997125 which has 6 decimal places.
  - securityId
```
SecurityId securityId
```
    The security identifier.
    This identifier uniquely identifies the security within the system.
  - strikePrice
```
double strikePrice
```
    The strike price, represented in decimal form.
    This is the price at which the option applies and refers to the price of the underlying future. This must be represented in decimal form.
  - underlyingFuture
```
ResolvedBondFuture underlyingFuture
```
    The underlying future.
Class com.opengamma.strata.product.bond.ResolvedBondFutureOptionTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PortfolioItemInfo info
```
    The additional information, defaulted to an empty instance.
    This allows additional information to be attached.
  - product
```
ResolvedBondFutureOption product
```
    The option that was traded.
    The product captures the contracted financial details of the trade.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This is the number of contracts that were traded. This will be positive if buying and negative if selling.
  - tradedPrice
```
TradedPrice tradedPrice
```
    The price that was traded, together with the trade date, optional.
    This is the price agreed when the trade occurred, in decimal form. Strata uses decimal prices for bond futures options in the trade model, pricers and market data. This is coherent with the pricing of BondFuture.
    This is optional to allow the class to be used to price both trades and positions. When the instance represents a trade, the traded price should be present. When the instance represents a position, the traded price should be empty.
Class com.opengamma.strata.product.bond.ResolvedBondFutureTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PortfolioItemInfo info
```
    The additional information, defaulted to an empty instance.
    This allows additional information to be attached.
  - product
```
ResolvedBondFuture product
```
    The future that was traded.
    The product captures the contracted financial details of the trade.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This is the number of contracts that were traded. This will be positive if buying and negative if selling.
  - tradedPrice
```
TradedPrice tradedPrice
```
    The price that was traded, together with the trade date, optional.
    This is the price agreed when the trade occurred, in decimal form. Strata uses decimal prices for bond futures in the trade model, pricers and market data. This is coherent with the pricing of FixedCouponBond. The bond futures delivery is a bond for an amount computed from the bond future price, a conversion factor and the accrued interest.
    This is optional to allow the class to be used to price both trades and positions. When the instance represents a trade, the traded price should be present. When the instance represents a position, the traded price should be empty.
Class com.opengamma.strata.product.bond.ResolvedCapitalIndexedBond extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - dayCount
```
DayCount dayCount
```
    The day count convention applicable.
    The conversion from dates to a numerical value is made based on this day count. For the inflation-indexed bond, the day count convention is used to compute accrued interest.
  - frequency
```
Frequency frequency
```
    The frequency of the bond payments.
    This must match the frequency used to generate the payment schedule.
  - legalEntityId
```
LegalEntityId legalEntityId
```
    The legal entity identifier.
    This identifier is used for the legal entity that issues the bond.
  - nominalPayment
```
CapitalIndexedBondPaymentPeriod nominalPayment
```
    The nominal payment of the product.
    The payment date of the nominal payment agrees with the final coupon payment date of the periodic payments.
  - periodicPayments
```
ImmutableList<CapitalIndexedBondPaymentPeriod> periodicPayments
```
    The periodic payments of the product.
    Each payment period represents part of the life-time of the product. The start date and end date of the leg are determined from the first and last period. As such, the periods should be sorted.
  - rateCalculation
```
InflationRateCalculation rateCalculation
```
    The inflation rate calculation.
    The reference index is interpolated index or monthly index. Real coupons are represented by gearing in the calculation. The price index value at the start of the bond is represented by firstIndexValue in the calculation.
  - rollConvention
```
RollConvention rollConvention
```
    The roll convention of the bond payments.
    This must match the convention used to generate the payment schedule.
  - securityId
```
SecurityId securityId
```
    The security identifier.
    This identifier uniquely identifies the security within the system.
  - settlementDateOffset
```
DaysAdjustment settlementDateOffset
```
    The number of days between valuation date and settlement date.
    This is used to compute clean price. The clean price is the relative price to be paid at the standard settlement date in exchange for the bond.
  - yieldConvention
```
CapitalIndexedBondYieldConvention yieldConvention
```
    Yield convention.
    The convention defines how to convert from yield to price and inversely.
Class com.opengamma.strata.product.bond.ResolvedCapitalIndexedBondSettlement extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - payment
```
BondPaymentPeriod payment
```
    The payment of the settlement.
    The payment sign should be compatible with the product notional and trade quantity, thus the payment is negative for positive quantity and positive for negative quantity.
    This is effectively a fixed amount payment once the inflation rate is fixed.
  - price
```
double price
```
    The clean price at which the bond was traded.
    The "clean" price excludes any accrued interest.
    Strata uses decimal prices for bonds in the trade model, pricers and market data. For example, a price of 99.32% is represented in Strata by 0.9932.
  - settlementDate
```
LocalDate settlementDate
```
    The settlement date.
Class com.opengamma.strata.product.bond.ResolvedCapitalIndexedBondTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PortfolioItemInfo info
```
    The additional information, defaulted to an empty instance.
    This allows additional information to be attached.
  - product
```
ResolvedCapitalIndexedBond product
```
    The resolved capital indexed bond product.
    The product captures the contracted financial details of the trade.
  - quantity
```
double quantity
```
    The quantity, indicating the number of bond contracts in the trade.
    This will be positive if buying and negative if selling.
  - settlement
```
ResolvedCapitalIndexedBondSettlement settlement
```
    The settlement details of the bond trade.
    When this class is used to represent a position, this property will be empty.
Class com.opengamma.strata.product.bond.ResolvedFixedCouponBond extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - dayCount
```
DayCount dayCount
```
    The day count convention applicable.
    The conversion from dates to a numerical value is made based on this day count. For the fixed bond, the day count convention is used to compute accrued interest.
    Note that the year fraction of a coupon payment is computed based on the unadjusted dates in the schedule.
  - fixedRate
```
double fixedRate
```
    The fixed coupon rate.
    The periodic payments are based on this fixed coupon rate.
  - frequency
```
Frequency frequency
```
    The frequency of the bond payments.
    This must match the frequency used to generate the payment schedule.
  - legalEntityId
```
LegalEntityId legalEntityId
```
    The legal entity identifier.
    This identifier is used for the legal entity that issues the bond.
  - nominalPayment
```
Payment nominalPayment
```
    The nominal payment of the product.
    The payment date of the nominal payment agrees with the final coupon payment date of the periodic payments.
  - periodicPayments
```
ImmutableList<FixedCouponBondPaymentPeriod> periodicPayments
```
    The periodic payments of the product.
    Each payment period represents part of the life-time of the product. The start date and end date of the leg are determined from the first and last period. As such, the periods should be sorted.
  - rollConvention
```
RollConvention rollConvention
```
    The roll convention of the bond payments.
    This must match the convention used to generate the payment schedule.
  - securityId
```
SecurityId securityId
```
    The security identifier.
    This identifier uniquely identifies the security within the system.
  - settlementDateOffset
```
DaysAdjustment settlementDateOffset
```
    The number of days between valuation date and settlement date.
    This is used to compute clean price. The clean price is the relative price to be paid at the standard settlement date in exchange for the bond.
    It is usually one business day for US treasuries and UK Gilts and three days for Euroland government bonds.
  - yieldConvention
```
FixedCouponBondYieldConvention yieldConvention
```
    Yield convention.
    The convention defines how to convert from yield to price and inversely.
Class com.opengamma.strata.product.bond.ResolvedFixedCouponBondOption extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - expiry
```
ZonedDateTime expiry
```
    The expiry date-time of the option.
    The option is European, and can only be exercised on the expiry date.
  - longShort
```
LongShort longShort
```
    Whether the option is long or short.
    Long indicates that the owner has the right to exercise the option at expiry.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This will be positive if buying (call) and negative if selling (put).
  - settlement
```
ResolvedFixedCouponBondSettlement settlement
```
    The bond's settlement details.
  - underlying
```
ResolvedFixedCouponBond underlying
```
    The bond underlying the option.
Class com.opengamma.strata.product.bond.ResolvedFixedCouponBondSettlement extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - price
```
double price
```
    The clean price at which the bond was traded.
    The "clean" price excludes any accrued interest.
    Strata uses decimal prices for bonds in the trade model, pricers and market data. For example, a price of 99.32% is represented in Strata by 0.9932.
  - settlementDate
```
LocalDate settlementDate
```
    The settlement date.
Class com.opengamma.strata.product.bond.ResolvedFixedCouponBondTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PortfolioItemInfo info
```
    The additional information, defaulted to an empty instance.
    This allows additional information to be attached.
  - product
```
ResolvedFixedCouponBond product
```
    The resolved fixed coupon bond product.
    The product captures the contracted financial details of the trade.
  - quantity
```
double quantity
```
    The quantity, indicating the number of bond contracts in the trade.
    This will be positive if buying and negative if selling.
  - settlement
```
ResolvedFixedCouponBondSettlement settlement
```
    The settlement details of the bond trade.
    When this class is used to represent a position, this property will be empty.

Package com.opengamma.strata.product.capfloor

Class com.opengamma.strata.product.capfloor.IborCapFloor extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - capFloorLeg
```
IborCapFloorLeg capFloorLeg
```
    The Ibor cap/floor leg of the product.
    This is associated with periodic payments based on Ibor rate. The payments are Ibor caplets or Ibor floorlets.
  - payLeg
```
SwapLeg payLeg
```
    The optional pay leg of the product.
    These periodic payments are not made for typical cap/floor products. Instead the premium is paid upfront.
Class com.opengamma.strata.product.capfloor.IborCapFloorLeg extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - calculation
```
IborRateCalculation calculation
```
    The interest rate accrual calculation.
    The interest rate accrual is based on Ibor index.
  - capSchedule
```
ValueSchedule capSchedule
```
    The cap schedule, optional.
    This defines the strike value of a cap as an initial value and a list of adjustments. Thus individual caplets may have different strike values. The cap rate is only allowed to change at payment period boundaries.
    If the product is not a cap, the cap schedule will be absent.
  - currency
```
Currency currency
```
    The currency of the leg associated with the notional.
    This is the currency of the leg and the currency that payoff calculation is made in. The amounts of the notional are expressed in terms of this currency.
  - floorSchedule
```
ValueSchedule floorSchedule
```
    The floor schedule, optional.
    This defines the strike value of a floor as an initial value and a list of adjustments. Thus individual floorlets may have different strike values. The floor rate is only allowed to change at payment period boundaries.
    If the product is not a floor, the floor schedule will be absent.
  - notional
```
ValueSchedule notional
```
    The notional amount, must be non-negative.
    The notional amount applicable during the period. The currency of the notional is specified by currency.
  - paymentDateOffset
```
DaysAdjustment paymentDateOffset
```
    The offset of payment from the base calculation period date, defaulted to 'None'.
    The offset is applied to the adjusted end date of each payment period. Offset can be based on calendar days or business days.
  - paymentSchedule
```
PeriodicSchedule paymentSchedule
```
    The periodic payment schedule.
    This is used to define the periodic payment periods. These are used directly or indirectly to determine other dates in the leg.
  - payReceive
```
PayReceive payReceive
```
    Whether the leg is pay or receive.
    A value of 'Pay' implies that the resulting amount is paid to the counterparty. A value of 'Receive' implies that the resulting amount is received from the counterparty.
Class com.opengamma.strata.product.capfloor.IborCapFloorTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - premium
```
AdjustablePayment premium
```
    The optional premium of the product.
    For most Ibor cap/floor products, a premium is paid upfront. This typically occurs instead of periodic payments based on fixed or Ibor rates over the lifetime of the product.
    The premium sign must be compatible with the product Pay/Receive flag.
  - product
```
IborCapFloor product
```
    The cap/floor product that was agreed when the trade occurred.
    The product captures the contracted financial details of the trade.
Class com.opengamma.strata.product.capfloor.IborCapletFloorletBinaryPeriod extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - amount
```
double amount
```
    The fixed amount when the option is in-the-money, positive if receiving (long), negative if paying (short).
    The currency of the notional is specified by currency.
  - caplet
```
Double caplet
```
    The optional caplet strike.
    This defines the strike value of a caplet.
    If the period is not a caplet, this field will be absent.
  - currency
```
Currency currency
```
    The primary currency of the payment period.
    The amounts of the notional are usually expressed in terms of this currency, however they can be converted from amounts in a different currency.
  - endDate
```
LocalDate endDate
```
    The end date of the payment period.
    This is the last date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - floorlet
```
Double floorlet
```
    The optional floorlet strike.
    This defines the strike value of a floorlet.
    If the period is not a floorlet, this field will be absent.
  - iborRate
```
IborRateComputation iborRate
```
    The rate to be observed.
    The value of the period is based on this Ibor rate. For example, it might be a well known market index such as 'GBP-LIBOR-3M'.
  - paymentDate
```
LocalDate paymentDate
```
    The date that payment occurs.
    If the schedule adjusts for business days, then this is the adjusted date.
  - startDate
```
LocalDate startDate
```
    The start date of the payment period.
    This is the first date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - unadjustedEndDate
```
LocalDate unadjustedEndDate
```
    The unadjusted end date.
    The end date before any business day adjustment is applied.
    When building, this will default to the end date if not specified.
  - unadjustedStartDate
```
LocalDate unadjustedStartDate
```
    The unadjusted start date.
    The start date before any business day adjustment is applied.
    When building, this will default to the start date if not specified.
  - yearFraction
```
double yearFraction
```
    The year fraction that the accrual period represents.
    The value is usually calculated using a DayCount which may be different to that of the index. Typically the value will be close to 1 for one year and close to 0.5 for six months. The fraction may be greater than 1, but not less than 0.
Class com.opengamma.strata.product.capfloor.IborCapletFloorletPeriod extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - caplet
```
Double caplet
```
    The optional caplet strike.
    This defines the strike value of a caplet.
    If the period is not a caplet, this field will be absent.
  - currency
```
Currency currency
```
    The primary currency of the payment period.
    The amounts of the notional are usually expressed in terms of this currency, however they can be converted from amounts in a different currency.
  - endDate
```
LocalDate endDate
```
    The end date of the payment period.
    This is the last date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - floorlet
```
Double floorlet
```
    The optional floorlet strike.
    This defines the strike value of a floorlet.
    If the period is not a floorlet, this field will be absent.
  - iborRate
```
IborRateComputation iborRate
```
    The rate to be observed.
    The value of the period is based on this Ibor rate. For example, it might be a well known market index such as 'GBP-LIBOR-3M'.
  - notional
```
double notional
```
    The notional amount, positive if receiving, negative if paying.
    The notional amount applicable during the period. The currency of the notional is specified by currency.
  - paymentDate
```
LocalDate paymentDate
```
    The date that payment occurs.
    If the schedule adjusts for business days, then this is the adjusted date.
  - startDate
```
LocalDate startDate
```
    The start date of the payment period.
    This is the first date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - unadjustedEndDate
```
LocalDate unadjustedEndDate
```
    The unadjusted end date.
    The end date before any business day adjustment is applied.
    When building, this will default to the end date if not specified.
  - unadjustedStartDate
```
LocalDate unadjustedStartDate
```
    The unadjusted start date.
    The start date before any business day adjustment is applied.
    When building, this will default to the start date if not specified.
  - yearFraction
```
double yearFraction
```
    The year fraction that the accrual period represents.
    The value is usually calculated using a DayCount which may be different to that of the index. Typically the value will be close to 1 for one year and close to 0.5 for six months. The fraction may be greater than 1, but not less than 0.
Class com.opengamma.strata.product.capfloor.OvernightInArrearsCapletFloorletBinaryPeriod extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - amount
```
double amount
```
    The fixed amount when the option is in-the-money, positive if receiving (long), negative if paying (short).
    The currency of the notional is specified by currency.
  - caplet
```
Double caplet
```
    The optional caplet strike.
    This defines the strike value of a caplet.
    If the period is not a caplet, this field will be absent.
  - currency
```
Currency currency
```
    The primary currency of the payment period.
    The amounts of the notional are usually expressed in terms of this currency, however they can be converted from amounts in a different currency.
  - endDate
```
LocalDate endDate
```
    The end date of the payment period.
    This is the last date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - floorlet
```
Double floorlet
```
    The optional floorlet strike.
    This defines the strike value of a floorlet.
    If the period is not a floorlet, this field will be absent.
  - overnightRate
```
OvernightCompoundedRateComputation overnightRate
```
    The rate to be observed.
    The value of the period is based on this overnight compounded rate.
  - paymentDate
```
LocalDate paymentDate
```
    The date that payment occurs.
    If the schedule adjusts for business days, then this is the adjusted date.
  - startDate
```
LocalDate startDate
```
    The start date of the payment period.
    This is the first date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - unadjustedEndDate
```
LocalDate unadjustedEndDate
```
    The unadjusted end date.
    The end date before any business day adjustment is applied.
    When building, this will default to the end date if not specified.
  - unadjustedStartDate
```
LocalDate unadjustedStartDate
```
    The unadjusted start date.
    The start date before any business day adjustment is applied.
    When building, this will default to the start date if not specified.
  - yearFraction
```
double yearFraction
```
    The year fraction that the accrual period represents.
    The value is usually calculated using a DayCount which may be different to that of the index. Typically the value will be close to 1 for one year and close to 0.5 for six months. The fraction may be greater than 1, but not less than 0.
Class com.opengamma.strata.product.capfloor.OvernightInArrearsCapletFloorletPeriod extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - caplet
```
Double caplet
```
    The optional caplet strike.
    This defines the strike value of a caplet.
    If the period is not a caplet, this field will be absent.
  - currency
```
Currency currency
```
    The primary currency of the payment period.
    The amounts of the notional are usually expressed in terms of this currency, however they can be converted from amounts in a different currency.
  - endDate
```
LocalDate endDate
```
    The end date of the payment period.
    This is the last date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - floorlet
```
Double floorlet
```
    The optional floorlet strike.
    This defines the strike value of a floorlet.
    If the period is not a floorlet, this field will be absent.
  - notional
```
double notional
```
    The notional amount, positive if receiving, negative if paying.
    The notional amount applicable during the period. The currency of the notional is specified by currency.
  - overnightRate
```
OvernightCompoundedRateComputation overnightRate
```
    The rate to be observed.
    The value of the period is based on this overnight compounded rate.
  - paymentDate
```
LocalDate paymentDate
```
    The date that payment occurs.
    If the schedule adjusts for business days, then this is the adjusted date.
  - startDate
```
LocalDate startDate
```
    The start date of the payment period.
    This is the first date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - unadjustedEndDate
```
LocalDate unadjustedEndDate
```
    The unadjusted end date.
    The end date before any business day adjustment is applied.
    When building, this will default to the end date if not specified.
  - unadjustedStartDate
```
LocalDate unadjustedStartDate
```
    The unadjusted start date.
    The start date before any business day adjustment is applied.
    When building, this will default to the start date if not specified.
  - yearFraction
```
double yearFraction
```
    The year fraction that the accrual period represents.
    The value is usually calculated using a DayCount which may be different to that of the index. Typically the value will be close to 1 for one year and close to 0.5 for six months. The fraction may be greater than 1, but not less than 0.
Class com.opengamma.strata.product.capfloor.ResolvedIborCapFloor extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - capFloorLeg
```
ResolvedIborCapFloorLeg capFloorLeg
```
    The Ibor cap/floor leg of the product.
    This is associated with periodic payments based on Ibor rate. The payments are Ibor caplets or Ibor floorlets.
  - payLeg
```
ResolvedSwapLeg payLeg
```
    The optional pay leg of the product.
    These periodic payments are not made for typical cap/floor products. Instead the premium is paid upfront.
Class com.opengamma.strata.product.capfloor.ResolvedIborCapFloorLeg extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - capletFloorletPeriods
```
ImmutableList<IborCapletFloorletPeriod> capletFloorletPeriods
```
    The periodic payments based on the successive observed values of an Ibor index.
    Each payment period represents part of the life-time of the leg. In most cases, the periods do not overlap. However, since each payment period is essentially independent the data model allows overlapping periods.
  - payReceive
```
PayReceive payReceive
```
    Whether the leg is pay or receive.
    A value of 'Pay' implies that the resulting amount is paid to the counterparty. A value of 'Receive' implies that the resulting amount is received from the counterparty.
    The value of this flag should match the signs of the payment period notionals.
Class com.opengamma.strata.product.capfloor.ResolvedIborCapFloorTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - premium
```
Payment premium
```
    The optional premium of the product.
    For most Ibor cap/floor products, a premium is paid upfront. This typically occurs instead of periodic payments based on fixed or Ibor rates over the lifetime of the product.
    The premium sign must be compatible with the product Pay/Receive flag.
  - product
```
ResolvedIborCapFloor product
```
    The resolved Ibor cap/floor product.
    The product captures the contracted financial details of the trade.

Package com.opengamma.strata.product.cms

Class com.opengamma.strata.product.cms.Cms extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - cmsLeg
```
CmsLeg cmsLeg
```
    The CMS leg of the product.
    This is associated with periodic payments based on swap rate. The payments are CMS coupons, CMS caplets or CMS floors.
  - payLeg
```
SwapLeg payLeg
```
    The optional pay leg of the product.
    Typically this is associated with periodic fixed or Ibor rate payments without compounding or notional exchange.
    These periodic payments are not made over the lifetime of the product for certain CMS products. Instead the premium is paid upfront.
Class com.opengamma.strata.product.cms.CmsLeg extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - capSchedule
```
ValueSchedule capSchedule
```
    The cap schedule, optional.
    This defines the strike value of a cap as an initial value and a list of adjustments. Thus individual caplets may have different strike values. The cap rate is only allowed to change at payment period boundaries.
    If the product is not a cap, the cap schedule will be absent.
  - currency
```
Currency currency
```
    The currency of the leg associated with the notional.
    This is the currency of the leg and the currency that swap rate calculation is made in. The amounts of the notional are expressed in terms of this currency.
  - dayCount
```
DayCount dayCount
```
    The day count convention.
    This is used to convert dates to a numerical value.
    When building, this will default to the day count of the swap convention in the swap index if not specified.
  - fixingDateOffset
```
DaysAdjustment fixingDateOffset
```
    The offset of the fixing date from each adjusted reset date.
    The offset is applied to the base date specified by fixingRelativeTo. The offset is typically a negative number of business days.
    When building, this will default to the fixing offset of the swap convention in the swap index if not specified.
  - fixingRelativeTo
```
FixingRelativeTo fixingRelativeTo
```
    The base date that each fixing is made relative to, defaulted to 'PeriodStart'.
    The fixing date is relative to either the start or end of each period.
  - floorSchedule
```
ValueSchedule floorSchedule
```
    The floor schedule, optional.
    This defines the strike value of a floor as an initial value and a list of adjustments. Thus individual floorlets may have different strike values. The floor rate is only allowed to change at payment period boundaries.
    If the product is not a floor, the floor schedule will be absent.
  - index
```
SwapIndex index
```
    The swap index.
    The swap rate to be paid is the observed value of this index.
  - notional
```
ValueSchedule notional
```
    The notional amount, must be non-negative.
    The notional amount applicable during the period. The currency of the notional is specified by currency.
  - paymentDateOffset
```
DaysAdjustment paymentDateOffset
```
    The offset of payment from the base calculation period date.
    The offset is applied to the adjusted end date of each payment period. Offset can be based on calendar days or business days.
    When building, this will default to the payment offset of the swap convention in the swap index if not specified.
  - paymentSchedule
```
PeriodicSchedule paymentSchedule
```
    The periodic payment schedule.
    This is used to define the periodic payment periods. These are used directly or indirectly to determine other dates in the leg.
  - payReceive
```
PayReceive payReceive
```
    Whether the leg is pay or receive.
    A value of 'Pay' implies that the resulting amount is paid to the counterparty. A value of 'Receive' implies that the resulting amount is received from the counterparty. Note that negative swap rates can result in a payment in the opposite direction to that implied by this indicator.
Class com.opengamma.strata.product.cms.CmsPeriod extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - caplet
```
Double caplet
```
    The optional caplet strike.
    This defines the strike value of a caplet.
    If the period is not a caplet, this field will be absent.
  - currency
```
Currency currency
```
    The primary currency of the payment period.
    The amounts of the notional are usually expressed in terms of this currency, however they can be converted from amounts in a different currency.
  - dayCount
```
DayCount dayCount
```
    The day count of the period.
  - endDate
```
LocalDate endDate
```
    The end date of the payment period.
    This is the last date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - fixingDate
```
LocalDate fixingDate
```
    The date of the index fixing.
    This is an adjusted date with any business day applied.
  - floorlet
```
Double floorlet
```
    The optional floorlet strike.
    This defines the strike value of a floorlet.
    If the period is not a floorlet, this field will be absent.
  - index
```
SwapIndex index
```
    The swap index.
    The swap rate to be paid is the observed value of this index.
  - notional
```
double notional
```
    The notional amount, positive if receiving, negative if paying.
    The notional amount applicable during the period. The currency of the notional is specified by currency.
  - paymentDate
```
LocalDate paymentDate
```
    The date that payment occurs.
    If the schedule adjusts for business days, then this is the adjusted date.
  - startDate
```
LocalDate startDate
```
    The start date of the payment period.
    This is the first date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - unadjustedEndDate
```
LocalDate unadjustedEndDate
```
    The unadjusted end date.
    The end date before any business day adjustment is applied.
    When building, this will default to the end date if not specified.
  - unadjustedStartDate
```
LocalDate unadjustedStartDate
```
    The unadjusted start date.
    The start date before any business day adjustment is applied.
    When building, this will default to the start date if not specified.
  - underlyingSwap
```
ResolvedSwap underlyingSwap
```
    The underlying swap.
    The interest rate swap for which the swap rate is referred.
  - yearFraction
```
double yearFraction
```
    The year fraction that the accrual period represents.
    The value is usually calculated using a DayCount which may be different to that of the index. Typically the value will be close to 1 for one year and close to 0.5 for six months. The fraction may be greater than 1, but not less than 0.
Class com.opengamma.strata.product.cms.CmsTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - premium
```
AdjustablePayment premium
```
    The optional premium of the product.
    For certain CMS products, a premium is paid upfront. This typically occurs instead of periodic payments based on fixed or Ibor rates over the lifetime of the product.
    The premium sign must be compatible with the product Pay/Receive flag.
  - product
```
Cms product
```
    The CMS product that was agreed when the trade occurred.
    The product captures the contracted financial details of the trade.
Class com.opengamma.strata.product.cms.ResolvedCms extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - cmsLeg
```
ResolvedCmsLeg cmsLeg
```
    The CMS leg of the product.
    This is associated with periodic payments based on swap rate. The payments are CMS coupons, CMS caplets or CMS floors.
  - payLeg
```
ResolvedSwapLeg payLeg
```
    The optional pay leg of the product.
    Typically this is associated with periodic fixed or Ibor rate payments without compounding or notional exchange.
    These periodic payments are not made for certain CMS products. Instead the premium is paid upfront.
Class com.opengamma.strata.product.cms.ResolvedCmsLeg extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - cmsPeriods
```
ImmutableList<CmsPeriod> cmsPeriods
```
    The periodic payments based on the successive observed values of a swap index.
    Each payment period represents part of the life-time of the leg. In most cases, the periods do not overlap. However, since each payment period is essentially independent the data model allows overlapping periods.
  - payReceive
```
PayReceive payReceive
```
    Whether the leg is pay or receive.
    A value of 'Pay' implies that the resulting amount is paid to the counterparty. A value of 'Receive' implies that the resulting amount is received from the counterparty. Note that negative swap rates can result in a payment in the opposite direction to that implied by this indicator.
    The value of this flag should match the signs of the payment period notionals.
Class com.opengamma.strata.product.cms.ResolvedCmsTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - premium
```
Payment premium
```
    The optional premium of the product.
    For certain CMS products, a premium is paid upfront. This typically occurs instead of periodic payments based on fixed or Ibor rates over the lifetime of the product.
    The premium sign must be compatible with the product Pay/Receive flag.
  - product
```
ResolvedCms product
```
    The resolved CMS product.
    The product captures the contracted financial details of the trade.

Package com.opengamma.strata.product.common

Class com.opengamma.strata.product.common.CcpId extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - name
```
String name
```
    The code identifying the CCP.
Class com.opengamma.strata.product.common.ExchangeId extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - name
```
String name
```
    The Market Identifier Code (MIC) identifying the exchange.

Package com.opengamma.strata.product.credit

Class com.opengamma.strata.product.credit.Cds extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - buySell
```
BuySell buySell
```
    Whether the CDS is buy or sell.
    A value of 'Buy' implies buying protection, where the fixed coupon is paid and the protection is received in the event of default. A value of 'Sell' implies selling protection, where the fixed coupon is received and the protection is paid in the event of default.
  - currency
```
Currency currency
```
    The currency of the CDS.
    The amounts of the notional are expressed in terms of this currency.
  - dayCount
```
DayCount dayCount
```
    The day count convention.
    This is used to convert dates to a numerical value.
    When building, this will default to 'Act/360'.
  - fixedRate
```
double fixedRate
```
    The fixed coupon rate.
    This must be represented in decimal form.
  - legalEntityId
```
StandardId legalEntityId
```
    The legal entity identifier.
    This identifier is used for the reference legal entity of the CDS.
  - notional
```
double notional
```
    The notional amount, must be non-negative.
    The fixed notional amount applicable during the lifetime of the CDS. The currency of the notional is specified by currency.
  - paymentOnDefault
```
PaymentOnDefault paymentOnDefault
```
    The payment on default.
    Whether the accrued premium is paid in the event of a default.
    When building, this will default to 'AccruedPremium'.
  - paymentSchedule
```
PeriodicSchedule paymentSchedule
```
    The payment schedule.
    This is used to define the payment periods.
  - protectionStart
```
ProtectionStartOfDay protectionStart
```
    The protection start of the day.
    When the protection starts on the start date.
    When building, this will default to 'Beginning'.
  - settlementDateOffset
```
DaysAdjustment settlementDateOffset
```
    The number of days between valuation date and settlement date.
    It is usually 3 business days for standardized CDS contracts.
    When building, this will default to 3 business days in the calendar of the payment schedule.
  - stepinDateOffset
```
DaysAdjustment stepinDateOffset
```
    The number of days between valuation date and step-in date.
    The step-in date is also called protection effective date. It is usually 1 calendar day for standardized CDS contracts.
    When building, this will default to 1 calendar day.
Class com.opengamma.strata.product.credit.CdsCalibrationTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - quote
```
CdsQuote quote
```
    The CDS quote.
  - underlyingTrade
```
CdsTrade underlyingTrade
```
    The underlying CDS trade.
Class com.opengamma.strata.product.credit.CdsIndex extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - buySell
```
BuySell buySell
```
    Whether the CDS index is buy or sell.
    A value of 'Buy' implies buying protection, where the fixed coupon is paid and the protection is received in the event of default. A value of 'Sell' implies selling protection, where the fixed coupon is received and the protection is paid in the event of default.
  - cdsIndexId
```
StandardId cdsIndexId
```
    The CDS index identifier.
    This identifier is used to refer this CDS index product.
  - currency
```
Currency currency
```
    The currency of the CDS index.
    The amounts of the notional are expressed in terms of this currency.
  - dayCount
```
DayCount dayCount
```
    The day count convention.
    This is used to convert dates to a numerical value.
    When building, this will default to 'Act/360'.
  - fixedRate
```
double fixedRate
```
    The fixed coupon rate.
    This must be represented in decimal form.
  - legalEntityIds
```
ImmutableList<StandardId> legalEntityIds
```
    The legal entity identifiers.
    These identifiers refer to the reference legal entities of the CDS index.
  - notional
```
double notional
```
    The notional amount, must be non-negative.
    The fixed notional amount applicable during the lifetime of the CDS. The currency of the notional is specified by currency.
  - paymentOnDefault
```
PaymentOnDefault paymentOnDefault
```
    The payment on default.
    Whether the accrued premium is paid in the event of a default.
    When building, this will default to 'AccruedPremium'.
  - paymentSchedule
```
PeriodicSchedule paymentSchedule
```
    The payment schedule.
    This is used to define the payment periods.
  - protectionStart
```
ProtectionStartOfDay protectionStart
```
    The protection start of the day.
    When the protection starts on the start date.
    When building, this will default to 'Beginning'.
  - settlementDateOffset
```
DaysAdjustment settlementDateOffset
```
    The number of days between valuation date and settlement date.
    It is usually 3 business days for standardized CDS index contracts.
    When building, this will default to 3 business days in the calendar of the payment schedule.
  - stepinDateOffset
```
DaysAdjustment stepinDateOffset
```
    The number of days between valuation date and step-in date.
    The step-in date is also called protection effective date. It is usually 1 calendar day for standardized CDS index contracts.
    When building, this will default to 1 calendar day.
Class com.opengamma.strata.product.credit.CdsIndexCalibrationTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - quote
```
CdsQuote quote
```
    The CDS index quote.
  - underlyingTrade
```
CdsIndexTrade underlyingTrade
```
    The underlying CDS index trade.
Class com.opengamma.strata.product.credit.CdsIndexTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
CdsIndex product
```
    The CDS index product that was agreed when the trade occurred.
    The product captures the contracted financial details of the trade.
  - upfrontFee
```
AdjustablePayment upfrontFee
```
    The upfront fee of the product.
    This specifies a single amount payable by the buyer to the seller. Thus the sign must be compatible with the product Pay/Receive flag.
    Some CDSs, especially legacy products, are traded at par and the upfront fee is not paid.
Class com.opengamma.strata.product.credit.CdsQuote extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - quoteConvention
```
CdsQuoteConvention quoteConvention
```
    The CDS quote convention.
  - quotedValue
```
double quotedValue
```
    The quoted value.
    This value must be represented in decimal form.
Class com.opengamma.strata.product.credit.CdsTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
Cds product
```
    The CDS product that was agreed when the trade occurred.
    The product captures the contracted financial details of the trade.
  - upfrontFee
```
AdjustablePayment upfrontFee
```
    The upfront fee of the product.
    This specifies a single amount payable by the buyer to the seller. Thus the sign must be compatible with the product Pay/Receive flag.
    Some CDSs, especially legacy products, are traded at par and the upfront fee is not paid.
Class com.opengamma.strata.product.credit.CreditCouponPaymentPeriod extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currency
```
Currency currency
```
    The primary currency of the payment period.
    The amounts of the notional are usually expressed in terms of this currency, however they can be converted from amounts in a different currency.
  - effectiveEndDate
```
LocalDate effectiveEndDate
```
    The effective protection end date of the period.
    This is the last date in the protection period associated with the payment period.
  - effectiveStartDate
```
LocalDate effectiveStartDate
```
    The effective protection start date of the period.
    This is the first date in the protection period associated with the payment period.
  - endDate
```
LocalDate endDate
```
    The end date of the accrual period.
    This is the last accrual date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - fixedRate
```
double fixedRate
```
    The fixed coupon rate.
    The single payment is based on this fixed coupon rate. The coupon must be represented in fraction.
  - notional
```
double notional
```
    The notional amount, must be positive.
    The notional amount applicable during the period. The currency of the notional is specified by currency.
  - paymentDate
```
LocalDate paymentDate
```
    The payment date.
    The fixed rate is paid on this date. This is not necessarily the same as endDate.
  - startDate
```
LocalDate startDate
```
    The start date of the accrual period.
    This is the first accrual date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - unadjustedEndDate
```
LocalDate unadjustedEndDate
```
    The unadjusted end date.
    The end date before any business day adjustment is applied.
    When building, this will default to the end date if not specified.
  - unadjustedStartDate
```
LocalDate unadjustedStartDate
```
    The unadjusted start date.
    The start date before any business day adjustment is applied.
    When building, this will default to the start date if not specified.
  - yearFraction
```
double yearFraction
```
    The year fraction that the accrual period represents.
    The year fraction of a period is based on startDate and endDate. The value is usually calculated using a specific DayCount.
Class com.opengamma.strata.product.credit.ResolvedCds extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - buySell
```
BuySell buySell
```
    Whether the CDS is buy or sell.
    A value of 'Buy' implies buying protection, where the fixed coupon is paid and the protection is received in the event of default. A value of 'Sell' implies selling protection, where the fixed coupon is received and the protection is paid in the event of default.
  - dayCount
```
DayCount dayCount
```
    The day count convention.
    This is used to convert dates to a numerical value.
  - legalEntityId
```
StandardId legalEntityId
```
    The legal entity identifier.
    This identifier is used for the reference legal entity of the CDS.
  - paymentOnDefault
```
PaymentOnDefault paymentOnDefault
```
    The payment on default.
    Whether the accrued premium is paid in the event of a default.
  - paymentPeriods
```
ImmutableList<CreditCouponPaymentPeriod> paymentPeriods
```
    The periodic payments based on the fixed rate.
    Each payment period represents part of the life-time of the leg. In most cases, the periods do not overlap. However, since each payment period is essentially independent the data model allows overlapping periods.
  - protectionEndDate
```
LocalDate protectionEndDate
```
    The protection end date.
    This may be different from the accrual end date of the last payment period in periodicPayments.
  - protectionStart
```
ProtectionStartOfDay protectionStart
```
    The protection start of the day.
    When the protection starts on the start date.
  - settlementDateOffset
```
DaysAdjustment settlementDateOffset
```
    The number of days between valuation date and settlement date.
    It is usually 3 business days for standardized CDS contracts.
  - stepinDateOffset
```
DaysAdjustment stepinDateOffset
```
    The number of days between valuation date and step-in date.
    The step-in date is also called protection effective date. It is usually 1 calendar day for standardized CDS contracts.
Class com.opengamma.strata.product.credit.ResolvedCdsIndex extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - buySell
```
BuySell buySell
```
    Whether the CDS index is buy or sell.
    A value of 'Buy' implies buying protection, where the fixed coupon is paid and the protection is received in the event of default. A value of 'Sell' implies selling protection, where the fixed coupon is received and the protection is paid in the event of default.
  - cdsIndexId
```
StandardId cdsIndexId
```
    The CDS index identifier.
    This identifier is used to refer this CDS index product.
  - dayCount
```
DayCount dayCount
```
    The day count convention.
    This is used to convert dates to a numerical value.
  - legalEntityIds
```
ImmutableList<StandardId> legalEntityIds
```
    The legal entity identifiers.
    These identifiers refer to the reference legal entities of the CDS index.
  - paymentOnDefault
```
PaymentOnDefault paymentOnDefault
```
    The payment on default.
    Whether the accrued premium is paid in the event of a default.
  - paymentPeriods
```
ImmutableList<CreditCouponPaymentPeriod> paymentPeriods
```
    The periodic payments based on the fixed rate.
    Each payment period represents part of the life-time of the leg. In most cases, the periods do not overlap. However, since each payment period is essentially independent the data model allows overlapping periods.
  - protectionEndDate
```
LocalDate protectionEndDate
```
    The protection end date.
    This may be different from the accrual end date of the last payment period in periodicPayments.
  - protectionStart
```
ProtectionStartOfDay protectionStart
```
    The protection start of the day.
    When the protection starts on the start date.
  - settlementDateOffset
```
DaysAdjustment settlementDateOffset
```
    The number of days between valuation date and settlement date.
    It is usually 3 business days for standardized CDS index contracts.
  - stepinDateOffset
```
DaysAdjustment stepinDateOffset
```
    The number of days between valuation date and step-in date.
    The step-in date is also called protection effective date. It is usually 1 calendar day for standardized CDS index contracts.
Class com.opengamma.strata.product.credit.ResolvedCdsIndexTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
ResolvedCdsIndex product
```
    The resolved CDS index product.
    The product captures the contracted financial details of the trade.
  - upfrontFee
```
Payment upfrontFee
```
    The upfront fee of the product.
    This specifies a single amount payable by the buyer to the seller Thus the sign must be compatible with the product Pay/Receive flag.
Class com.opengamma.strata.product.credit.ResolvedCdsTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
ResolvedCds product
```
    The resolved CDS product.
    The product captures the contracted financial details of the trade.
  - upfrontFee
```
Payment upfrontFee
```
    The upfront fee of the product.
    This specifies a single amount payable by the buyer to the seller Thus the sign must be compatible with the product Pay/Receive flag.
    Some CDSs, especially legacy products, are traded at par and the upfront fee is not paid.

Package com.opengamma.strata.product.credit.type

Class com.opengamma.strata.product.credit.type.DatesCdsTemplate extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - convention
```
CdsConvention convention
```
    The market convention of the credit default swap.
  - endDate
```
LocalDate endDate
```
    The end date.
    The end date of the underling CDS product. This date can be modified following the rule in convention.
  - startDate
```
LocalDate startDate
```
    The start date.
    The start date of the underling CDS product. This date can be modified following the rule in convention.
Class com.opengamma.strata.product.credit.type.ImmutableCdsConvention extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - businessDayAdjustment
```
BusinessDayAdjustment businessDayAdjustment
```
    The business day adjustment to apply to payment schedule dates.
    Each date in the calculated schedule is determined without taking into account weekends and holidays. The adjustment specified here is used to convert those dates to valid business days.
    The start date and end date may have their own business day adjustment rules. If those are not present, then this adjustment is used instead.
  - currency
```
Currency currency
```
    The currency of the CDS.
    The amounts of the notional are expressed in terms of this currency.
  - dayCount
```
DayCount dayCount
```
    The day count convention applicable.
    This is used to convert schedule period dates to a numerical value.
  - endDateBusinessDayAdjustment
```
BusinessDayAdjustment endDateBusinessDayAdjustment
```
    The business day adjustment to apply to the end date, optional with defaulting getter.
    The end date property is an unadjusted date and as such might be a weekend or holiday. The adjustment specified here is used to convert the end date to a valid business day.
    This will default to the 'None' if not specified.
  - name
```
String name
```
    The convention name.
  - paymentFrequency
```
Frequency paymentFrequency
```
    The periodic frequency of payments.
    Regular payments will be made at the specified periodic frequency. This also defines the accrual periodic frequency.
  - paymentOnDefault
```
PaymentOnDefault paymentOnDefault
```
    The payment on default.
    Whether the accrued premium is paid in the event of a default.
    This will default to 'accrued premium' if not specified.
  - protectionStart
```
ProtectionStartOfDay protectionStart
```
    The protection start of the day.
    When the protection starts on the start date.
    This will default to 'beginning of the start day' if not specified.
  - rollConvention
```
RollConvention rollConvention
```
    The convention defining how to roll dates, optional with defaulting getter.
    The schedule periods are determined at the high level by repeatedly adding the frequency to the start date, or subtracting it from the end date. The roll convention provides the detailed rule to adjust the day-of-month or day-of-week.
    This will default to 'Day20' if not specified.
  - settlementDateOffset
```
DaysAdjustment settlementDateOffset
```
    The number of days between valuation date and settlement date.
    It is usually 3 business days for standardised CDS contracts.
  - startDateBusinessDayAdjustment
```
BusinessDayAdjustment startDateBusinessDayAdjustment
```
    The business day adjustment to apply to the start date, optional with defaulting getter.
    The start date property is an unadjusted date and as such might be a weekend or holiday. The adjustment specified here is used to convert the start date to a valid business day.
    This will default to the businessDayAdjustment if not specified.
  - stepinDateOffset
```
DaysAdjustment stepinDateOffset
```
    The number of days between valuation date and step-in date.
    The step-in date is also called protection effective date.
    This will default to '1 calendar day' if not specified.
  - stubConvention
```
StubConvention stubConvention
```
    The convention defining how to handle stubs, optional with defaulting getter.
    The stub convention is used during schedule construction to determine whether the irregular remaining period occurs at the start or end of the schedule. It also determines whether the irregular period is shorter or longer than the regular period.
    This will default to 'SmartInitial' if not specified.
Class com.opengamma.strata.product.credit.type.TenorCdsTemplate extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualStart
```
AccrualStart accrualStart
```
    The accrual start.
    Whether the accrual start is the next day or the previous IMM date.
  - convention
```
CdsConvention convention
```
    The market convention of the credit default swap.
  - tenor
```
Tenor tenor
```
    The tenor of the credit default swap.
    This is the period to the protection end.

Package com.opengamma.strata.product.deposit

Class com.opengamma.strata.product.deposit.IborFixingDeposit extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - businessDayAdjustment
```
BusinessDayAdjustment businessDayAdjustment
```
    The business day adjustment to apply to the start and end date, optional.
    The start and end date are typically defined as valid business days and thus do not need to be adjusted. If this optional property is present, then the start and end date will be adjusted as defined here.
  - buySell
```
BuySell buySell
```
    Whether the Ibor fixing deposit is 'Buy' or 'Sell'.
    A value of 'Buy' implies that the floating rate is paid to the counterparty, with the fixed rate being received. A value of 'Sell' implies that the floating rate is received from the counterparty, with the fixed rate being paid.
  - currency
```
Currency currency
```
    The primary currency, defaulted to the currency of the index.
    This is the currency of the deposit and the currency that payment is made in. The data model permits this currency to differ from that of the index, however the two are typically the same.
    When building, this will default to the currency of the index if not specified.
  - dayCount
```
DayCount dayCount
```
    The day count convention applicable, defaulted to the day count of the index.
    This is used to convert dates to a numerical value. The data model permits the day count to differ from that of the index, however the two are typically the same.
    When building, this will default to the day count of the index if not specified.
  - endDate
```
LocalDate endDate
```
    The end date of the deposit.
    Interest accrues until this date. This date is typically set to be a valid business day. Optionally, the businessDayAdjustment property may be set to provide a rule for adjustment. This date must be after the start date.
  - fixedRate
```
double fixedRate
```
    The fixed interest rate to be paid. A 5% rate will be expressed as 0.05.
  - fixingDateOffset
```
DaysAdjustment fixingDateOffset
```
    The offset of the fixing date from the start date.
    The offset is applied to the start date and is typically minus 2 business days. The data model permits the offset to differ from that of the index, however the two are typically the same.
    When building, this will default to the fixing date offset of the index if not specified.
  - index
```
IborIndex index
```
    The Ibor index.
    The floating rate to be paid or received is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'.
    See buySell to determine whether this rate is paid or received.
  - notional
```
double notional
```
    The notional amount.
    The notional expressed here must be non-negative. The currency of the notional is specified by currency.
  - startDate
```
LocalDate startDate
```
    The start date of the deposit.
    Interest accrues from this date. This date is typically set to be a valid business day. Optionally, the businessDayAdjustment property may be set to provide a rule for adjustment.
Class com.opengamma.strata.product.deposit.IborFixingDepositTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
IborFixingDeposit product
```
    The Ibor fixing deposit product that was agreed when the trade occurred.
    The product captures the contracted financial details of the trade.
Class com.opengamma.strata.product.deposit.ResolvedIborFixingDeposit extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currency
```
Currency currency
```
    The primary currency.
    This is the currency of the deposit and the currency that payment is made in. The data model permits this currency to differ from that of the index, however the two are typically the same.
  - endDate
```
LocalDate endDate
```
    The end date of the deposit.
    This is the last day that interest accrues. This date must be after the start date.
    This is an adjusted date, which should be a valid business day
  - fixedRate
```
double fixedRate
```
    The fixed rate of interest. A 5% rate will be expressed as 0.05.
  - floatingRate
```
IborRateComputation floatingRate
```
    The floating rate of interest.
    The floating rate to be paid is based on this index. It will be a well known market index such as 'GBP-LIBOR-3M'.
  - notional
```
double notional
```
    The notional amount.
    The amount that is deposited. It is a positive signed amount if the deposit is 'Buy', and a negative signed amount if the deposit is 'Sell'.
    The currency of the notional is specified by currency.
  - startDate
```
LocalDate startDate
```
    The start date of the deposit.
    This is the first date that interest accrues.
    This is an adjusted date, which should be a valid business day
  - yearFraction
```
double yearFraction
```
    The year fraction between the start and end date.
    The value is usually calculated using a DayCount. Typically the value will be close to 1 for one year and close to 0.5 for six months. The fraction may be greater than 1, but not less than 0.
Class com.opengamma.strata.product.deposit.ResolvedIborFixingDepositTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
ResolvedIborFixingDeposit product
```
    The resolved Ibor Fixing Deposit product.
    The product captures the contracted financial details of the trade.
Class com.opengamma.strata.product.deposit.ResolvedTermDeposit extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - currency
```
Currency currency
```
    The primary currency.
    This is the currency of the deposit and the currency that payment is made in.
  - endDate
```
LocalDate endDate
```
    The end date of the deposit.
    This is the last day that interest accrues. This date must be after the start date.
    This is an adjusted date, which should be a valid business day
  - notional
```
double notional
```
    The notional amount.
    The amount that is deposited. It is a positive signed amount if the deposit is 'Buy', and a negative signed amount if the deposit is 'Sell'.
    The currency of the notional is specified by currency.
  - rate
```
double rate
```
    The fixed rate of interest. A 5% rate will be expressed as 0.05.
  - startDate
```
LocalDate startDate
```
    The start date of the deposit.
    This is the first date that interest accrues.
    This is an adjusted date, which should be a valid business day
  - yearFraction
```
double yearFraction
```
    The year fraction between the start and end date.
    The value is usually calculated using a DayCount. Typically the value will be close to 1 for one year and close to 0.5 for six months. The fraction may be greater than 1, but not less than 0.
Class com.opengamma.strata.product.deposit.ResolvedTermDepositTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
ResolvedTermDeposit product
```
    The resolved Term Deposit product.
    The product captures the contracted financial details of the trade.
Class com.opengamma.strata.product.deposit.TermDeposit extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - businessDayAdjustment
```
BusinessDayAdjustment businessDayAdjustment
```
    The business day adjustment to apply to the start and end date, optional.
    The start and end date are typically defined as valid business days and thus do not need to be adjusted. If this optional property is present, then the start and end date will be adjusted as defined here.
  - buySell
```
BuySell buySell
```
    Whether the term deposit is 'Buy' or 'Sell'.
    A value of 'Buy' implies payment of the principal at the start date and receipt of the principal plus interest at the end date. A value of 'Sell' implies the opposite. In other words, 'Buy' refers to buying the service of "money storage", with the benefit of receiving interest.
  - currency
```
Currency currency
```
    The primary currency.
    This is the currency of the term deposit and the currency that payment is made in.
  - dayCount
```
DayCount dayCount
```
    The day count convention.
    This is used to convert dates to a numerical value.
  - endDate
```
LocalDate endDate
```
    The end date of the deposit.
    Interest accrues until this date. This date is typically set to be a valid business day. Optionally, the businessDayAdjustment property may be set to provide a rule for adjustment. This date must be after the start date.
  - notional
```
double notional
```
    The notional amount.
    The notional represents the principal amount, and must be non-negative. The currency of the notional is specified by currency.
  - rate
```
double rate
```
    The fixed interest rate to be paid. A 5% rate will be expressed as 0.05.
  - startDate
```
LocalDate startDate
```
    The start date of the deposit.
    Interest accrues from this date. This date is typically set to be a valid business day. Optionally, the businessDayAdjustment property may be set to provide a rule for adjustment.
Class com.opengamma.strata.product.deposit.TermDepositTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
TermDeposit product
```
    The term deposit product that was agreed when the trade occurred.
    The product captures the contracted financial details of the trade.

Package com.opengamma.strata.product.deposit.type

Class com.opengamma.strata.product.deposit.type.IborFixingDepositTemplate extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - convention
```
IborFixingDepositConvention convention
```
    The underlying Ibor fixing deposit convention.
    This specifies the standard convention of the Ibor fixing deposit to be created.
  - depositPeriod
```
Period depositPeriod
```
    The period between the start date and the end date.
    The difference between the start date and the end date typically matches the tenor of the index, however this is not validated.
Class com.opengamma.strata.product.deposit.type.ImmutableIborFixingDepositConvention extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - businessDayAdjustment
```
BusinessDayAdjustment businessDayAdjustment
```
    The business day adjustment to apply to the start and end date, optional with defaulting getter.
    The start and end date are typically defined as valid business days and thus do not need to be adjusted. If this optional property is present, then the start and end date will be adjusted as defined here.
    This will default to 'ModifiedFollowing' using the index fixing calendar if not specified.
  - currency
```
Currency currency
```
    The primary currency, optional with defaulting getter.
    This is the currency of the deposit and the currency that payment is made in. The data model permits this currency to differ from that of the index, however the two are typically the same.
    This will default to the currency of the index if not specified.
  - dayCount
```
DayCount dayCount
```
    The day count convention applicable, optional with defaulting getter.
    This is used to convert dates to a numerical value. The data model permits the day count to differ from that of the index, however the two are typically the same.
    This will default to the day count of the index if not specified.
  - fixingDateOffset
```
DaysAdjustment fixingDateOffset
```
    The offset of the fixing date from the start date, optional with defaulting getter.
    The offset is applied to the start date and is typically minus 2 business days. The data model permits the offset to differ from that of the index, however the two are typically the same.
    This will default to the fixing date offset of the index if not specified.
  - index
```
IborIndex index
```
    The Ibor index.
    The floating rate to be paid or received is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'.
  - name
```
String name
```
    The convention name, such as 'GBP-LIBOR-3M', optional with defaulting getter.
    This will default to the name of the index if not specified.
  - spotDateOffset
```
DaysAdjustment spotDateOffset
```
    The offset of the spot value date from the trade date, optional with defaulting getter.
    The offset is applied to the trade date and is typically plus 2 business days. The start date of the deposit is equal to the spot date and the end date of the deposit is relative to the start date.
    This will default to the effective date offset of the index if not specified.
Class com.opengamma.strata.product.deposit.type.ImmutableTermDepositConvention extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - businessDayAdjustment
```
BusinessDayAdjustment businessDayAdjustment
```
    The business day adjustment to apply to the start and end date.
    The start and end date will be adjusted as defined here.
  - currency
```
Currency currency
```
    The primary currency.
    This is the currency of the term deposit and the currency that payment is made in.
  - dayCount
```
DayCount dayCount
```
    The day count convention.
    This is used to convert dates to a numerical value.
  - name
```
String name
```
    The convention name, such as 'GBP-Deposit-ON'.
  - spotDateOffset
```
DaysAdjustment spotDateOffset
```
    The offset of the spot value date from the trade date.
    The offset is applied to the trade date and is typically plus 2 business days. The start date of the term deposit is equal to the spot date and the end date of the term deposit is relative to the start date.
Class com.opengamma.strata.product.deposit.type.TermDepositTemplate extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - convention
```
TermDepositConvention convention
```
    The underlying term deposit convention.
    This specifies the standard convention of the term deposit to be created.
  - depositPeriod
```
Period depositPeriod
```
    The period between the start date and the end date.

Package com.opengamma.strata.product.dsf

Class com.opengamma.strata.product.dsf.Dsf extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - deliveryDate
```
LocalDate deliveryDate
```
    The delivery date.
    The underlying swap is delivered on this date.
  - lastTradeDate
```
LocalDate lastTradeDate
```
    The last date of trading.
    This date must be before the delivery date of the underlying swap.
  - notional
```
double notional
```
    The notional of the futures.
    This is also called face value or contract value.
  - securityId
```
SecurityId securityId
```
    The security identifier.
    This identifier uniquely identifies the security within the system.
  - underlyingSwap
```
Swap underlyingSwap
```
    The underlying swap.
    The delivery date of the future is typically the first accrual date of the underlying swap. The swap should be a receiver swap of notional 1.
Class com.opengamma.strata.product.dsf.DsfPosition extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PositionInfo info
```
    The additional position information, defaulted to an empty instance.
    This allows additional information to be attached to the position.
  - longQuantity
```
double longQuantity
```
    The long quantity of the security.
    This is the quantity of the underlying security that is held. The quantity cannot be negative, as that would imply short selling.
  - product
```
Dsf product
```
    The DSF that was traded.
    The product captures the contracted financial details.
  - shortQuantity
```
double shortQuantity
```
    The short quantity of the security.
    This is the quantity of the underlying security that has been short sold. The quantity cannot be negative, as that would imply the position is long.
Class com.opengamma.strata.product.dsf.DsfSecurity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
SecurityInfo info
```
    The standard security information.
    This includes the security identifier.
  - lastTradeDate
```
LocalDate lastTradeDate
```
    The last date of trading.
    This date must be before the delivery date of the underlying swap.
  - notional
```
double notional
```
    The notional.
    This is also called face value or contract value.
  - underlyingSwap
```
Swap underlyingSwap
```
    The underlying swap.
    The delivery date of the future is the start date of the swap. The swap must be a single currency swap with a notional of 1. There must be two legs, the fixed leg must be received and the floating rate must be paid.
Class com.opengamma.strata.product.dsf.DsfTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade. The trade date is required when calling DsfTrade.resolve(ReferenceData).
  - price
```
double price
```
    The price that was traded, in decimal form.
    This is the price agreed when the trade occurred.
    Strata uses decimal prices for DSFs in the trade model, pricers and market data. The decimal price is based on the decimal multiplier equivalent to the implied percentage. Thus the market price of 100.182 is represented in Strata by 1.00182.
  - product
```
Dsf product
```
    The future that was traded.
    The product captures the contracted financial details of the trade.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This is the number of contracts that were traded. This will be positive if buying and negative if selling.
Class com.opengamma.strata.product.dsf.ResolvedDsf extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - deliveryDate
```
LocalDate deliveryDate
```
    The delivery date.
    The underlying swap is delivered on this date.
  - lastTradeDate
```
LocalDate lastTradeDate
```
    The last date of trading.
    This date must be before the delivery date of the underlying swap.
  - notional
```
double notional
```
    The notional of the futures.
    This is also called face value or contract value.
  - securityId
```
SecurityId securityId
```
    The security identifier.
    This identifier uniquely identifies the security within the system.
  - underlyingSwap
```
ResolvedSwap underlyingSwap
```
    The underlying swap.
    The delivery date of the future is typically the first accrual date of the underlying swap. The swap should be a receiver swap of notional 1.
Class com.opengamma.strata.product.dsf.ResolvedDsfTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PortfolioItemInfo info
```
    The additional information, defaulted to an empty instance.
    This allows additional information to be attached.
  - product
```
ResolvedDsf product
```
    The future that was traded.
    The product captures the contracted financial details of the trade.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This is the number of contracts that were traded. This will be positive if buying and negative if selling.
  - tradedPrice
```
TradedPrice tradedPrice
```
    The price that was traded, together with the trade date, optional.
    This is the price agreed when the trade occurred, in decimal form. Strata uses decimal prices for DSFs in the trade model, pricers and market data. The decimal price is based on the decimal multiplier equivalent to the implied percentage. Thus the market price of 100.182 is represented in Strata by 1.00182.
    This is optional to allow the class to be used to price both trades and positions. When the instance represents a trade, the traded price should be present. When the instance represents a position, the traded price should be empty.

Package com.opengamma.strata.product.etd

Class com.opengamma.strata.product.etd.EtdContractCode extends TypedString<EtdContractCode> implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
Class com.opengamma.strata.product.etd.EtdContractGroupCode extends TypedString<EtdContractGroupCode> implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
Class com.opengamma.strata.product.etd.EtdContractGroupId extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - code
```
EtdContractGroupCode code
```
    The contract group code, as defined by the exchange.
  - exchangeId
```
ExchangeId exchangeId
```
    The exchange identifier.
Class com.opengamma.strata.product.etd.EtdContractSpec extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - attributes
```
ImmutableMap<AttributeType<?>,Object> attributes
```
    The attributes.
    Attributes provide the ability to associate arbitrary information with a security contract specification in a key-value map.
  - contractCode
```
EtdContractCode contractCode
```
    The code supplied by the exchange for use in clearing and margining, such as in SPAN.
  - description
```
String description
```
    The human readable description of the product.
  - exchangeId
```
ExchangeId exchangeId
```
    The ID of the exchange where the instruments derived from the product are traded.
  - id
```
EtdContractSpecId id
```
    The ID of this contract specification.
    When building, this will be defaulted using EtdIdUtils.
  - priceInfo
```
SecurityPriceInfo priceInfo
```
    The information about the security price. This includes details of the currency, tick size, tick value, contract size.
  - type
```
EtdType type
```
    The type of the contract - future or option.
Class com.opengamma.strata.product.etd.EtdContractSpecId extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - standardId
```
StandardId standardId
```
    The identifier, expressed as a standard two-part identifier.
Class com.opengamma.strata.product.etd.EtdFuturePosition extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PositionInfo info
```
    The additional position information, defaulted to an empty instance.
    This allows additional information to be attached to the position.
  - longQuantity
```
double longQuantity
```
    The long quantity of the security.
    This is the quantity of the underlying security that is held. The quantity cannot be negative, as that would imply short selling.
  - security
```
EtdFutureSecurity security
```
    The underlying security.
  - shortQuantity
```
double shortQuantity
```
    The short quantity of the security.
    This is the quantity of the underlying security that has been short sold. The quantity cannot be negative, as that would imply the position is long.
Class com.opengamma.strata.product.etd.EtdFutureSecurity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - contractSpecId
```
EtdContractSpecId contractSpecId
```
    The ID of the contract specification from which this security is derived.
  - expiry
```
YearMonth expiry
```
    The year-month of the expiry.
    Expiry will occur on a date implied by the variant of the ETD.
  - info
```
SecurityInfo info
```
    The standard security information.
    This includes the security identifier.
  - variant
```
EtdVariant variant
```
    The variant of ETD.
    This captures the variant of the ETD. The most common variant is 'Monthly'. Other variants are 'Weekly', 'Daily' and 'Flex'.
    When building, this defaults to 'Monthly'.
Class com.opengamma.strata.product.etd.EtdFutureTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - price
```
double price
```
    The price that was traded, in decimal form.
    This is the price agreed when the trade occurred.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This is the number of contracts that were traded. This will be positive if buying and negative if selling.
  - security
```
EtdFutureSecurity security
```
    The security that was traded.
Class com.opengamma.strata.product.etd.EtdOptionPosition extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PositionInfo info
```
    The additional position information, defaulted to an empty instance.
    This allows additional information to be attached to the position.
  - longQuantity
```
double longQuantity
```
    The long quantity of the security.
    This is the quantity of the underlying security that is held. The quantity cannot be negative, as that would imply short selling.
  - security
```
EtdOptionSecurity security
```
    The underlying security.
  - shortQuantity
```
double shortQuantity
```
    The short quantity of the security.
    This is the quantity of the underlying security that has been short sold. The quantity cannot be negative, as that would imply the position is long.
Class com.opengamma.strata.product.etd.EtdOptionSecurity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - contractSpecId
```
EtdContractSpecId contractSpecId
```
    The ID of the contract specification from which this security is derived.
  - expiry
```
YearMonth expiry
```
    The year-month of the expiry.
    Expiry will occur on a date implied by the variant of the ETD.
  - info
```
SecurityInfo info
```
    The standard security information.
    This includes the security identifier.
  - putCall
```
PutCall putCall
```
    Whether the option is a put or call.
  - strikePrice
```
double strikePrice
```
    The strike price, in decimal form, may be negative.
  - underlyingExpiryMonth
```
YearMonth underlyingExpiryMonth
```
    The expiry year-month of the underlying instrument.
    If an option has an underlying instrument, the expiry of that instrument can be specified here. For example, you can have an option expiring in March on the underlying March future, or on the underlying June future. Not all options have an underlying instrument, thus the property is optional.
    In many cases, the expiry of the underlying instrument is the same as the expiry of the option. In this case, the expiry is often omitted, even though it probably should not be.
  - variant
```
EtdVariant variant
```
    The variant of ETD.
    This captures the variant of the ETD. The most common variant is 'Monthly'. Other variants are 'Weekly', 'Daily' and 'Flex'.
    When building, this defaults to 'Monthly'.
  - version
```
int version
```
    The version of the option, defaulted to zero.
    Some options can have multiple versions, representing some kind of change over time. Version zero is the baseline, version one and later indicates some kind of change occurred.
Class com.opengamma.strata.product.etd.EtdOptionTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - price
```
double price
```
    The price that was traded, in decimal form.
    This is the price agreed when the trade occurred.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This is the number of contracts that were traded. This will be positive if buying and negative if selling.
  - security
```
EtdOptionSecurity security
```
    The security that was traded.
Class com.opengamma.strata.product.etd.EtdVariant extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - code
```
String code
```
    The short code.
  - dateCode
```
Integer dateCode
```
    The optional date code, populated for Weekly and Daily.
    This will be the week number for Weekly and the day-of-week for Daily.
  - optionType
```
EtdOptionType optionType
```
    The optional option type, 'American' or 'European', populated for Flex Options.
  - settlementType
```
EtdSettlementType settlementType
```
    The optional settlement type, such as 'Cash' or 'Physical', populated for Flex Futures and Flex Options.
  - type
```
EtdExpiryType type
```
    The type of ETD - Monthly, Weekly or Daily.
    Flex Futures and Options are always Daily.

Package com.opengamma.strata.product.fra

Class com.opengamma.strata.product.fra.Fra extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - businessDayAdjustment
```
BusinessDayAdjustment businessDayAdjustment
```
    The business day adjustment to apply to the start and end date, optional.
    The start and end date are typically defined as valid business days and thus do not need to be adjusted. If this optional property is present, then the start and end date will be adjusted as defined here.
  - buySell
```
BuySell buySell
```
    Whether the FRA is buy or sell.
    A value of 'Buy' implies that the floating rate is received from the counterparty, with the fixed rate being paid. A value of 'Sell' implies that the floating rate is paid to the counterparty, with the fixed rate being received.
  - currency
```
Currency currency
```
    The primary currency, defaulted to the currency of the index.
    This is the currency of the FRA and the currency that payment is made in. The data model permits this currency to differ from that of the index, however the two are typically the same.
    When building, this will default to the currency of the index if not specified.
  - dayCount
```
DayCount dayCount
```
    The day count convention applicable, defaulted to the day count of the index.
    This is used to convert dates to a numerical value. The data model permits the day count to differ from that of the index, however the two are typically the same.
    When building, this will default to the day count of the index if not specified.
  - discounting
```
FraDiscountingMethod discounting
```
    The method to use for discounting, defaulted to 'ISDA' or 'AFMA'.
    There are different approaches FRA pricing in the area of discounting. This method specifies the approach for this FRA.
    When building, this will default 'AFMA' if the index has the currency 'AUD' or 'NZD' and to 'ISDA' otherwise.
  - endDate
```
LocalDate endDate
```
    The end date, which is the termination date of the FRA.
    This is the last day that interest accrues. This date must be after the start date.
    This date is typically set to be a valid business day. Optionally, the businessDayAdjustment property may be set to provide a rule for adjustment.
  - fixedRate
```
double fixedRate
```
    The fixed rate of interest. A 5% rate will be expressed as 0.05.
    See buySell to determine whether this rate is paid or received.
  - fixingDateOffset
```
DaysAdjustment fixingDateOffset
```
    The offset of the fixing date from the start date.
    The offset is applied to the start date and is typically minus 2 business days. The data model permits the offset to differ from that of the index, however the two are typically the same.
    When building, this will default to the fixing date offset of the index if not specified.
  - index
```
IborIndex index
```
    The Ibor index.
    The floating rate to be paid is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'. This will be used throughout unless indexInterpolated is present.
    See buySell to determine whether this rate is paid or received.
  - indexInterpolated
```
IborIndex indexInterpolated
```
    The second Ibor index to be used for linear interpolation, optional.
    This will be used with index to linearly interpolate the rate. It will be a well known market index such as 'GBP-LIBOR-6M'. This index may be shorter or longer than index, but not the same.
  - notional
```
double notional
```
    The notional amount.
    The notional expressed here must be positive. The currency of the notional is specified by currency.
  - paymentDate
```
AdjustableDate paymentDate
```
    The payment date.
    The payment date is typically the same as the start date. The date may be subject to adjustment to ensure it is a business day.
    When building, this will default to the start date with no adjustments if not specified.
  - startDate
```
LocalDate startDate
```
    The start date, which is the effective date of the FRA.
    This is the first date that interest accrues.
    This date is typically set to be a valid business day. Optionally, the businessDayAdjustment property may be set to provide a rule for adjustment.
Class com.opengamma.strata.product.fra.FraTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
Fra product
```
    The FRA product that was agreed when the trade occurred.
    The product captures the contracted financial details of the trade.
Class com.opengamma.strata.product.fra.ResolvedFra extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - currency
```
Currency currency
```
    The primary currency.
    This is the currency of the FRA and the currency that payment is made in. The data model permits this currency to differ from that of the index, however the two are typically the same.
  - discounting
```
FraDiscountingMethod discounting
```
    The method to use for discounting.
    There are different approaches to FRA pricing in the area of discounting. This method specifies the approach for this FRA.
  - endDate
```
LocalDate endDate
```
    The end date, which is the termination date of the FRA.
    This is the last day that interest accrues. This date must be after the start date.
    This is an adjusted date, which should be a valid business day
  - fixedRate
```
double fixedRate
```
    The fixed rate of interest. A 5% rate will be expressed as 0.05.
  - floatingRate
```
RateComputation floatingRate
```
    The floating rate of interest.
    The floating rate to be paid is based on this index. It will be a well known market index such as 'GBP-LIBOR-3M'.
  - notional
```
double notional
```
    The notional amount.
    The notional, which is a positive signed amount if the FRA is 'buy', and a negative signed amount if the FRA is 'sell'.
    The currency of the notional is specified by currency.
  - paymentDate
```
LocalDate paymentDate
```
    The date that payment occurs.
    This is an adjusted date, which should be a valid business day
  - startDate
```
LocalDate startDate
```
    The start date, which is the effective date of the FRA.
    This is the first date that interest accrues.
    This is an adjusted date, which should be a valid business day
  - yearFraction
```
double yearFraction
```
    The year fraction between the start and end date.
    The value is usually calculated using a DayCount. Typically the value will be close to 1 for one year and close to 0.5 for six months. The fraction may be greater than 1, but not less than 0.
Class com.opengamma.strata.product.fra.ResolvedFraTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
ResolvedFra product
```
    The resolved FRA product.
    The product captures the contracted financial details of the trade.

Package com.opengamma.strata.product.fra.type

Class com.opengamma.strata.product.fra.type.FraTemplate extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - convention
```
FraConvention convention
```
    The underlying FRA convention.
    This specifies the market convention of the FRA to be created.
  - periodToEnd
```
Period periodToEnd
```
    The period between the spot value date and the end date.
    In a FRA described as '2 x 5', the period to the end date is 5 months. The difference between the start date and the end date typically matches the tenor of the index, however this is not validated.
    When building, this will default to the period to start plus the tenor of the index if not specified.
  - periodToStart
```
Period periodToStart
```
    The period between the spot value date and the start date.
    In a FRA described as '2 x 5', the period to the start date is 2 months.
Class com.opengamma.strata.product.fra.type.ImmutableFraConvention extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - businessDayAdjustment
```
BusinessDayAdjustment businessDayAdjustment
```
    The business day adjustment to apply to the start and end date, optional with defaulting getter.
    The start and end date are typically defined as valid business days and thus do not need to be adjusted. If this optional property is present, then the start and end date will be adjusted as defined here.
    This will default to 'ModifiedFollowing' using the index fixing calendar if not specified.
  - currency
```
Currency currency
```
    The primary currency, optional with defaulting getter.
    This is the currency of the FRA and the currency that payment is made in. The data model permits this currency to differ from that of the index, however the two are typically the same.
    This will default to the currency of the index if not specified.
  - dayCount
```
DayCount dayCount
```
    The day count convention applicable, optional with defaulting getter.
    This is used to convert dates to a numerical value. The data model permits the day count to differ from that of the index, however the two are typically the same.
    This will default to the day count of the index if not specified.
  - discounting
```
FraDiscountingMethod discounting
```
    The method to use for discounting, optional with defaulting getter.
    There are different approaches FRA pricing in the area of discounting. This method specifies the approach for this FRA.
    This will default 'AFMA' if the index has the currency 'AUD' or 'NZD' and to 'ISDA' otherwise.
  - fixingDateOffset
```
DaysAdjustment fixingDateOffset
```
    The offset of the fixing date from the start date, optional with defaulting getter.
    The offset is applied to the start date and is typically minus 2 business days. The data model permits the offset to differ from that of the index, however the two are typically the same.
    This will default to the fixing date offset of the index if not specified.
  - index
```
IborIndex index
```
    The Ibor index.
    The floating rate to be paid is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'.
  - name
```
String name
```
    The convention name, such as 'GBP-LIBOR-3M', optional with defaulting getter.
    This will default to the name of the index if not specified.
  - paymentDateOffset
```
DaysAdjustment paymentDateOffset
```
    The offset of the payment date from the start date, optional with defaulting getter.
    Defines the offset from the start date to the payment date. In most cases, the payment date is the same as the start date, so the default of zero is appropriate.
    This will default to zero if not specified.
  - spotDateOffset
```
DaysAdjustment spotDateOffset
```
    The offset of the spot value date from the trade date, optional with defaulting getter.
    The offset is applied to the trade date and is typically plus 2 business days. The start and end date of the FRA term are relative to the spot date.
    This will default to the effective date offset of the index if not specified.

Package com.opengamma.strata.product.fx

Class com.opengamma.strata.product.fx.FxNdf extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - agreedFxRate
```
FxRate agreedFxRate
```
    The FX rate agreed for the value date at the inception of the trade.
    The settlement amount is based on the difference between this rate and the rate observed on the fixing date using the index.
    The forward is between the two currencies defined by the rate.
  - index
```
FxIndex index
```
    The index defining the FX rate to observe on the fixing date.
    The index is used to settle the trade by providing the actual FX rate on the fixing date. The value of the trade is based on the difference between the actual rate and the agreed rate.
    The forward is between the two currencies defined by the index.
  - paymentDate
```
LocalDate paymentDate
```
    The date that the forward settles.
    On this date, the settlement amount will be exchanged. This date should be a valid business day.
  - settlementCurrencyNotional
```
CurrencyAmount settlementCurrencyNotional
```
    The notional amount in the settlement currency, positive if receiving, negative if paying.
    The amount is signed. A positive amount indicates the payment is to be received. A negative amount indicates the payment is to be paid.
    This must be specified in one of the two currencies of the forward.
Class com.opengamma.strata.product.fx.FxNdfTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
FxNdf product
```
    The product that was agreed when the trade occurred.
    The product captures the contracted financial details of the trade.
Class com.opengamma.strata.product.fx.FxSingle extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - baseCurrencyPayment
```
Payment baseCurrencyPayment
```
    The payment in the base currency, positive if receiving, negative if paying.
    The amount is signed. A positive amount indicates the payment is to be received. A negative amount indicates the payment is to be paid.
    The payment date is usually the same as counterCurrencyPayment. It is typically a valid business day, however the businessDayAdjustment property may be used to adjust it.
  - counterCurrencyPayment
```
Payment counterCurrencyPayment
```
    The payment in the counter currency, positive if receiving, negative if paying.
    The amount is signed. A positive amount indicates the payment is to be received. A negative amount indicates the payment is to be paid.
    The payment date is usually the same as baseCurrencyPayment. It is typically a valid business day, however the businessDayAdjustment property may be used to adjust it.
  - paymentDateAdjustment
```
BusinessDayAdjustment paymentDateAdjustment
```
    The payment date adjustment, optional.
    If present, the adjustment will be applied to the payment date.
Class com.opengamma.strata.product.fx.FxSingleTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
FxSingle product
```
    The product that was agreed when the trade occurred.
    The product captures the contracted financial details of the trade.
Class com.opengamma.strata.product.fx.FxSwap extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - farLeg
```
FxSingle farLeg
```
    The foreign exchange transaction at the later date.
    This provides details of a single foreign exchange at a specific date. The payment date of this transaction must be after that of the near leg.
  - nearLeg
```
FxSingle nearLeg
```
    The foreign exchange transaction at the earlier date.
    This provides details of a single foreign exchange at a specific date. The payment date of this transaction must be before that of the far leg.
Class com.opengamma.strata.product.fx.FxSwapTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
FxSwap product
```
    The FX swap product that was agreed when the trade occurred.
    The product captures the contracted financial details of the trade.
Class com.opengamma.strata.product.fx.ResolvedFxNdf extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - agreedFxRate
```
FxRate agreedFxRate
```
    The FX rate agreed for the value date at the inception of the trade.
    The settlement amount is based on the difference between this rate and the rate observed on the fixing date using the index.
    The forward is between the two currencies defined by the rate.
  - observation
```
FxIndexObservation observation
```
    The FX index observation.
    This defines the observation of the index used to settle the trade. The value of the trade is based on the difference between the actual rate and the agreed rate.
    An FX index is a daily rate of exchange between two currencies. Note that the order of the currencies in the index does not matter, as the conversion direction is fully defined by the currency of the reference amount.
  - paymentDate
```
LocalDate paymentDate
```
    The date that the forward settles.
    On this date, the settlement amount will be exchanged. This date should be a valid business day.
  - settlementCurrencyNotional
```
CurrencyAmount settlementCurrencyNotional
```
    The notional amount in the settlement currency, positive if receiving, negative if paying.
    The amount is signed. A positive amount indicates the payment is to be received. A negative amount indicates the payment is to be paid.
    This must be specified in one of the two currencies of the forward.
Class com.opengamma.strata.product.fx.ResolvedFxNdfTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
ResolvedFxNdf product
```
    The resolved Non-Deliverable Forward (NDF) product.
    The product captures the contracted financial details of the trade.
Class com.opengamma.strata.product.fx.ResolvedFxSingle extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - baseCurrencyPayment
```
Payment baseCurrencyPayment
```
    The payment in the base currency, positive if receiving, negative if paying.
    The payment amount is signed. A positive amount indicates the payment is to be received. A negative amount indicates the payment is to be paid.
  - counterCurrencyPayment
```
Payment counterCurrencyPayment
```
    The payment in the counter currency, positive if receiving, negative if paying.
    The payment amount is signed. A positive amount indicates the payment is to be received. A negative amount indicates the payment is to be paid.
Class com.opengamma.strata.product.fx.ResolvedFxSingleTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
ResolvedFxSingle product
```
    The resolved single FX product.
    The product captures the contracted financial details of the trade.
Class com.opengamma.strata.product.fx.ResolvedFxSwap extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - farLeg
```
ResolvedFxSingle farLeg
```
    The foreign exchange transaction at the later date.
    This provides details of a single foreign exchange at a specific date. The payment date of this transaction must be after that of the near leg.
  - nearLeg
```
ResolvedFxSingle nearLeg
```
    The foreign exchange transaction at the earlier date.
    This provides details of a single foreign exchange at a specific date. The payment date of this transaction must be before that of the far leg.
Class com.opengamma.strata.product.fx.ResolvedFxSwapTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
ResolvedFxSwap product
```
    The resolved FX swap product.
    The product captures the contracted financial details of the trade.

Package com.opengamma.strata.product.fx.type

Class com.opengamma.strata.product.fx.type.FxSwapTemplate extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - convention
```
FxSwapConvention convention
```
    The underlying FX Swap convention.
    This specifies the market convention of the FX Swap to be created.
  - periodToFar
```
Period periodToFar
```
    The period between the spot value date and the far date.
    For example, a '3M x 6M' FX swap has a period from spot to the far date of 6 months
  - periodToNear
```
Period periodToNear
```
    The period between the spot value date and the near date.
    For example, a '3M x 6M' FX swap has a period from spot to the near date of 3 months
Class com.opengamma.strata.product.fx.type.ImmutableFxSwapConvention extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - businessDayAdjustment
```
BusinessDayAdjustment businessDayAdjustment
```
    The business day adjustment to apply to the start and end date, optional with defaulting getter.
    The start and end date are typically defined as valid business days and thus do not need to be adjusted. If this optional property is present, then the start and end date will be adjusted as defined here.
    This will default to 'ModifiedFollowing' using the spot date offset calendar if not specified.
  - currencyPair
```
CurrencyPair currencyPair
```
    The currency pair associated with the convention.
  - name
```
String name
```
    The convention name, such as 'EUR/USD', optional with defaulting getter.
    This will default to the name of the currency pair if not specified.
  - spotDateOffset
```
DaysAdjustment spotDateOffset
```
    The offset of the spot value date from the trade date.
    The offset is applied to the trade date and is typically plus 2 business days in the joint calendar of the two currencies. The start and end date of the FX swap are relative to the spot date.

Package com.opengamma.strata.product.fxopt

Class com.opengamma.strata.product.fxopt.FxSingleBarrierOption extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - barrier
```
Barrier barrier
```
    The barrier description.
    The barrier level stored in this field must be represented based on the direction of the currency pair in the underlying FX transaction.
    For example, if the underlying option is an option on EUR/GBP, the barrier should be a certain level of EUR/GBP rate.
  - rebate
```
CurrencyAmount rebate
```
    For a 'out' option, the amount is paid when the barrier is reached; for a 'in' option, the amount is paid at expiry if the barrier is not reached.
    This is the notional amount represented in one of the currency pair. The amount should be positive.
  - underlyingOption
```
FxVanillaOption underlyingOption
```
    The underlying FX vanilla option.
Class com.opengamma.strata.product.fxopt.FxSingleBarrierOptionTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - premium
```
AdjustablePayment premium
```
    The premium of the FX option.
    The premium sign should be compatible with the product Long/Short flag. This means that the premium is negative for long and positive for short.
  - product
```
FxSingleBarrierOption product
```
    The FX option product that was agreed when the trade occurred.
    The product captures the contracted financial details of the trade.
Class com.opengamma.strata.product.fxopt.FxVanillaOption extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - expiryDate
```
LocalDate expiryDate
```
    The expiry date of the option.
    The option is European, and can only be exercised on the expiry date.
  - expiryTime
```
LocalTime expiryTime
```
    The expiry time of the option.
    The expiry time is related to the expiry date and time-zone.
  - expiryZone
```
ZoneId expiryZone
```
    The time-zone of the expiry time.
    The expiry time-zone is related to the expiry date and time.
  - longShort
```
LongShort longShort
```
    Whether the option is long or short.
    At expiry, the long party will have the option to enter in this transaction; the short party will, at the option of the long party, potentially enter into the inverse transaction.
  - underlying
```
FxSingle underlying
```
    The underlying foreign exchange transaction.
    At expiry, if the option is in the money, this foreign exchange will occur.
Class com.opengamma.strata.product.fxopt.FxVanillaOptionTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - premium
```
AdjustablePayment premium
```
    The premium of the FX option.
    The premium sign should be compatible with the product Long/Short flag. This means that the premium is negative for long and positive for short.
  - product
```
FxVanillaOption product
```
    The FX option product that was agreed when the trade occurred.
    The product captures the contracted financial details of the trade.
Class com.opengamma.strata.product.fxopt.ResolvedFxSingleBarrierOption extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - barrier
```
Barrier barrier
```
    The barrier description.
    The barrier level stored in this field must be represented based on the direction of the currency pair in the underlying FX transaction.
    For example, if the underlying option is an option on EUR/GBP, the barrier should be a certain level of EUR/GBP rate.
  - rebate
```
CurrencyAmount rebate
```
    For a 'out' option, the amount is paid when the barrier is reached; for a 'in' option, the amount is paid at expiry if the barrier is not reached.
    This is the notional amount represented in one of the currency pair. The amount should be positive.
  - underlyingOption
```
ResolvedFxVanillaOption underlyingOption
```
    The underlying FX vanilla option.
Class com.opengamma.strata.product.fxopt.ResolvedFxSingleBarrierOptionTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - premium
```
Payment premium
```
    The premium of the FX option.
    The premium sign should be compatible with the product Long/Short flag. This means that the premium is negative for long and positive for short.
  - product
```
ResolvedFxSingleBarrierOption product
```
    The resolved barrier FX option product.
    The product captures the contracted financial details of the trade.
Class com.opengamma.strata.product.fxopt.ResolvedFxVanillaOption extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - expiry
```
ZonedDateTime expiry
```
    The expiry date-time of the option.
    The option is European, and can only be exercised on the expiry date.
  - longShort
```
LongShort longShort
```
    Whether the option is long or short.
    At expiry, the long party will have the option to enter in this transaction; the short party will, at the option of the long party, potentially enter into the inverse transaction.
  - underlying
```
ResolvedFxSingle underlying
```
    The underlying foreign exchange transaction.
    At expiry, if the option is in the money, this foreign exchange will occur. A call option permits the transaction as specified to occur. A put option permits the inverse transaction to occur.
Class com.opengamma.strata.product.fxopt.ResolvedFxVanillaOptionTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - premium
```
Payment premium
```
    The premium of the FX option.
    The premium sign should be compatible with the product Long/Short flag. This means that the premium is negative for long and positive for short.
  - product
```
ResolvedFxVanillaOption product
```
    The resolved vanilla FX option product.
    The product captures the contracted financial details of the trade.

Package com.opengamma.strata.product.index

Class com.opengamma.strata.product.index.IborFuture extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualFactor
```
double accrualFactor
```
    The accrual factor, defaulted from the index if not set.
    This is the year fraction of the contract, typically 0.25 for a 3 month deposit.
    When building, this will default to the number of months in the index divided by 12 if not specified. However, if the index is not month-based, no defaulting will occur.
  - currency
```
Currency currency
```
    The currency that the future is traded in, defaulted from the index if not set.
  - index
```
IborIndex index
```
    The underlying Ibor index.
    The future is based on this index. It will be a well known market index such as 'USD-LIBOR-3M'.
  - lastTradeDate
```
LocalDate lastTradeDate
```
    The last date of trading. This date is also the fixing date for the Ibor index. This is typically 2 business days before the IMM date (3rd Wednesday of the month).
  - notional
```
double notional
```
    The notional amount.
    This is the full notional of the deposit, such as 1 million dollars. The notional expressed here must be positive. The currency of the notional is specified by currency.
  - rounding
```
Rounding rounding
```
    The definition of how to round the futures price, defaulted to no rounding.
    The price is represented in decimal form, not percentage form. As such, the decimal places expressed by the rounding refers to this decimal form. For example, the common market price of 99.7125 for a 0.2875% rate is represented as 0.997125 which has 6 decimal places.
  - securityId
```
SecurityId securityId
```
    The security identifier.
    This identifier uniquely identifies the security within the system.
Class com.opengamma.strata.product.index.IborFutureOption extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - expiryDate
```
LocalDate expiryDate
```
    The expiry date of the option.
    The expiry date is related to the expiry time and time-zone. The date must not be after last trade date of the underlying future.
  - expiryTime
```
LocalTime expiryTime
```
    The expiry time of the option.
    The expiry time is related to the expiry date and time-zone.
  - expiryZone
```
ZoneId expiryZone
```
    The time-zone of the expiry time.
    The expiry time-zone is related to the expiry date and time.
  - premiumStyle
```
FutureOptionPremiumStyle premiumStyle
```
    The style of the option premium.
    The two options are daily margining and upfront premium.
  - putCall
```
PutCall putCall
```
    Whether the option is put or call.
    A call gives the owner the right, but not obligation, to buy the underlying at an agreed price in the future. A put gives a similar option to sell.
  - rounding
```
Rounding rounding
```
    The definition of how to round the option price, defaulted to no rounding.
    The price is represented in decimal form, not percentage form. As such, the decimal places expressed by the rounding refers to this decimal form.
  - securityId
```
SecurityId securityId
```
    The security identifier.
    This identifier uniquely identifies the security within the system.
  - strikePrice
```
double strikePrice
```
    The strike price, in decimal form.
    This is the price at which the option applies and refers to the price of the underlying future. The rate implied by the strike can take negative values.
    Strata uses decimal prices for Ibor futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.
  - underlyingFuture
```
IborFuture underlyingFuture
```
    The underlying future.
Class com.opengamma.strata.product.index.IborFutureOptionPosition extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PositionInfo info
```
    The additional position information, defaulted to an empty instance.
    This allows additional information to be attached to the position.
  - longQuantity
```
double longQuantity
```
    The long quantity of the security.
    This is the quantity of the underlying security that is held. The quantity cannot be negative, as that would imply short selling.
  - product
```
IborFutureOption product
```
    The option that was traded.
    The product captures the contracted financial details.
  - shortQuantity
```
double shortQuantity
```
    The short quantity of the security.
    This is the quantity of the underlying security that has been short sold. The quantity cannot be negative, as that would imply the position is long.
Class com.opengamma.strata.product.index.IborFutureOptionSecurity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - currency
```
Currency currency
```
    The currency that the option is traded in.
  - expiryDate
```
LocalDate expiryDate
```
    The expiry date of the option.
    The expiry date is related to the expiry time and time-zone. The date must not be after last trade date of the underlying future.
  - expiryTime
```
LocalTime expiryTime
```
    The expiry time of the option.
    The expiry time is related to the expiry date and time-zone.
  - expiryZone
```
ZoneId expiryZone
```
    The time-zone of the expiry time.
    The expiry time-zone is related to the expiry date and time.
  - info
```
SecurityInfo info
```
    The standard security information.
    This includes the security identifier.
  - premiumStyle
```
FutureOptionPremiumStyle premiumStyle
```
    The style of the option premium.
    The two options are daily margining and upfront premium.
  - putCall
```
PutCall putCall
```
    Whether the option is put or call.
    A call gives the owner the right, but not obligation, to buy the underlying at an agreed price in the future. A put gives a similar option to sell.
  - rounding
```
Rounding rounding
```
    The definition of how to round the option price, defaulted to no rounding.
    The price is represented in decimal form, not percentage form. As such, the decimal places expressed by the rounding refers to this decimal form.
  - strikePrice
```
double strikePrice
```
    The strike price, in decimal form.
    This is the price at which the option applies and refers to the price of the underlying future. The rate implied by the strike can take negative values.
    Strata uses decimal prices for Ibor futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.
  - underlyingFutureId
```
SecurityId underlyingFutureId
```
    The identifier of the underlying future.
Class com.opengamma.strata.product.index.IborFutureOptionTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade. The trade date is required when calling IborFutureOptionTrade.resolve(ReferenceData).
  - price
```
double price
```
    The price that was traded, in decimal form.
    This is the price agreed when the trade occurred.
    Strata uses decimal prices for Ibor future options in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, an option price of 0.2 is related to a futures price of 99.32 that implies an interest rate of 0.68%. Strata represents the price of the future as 0.9932 and thus represents the price of the option as 0.002.
  - product
```
IborFutureOption product
```
    The option that was traded.
    The product captures the contracted financial details of the trade.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This is the number of contracts that were traded. This will be positive if buying and negative if selling.
Class com.opengamma.strata.product.index.IborFuturePosition extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PositionInfo info
```
    The additional position information, defaulted to an empty instance.
    This allows additional information to be attached to the position.
  - longQuantity
```
double longQuantity
```
    The long quantity of the security.
    This is the quantity of the underlying security that is held. The quantity cannot be negative, as that would imply short selling.
  - product
```
IborFuture product
```
    The future that was traded.
    The product captures the contracted financial details.
  - shortQuantity
```
double shortQuantity
```
    The short quantity of the security.
    This is the quantity of the underlying security that has been short sold. The quantity cannot be negative, as that would imply the position is long.
Class com.opengamma.strata.product.index.IborFutureSecurity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - index
```
IborIndex index
```
    The underlying Ibor index.
    The future is based on this index. It will be a well known market index such as 'USD-LIBOR-3M'.
  - info
```
SecurityInfo info
```
    The standard security information.
    This includes the security identifier.
  - lastTradeDate
```
LocalDate lastTradeDate
```
    The last date of trading. This date is also the fixing date for the Ibor index. This is typically 2 business days before the IMM date (3rd Wednesday of the month).
  - notional
```
double notional
```
    The notional amount.
    This is the full notional of the deposit, such as 1 million dollars. The notional expressed here must be positive. The currency of the notional the same as the currency of the index.
  - rounding
```
Rounding rounding
```
    The definition of how to round the futures price, defaulted to no rounding.
    The price is represented in decimal form, not percentage form. As such, the decimal places expressed by the rounding refers to this decimal form. For example, the common market price of 99.7125 for a 0.2875% rate is represented as 0.997125 which has 6 decimal places.
Class com.opengamma.strata.product.index.IborFutureTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade. The trade date is required when calling IborFutureTrade.resolve(ReferenceData).
  - price
```
double price
```
    The price that was traded, in decimal form.
    This is the price agreed when the trade occurred.
    Strata uses decimal prices for Ibor futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.
  - product
```
IborFuture product
```
    The future that was traded.
    The product captures the contracted financial details of the trade.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This is the number of contracts that were traded. This will be positive if buying and negative if selling.
Class com.opengamma.strata.product.index.OvernightFuture extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualFactor
```
double accrualFactor
```
    The accrual factor, defaulted from the index if not set.
    This is the year fraction of the contract, typically 1/12 for a 30-day future. As such, it is often unrelated to the day count of the index. The year fraction must be positive.
  - accrualMethod
```
OvernightAccrualMethod accrualMethod
```
    The method of accruing Overnight interest.
    The average rate is calculated based on this method over the period between startDate and endDate.
  - currency
```
Currency currency
```
    The currency that the future is traded in, defaulted from the index if not set.
  - endDate
```
LocalDate endDate
```
    The last date of the rate calculation period.
    This is not necessarily a valid business day on the fixing calendar of index. However, it will be adjusted in OvernightRateComputation if needed.
  - index
```
OvernightIndex index
```
    The underlying Overnight index.
    The future is based on this index. It will be a well known market index such as 'USD-FED-FUND'.
  - lastTradeDate
```
LocalDate lastTradeDate
```
    The last date of trading.
    This must be a valid business day on the fixing calendar of index. For example, the last trade date is often the last business day of the month.
  - notional
```
double notional
```
    The notional amount.
    This is the full notional of the deposit, such as 5 million dollars. The notional expressed here must be positive. The currency of the notional is specified by currency.
  - rounding
```
Rounding rounding
```
    The definition of how to round the futures price, defaulted to no rounding.
    The price is represented in decimal form, not percentage form. As such, the decimal places expressed by the rounding refers to this decimal form. For example, the common market price of 99.7125 for a 0.2875% rate is represented as 0.997125 which has 6 decimal places.
  - securityId
```
SecurityId securityId
```
    The security identifier.
    This identifier uniquely identifies the security within the system.
  - startDate
```
LocalDate startDate
```
    The first date of the rate calculation period.
    This is not necessarily a valid business day on the fixing calendar of index. However, it will be adjusted in OvernightRateComputation if needed.
Class com.opengamma.strata.product.index.OvernightFuturePosition extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PositionInfo info
```
    The additional position information, defaulted to an empty instance.
    This allows additional information to be attached to the position.
  - longQuantity
```
double longQuantity
```
    The long quantity of the security.
    This is the quantity of the underlying security that is held. The quantity cannot be negative, as that would imply short selling.
  - product
```
OvernightFuture product
```
    The future that was traded.
    The product captures the contracted financial details.
  - shortQuantity
```
double shortQuantity
```
    The short quantity of the security.
    This is the quantity of the underlying security that has been short sold. The quantity cannot be negative, as that would imply the position is long.
Class com.opengamma.strata.product.index.OvernightFutureSecurity extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualFactor
```
double accrualFactor
```
    The accrual factor, defaulted from the index if not set.
    This is the year fraction of the contract, typically 1/12 for a 30-day future. As such, it is often unrelated to the day count of the index. The year fraction must be positive.
  - accrualMethod
```
OvernightAccrualMethod accrualMethod
```
    The method of accruing Overnight interest.
    The average rate is calculated based on this method over the period between startDate and endDate.
  - endDate
```
LocalDate endDate
```
    The last date of the rate calculation period.
    This is not necessarily a valid business day on the fixing calendar of index. However, it will be adjusted in OvernightRateComputation if needed.
  - index
```
OvernightIndex index
```
    The underlying Overnight index.
    The future is based on this index. It will be a well known market index such as 'USD-FED-FUND'.
  - info
```
SecurityInfo info
```
    The standard security information.
    This includes the security identifier.
  - lastTradeDate
```
LocalDate lastTradeDate
```
    The last date of trading.
    This must be a valid business day on the fixing calendar of index. For example, the last trade date is often the last business day of the month.
  - notional
```
double notional
```
    The notional amount.
    This is the full notional of the deposit, such as 5 million dollars. The notional expressed here must be positive. The currency of the notional the same as the currency of the index.
  - rounding
```
Rounding rounding
```
    The definition of how to round the futures price, defaulted to no rounding.
    The price is represented in decimal form, not percentage form. As such, the decimal places expressed by the rounding refers to this decimal form. For example, the common market price of 99.7125 for a 0.2875% rate is represented as 0.997125 which has 6 decimal places.
  - startDate
```
LocalDate startDate
```
    The first date of the rate calculation period.
    This is not necessarily a valid business day on the fixing calendar of index. However, it will be adjusted in OvernightRateComputation if needed.
Class com.opengamma.strata.product.index.OvernightFutureTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade. The trade date is required when calling OvernightFutureTrade.resolve(ReferenceData).
  - price
```
double price
```
    The price that was traded, in decimal form.
    This is the price agreed when the trade occurred.
    Strata uses decimal prices for Overnight rate futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.
  - product
```
OvernightFuture product
```
    The future that was traded.
    The product captures the contracted financial details of the trade.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This is the number of contracts that were traded. This will be positive if buying and negative if selling.
Class com.opengamma.strata.product.index.ResolvedIborFuture extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualFactor
```
double accrualFactor
```
    The accrual factor, defaulted from the index if not set.
    This is the year fraction of the contract, typically 0.25 for a 3 month deposit.
    When building, this will default to the number of months in the index divided by 12 if not specified. However, if the index is not month-based, no defaulting will occur.
  - currency
```
Currency currency
```
    The currency that the future is traded in.
  - iborRate
```
IborRateComputation iborRate
```
    The Ibor rate observation.
    The future is based on this index. It will be a well known market index such as 'USD-LIBOR-3M'.
  - notional
```
double notional
```
    The notional amount.
    This is the full notional of the deposit, such as 1 million dollars. The notional expressed here must be positive. The currency of the notional is specified by currency.
  - rounding
```
Rounding rounding
```
    The definition of how to round the futures price, defaulted to no rounding.
    The price is represented in decimal form, not percentage form. As such, the decimal places expressed by the rounding refers to this decimal form. For example, the common market price of 99.7125 for a 0.2875% rate is represented as 0.997125 which has 6 decimal places.
  - securityId
```
SecurityId securityId
```
    The security identifier.
    This identifier uniquely identifies the security within the system.
Class com.opengamma.strata.product.index.ResolvedIborFutureOption extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - expiry
```
ZonedDateTime expiry
```
    The expiry of the option.
    The date must not be after last trade date of the underlying future.
  - premiumStyle
```
FutureOptionPremiumStyle premiumStyle
```
    The style of the option premium.
    The two options are daily margining and upfront premium.
  - putCall
```
PutCall putCall
```
    Whether the option is put or call.
    A call gives the owner the right, but not obligation, to buy the underlying at an agreed price in the future. A put gives a similar option to sell.
  - rounding
```
Rounding rounding
```
    The definition of how to round the option price, defaulted to no rounding.
    The price is represented in decimal form, not percentage form. As such, the decimal places expressed by the rounding refers to this decimal form.
  - securityId
```
SecurityId securityId
```
    The security identifier.
    This identifier uniquely identifies the security within the system.
  - strikePrice
```
double strikePrice
```
    The strike price, in decimal form.
    This is the price at which the option applies and refers to the price of the underlying future. The rate implied by the strike can take negative values.
    Strata uses decimal prices for Ibor futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.
  - underlyingFuture
```
ResolvedIborFuture underlyingFuture
```
    The underlying future.
Class com.opengamma.strata.product.index.ResolvedIborFutureOptionTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PortfolioItemInfo info
```
    The additional information, defaulted to an empty instance.
    This allows additional information to be attached.
  - product
```
ResolvedIborFutureOption product
```
    The option that was traded.
    The product captures the contracted financial details of the trade.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This is the number of contracts that were traded. This will be positive if buying and negative if selling.
  - tradedPrice
```
TradedPrice tradedPrice
```
    The price that was traded, together with the trade date, optional.
    This is the price agreed when the trade occurred, in decimal form. Strata uses decimal prices for Ibor future options in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, an option price of 0.2 is related to a futures price of 99.32 that implies an interest rate of 0.68%. Strata represents the price of the future as 0.9932 and thus represents the price of the option as 0.002.
    This is optional to allow the class to be used to price both trades and positions. When the instance represents a trade, the traded price should be present. When the instance represents a position, the traded price should be empty.
Class com.opengamma.strata.product.index.ResolvedIborFutureTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PortfolioItemInfo info
```
    The additional information, defaulted to an empty instance.
    This allows additional information to be attached.
  - product
```
ResolvedIborFuture product
```
    The future that was traded.
    The product captures the contracted financial details of the trade.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This is the number of contracts that were traded. This will be positive if buying and negative if selling.
  - tradedPrice
```
TradedPrice tradedPrice
```
    The price that was traded, together with the trade date, optional.
    This is the price agreed when the trade occurred, in decimal form. Strata uses decimal prices for Ibor futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.
    This is optional to allow the class to be used to price both trades and positions. When the instance represents a trade, the traded price should be present. When the instance represents a position, the traded price should be empty.
Class com.opengamma.strata.product.index.ResolvedOvernightFuture extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualFactor
```
double accrualFactor
```
    The accrual factor, defaulted from the index if not set.
    This is the year fraction of the contract, typically 1/12 for a 30-day future. The year fraction must be positive.
  - currency
```
Currency currency
```
    The currency that the future is traded in.
  - lastTradeDate
```
LocalDate lastTradeDate
```
    The last date of trading.
    This must be a valid business day on the fixing calendar of index. The last trade date is typically the last business day of the month.
  - notional
```
double notional
```
    The notional amount.
    This is the full notional of the deposit, such as 5 million dollars. The notional expressed here must be positive. The currency of the notional is specified by currency.
  - overnightRate
```
OvernightRateComputation overnightRate
```
    The Overnight rate observation.
    The future is based on this index. It will be a well known market index such as 'USD-FED-FUND'.
  - rounding
```
Rounding rounding
```
    The definition of how to round the futures price, defaulted to no rounding.
    The price is represented in decimal form, not percentage form. As such, the decimal places expressed by the rounding refers to this decimal form. For example, the common market price of 99.7125 for a 0.2875% rate is represented as 0.997125 which has 6 decimal places.
  - securityId
```
SecurityId securityId
```
    The security identifier.
    This identifier uniquely identifies the security within the system.
Class com.opengamma.strata.product.index.ResolvedOvernightFutureTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
PortfolioItemInfo info
```
    The additional information, defaulted to an empty instance.
    This allows additional information to be attached.
  - product
```
ResolvedOvernightFuture product
```
    The future that was traded.
    The product captures the contracted financial details of the trade.
  - quantity
```
double quantity
```
    The quantity that was traded.
    This is the number of contracts that were traded. This will be positive if buying and negative if selling.
  - tradedPrice
```
TradedPrice tradedPrice
```
    The price that was traded, together with the trade date, optional.
    This is the price agreed when the trade occurred, in decimal form. Strata uses decimal prices for Overnight rate futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.
    This is optional to allow the class to be used to price both trades and positions. When the instance represents a trade, the traded price should be present. When the instance represents a position, the traded price should be empty.

Package com.opengamma.strata.product.index.type

Class com.opengamma.strata.product.index.type.IborFutureTemplate extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - contractSpec
```
IborFutureContractSpec contractSpec
```
    The underlying contract specification.
    This specifies the contract of the Ibor Futures to be created.
  - sequenceDate
```
SequenceDate sequenceDate
```
    The instructions that define which future is desired.
Class com.opengamma.strata.product.index.type.ImmutableIborFutureContractSpec extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - businessDayAdjustment
```
BusinessDayAdjustment businessDayAdjustment
```
    The business day adjustment to apply to the reference date.
    The reference date, which is often the third Wednesday of the month, will be adjusted as defined here.
  - dateSequence
```
DateSequence dateSequence
```
    The sequence of dates that the future is based on.
    This is used to calculate the reference date of the future that is the start date of the underlying synthetic deposit.
  - index
```
IborIndex index
```
    The Ibor index.
    The floating rate to be paid is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'.
  - name
```
String name
```
    The name, such as 'USD-LIBOR-3M-IMM-CME'.
  - notional
```
double notional
```
    The notional deposit that the contract models.
    This is the full notional of the deposit, such as 1 million dollars. The notional expressed here must be positive. The currency of the notional is specified by the index.
Class com.opengamma.strata.product.index.type.ImmutableIborFutureConvention extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - businessDayAdjustment
```
BusinessDayAdjustment businessDayAdjustment
```
    Deprecated.
    
    The business day adjustment to apply to the reference date.
    The reference date, which is often the third Wednesday of the month, will be adjusted as defined here.
  - dateSequence
```
DateSequence dateSequence
```
    Deprecated.
    
    The sequence of dates that the future is based on.
    This is used to calculate the reference date of the future that is the start date of the underlying synthetic deposit.
  - index
```
IborIndex index
```
    Deprecated.
    
    The Ibor index.
    The floating rate to be paid is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'.
  - name
```
String name
```
    Deprecated.
    
    The convention name, such as 'USD-LIBOR-3M-Quarterly-IMM'.
    This will default to the name of the index suffixed by the name of the date sequence if not specified.
Class com.opengamma.strata.product.index.type.ImmutableOvernightFutureContractSpec extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualMethod
```
OvernightAccrualMethod accrualMethod
```
    The method of accruing Overnight interest.
  - dateSequence
```
DateSequence dateSequence
```
    The sequence of dates that the future is based on.
    This is used to calculate the reference date of the future that is the start date of the underlying synthetic deposit.
  - endDateAdjustment
```
DaysAdjustment endDateAdjustment
```
    The days adjustment to apply to get the end date.
    The end date is obtained by applying this adjustment to the next date in sequence from the start date. This defaults to minus one without applying a holiday calendar.
  - index
```
OvernightIndex index
```
    The Overnight index.
    The floating rate to be paid is based on this index It will be a well known market index such as 'GBP-SONIA'.
  - lastTradeDateAdjustment
```
DaysAdjustment lastTradeDateAdjustment
```
    The days adjustment to apply to get the last trade date.
    The last trade date is obtained by applying this adjustment to the next date in sequence from the start date. This defaults to the previous business day in the fixing calendar (minus one calendar day and preceding).
  - name
```
String name
```
    The name, such as 'GBP-SONIA-3M-IMM-ICE'.
  - notional
```
double notional
```
    The notional deposit that the contract models.
    This is the full notional of the deposit, such as 1 million dollars. The notional expressed here must be positive. The currency of the notional is specified by the index.
  - startDateAdjustment
```
BusinessDayAdjustment startDateAdjustment
```
    The business day adjustment to apply to get the start date.
    The start date is obtained by applying this adjustment to the reference date from the date sequence. The reference date is often the third Wednesday of the month or the start of the month. This defaults to accepting the date from the sequence without applying a holiday calendar.
Class com.opengamma.strata.product.index.type.OvernightFutureTemplate extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - contractSpec
```
OvernightFutureContractSpec contractSpec
```
    The underlying contract specification.
    This specifies the contract of the Overnight Futures to be created.
  - sequenceDate
```
SequenceDate sequenceDate
```
    The instructions that define which future is desired.

Package com.opengamma.strata.product.option

Class com.opengamma.strata.product.option.SimpleConstantContinuousBarrier extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - barrierLevel
```
double barrierLevel
```
    The barrier level.
  - barrierType
```
BarrierType barrierType
```
    The barrier type.
  - knockType
```
KnockType knockType
```
    The knock type.

Package com.opengamma.strata.product.payment

Class com.opengamma.strata.product.payment.BulletPayment extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - date
```
AdjustableDate date
```
    The date that the payment is made.
    This date should normally be a valid business day.
  - payReceive
```
PayReceive payReceive
```
    Whether the payment is to be paid or received.
    A value of 'Pay' implies that the amount is paid to the counterparty. A value of 'Receive' implies that the amount is received from the counterparty.
  - value
```
CurrencyAmount value
```
    The amount of the payment.
    The amount is unsigned, with the direction implied by payReceive.
Class com.opengamma.strata.product.payment.BulletPaymentTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
BulletPayment product
```
    The product that was agreed when the trade occurred.
    The product captures the contracted financial details of the trade.
Class com.opengamma.strata.product.payment.ResolvedBulletPayment extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - payment
```
Payment payment
```
    The payment to be made.
Class com.opengamma.strata.product.payment.ResolvedBulletPaymentTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
ResolvedBulletPayment product
```
    The resolved bullet payment product.
    The product captures the contracted financial details of the trade.

Package com.opengamma.strata.product.rate

Class com.opengamma.strata.product.rate.FixedOvernightCompoundedAnnualRateComputation extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualFactor
```
double accrualFactor
```
    The accrual factor.
  - rate
```
double rate
```
    The fixed rate for overnight compounding. A 5% rate will be expressed as 0.05.
  - simpleRate
```
double simpleRate
```
    The calculated simple rate.
Class com.opengamma.strata.product.rate.FixedRateComputation extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - rate
```
double rate
```
    The fixed rate to be paid. A 5% rate will be expressed as 0.05.
Class com.opengamma.strata.product.rate.IborAveragedFixing extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - fixedRate
```
Double fixedRate
```
    The fixed rate for the fixing date, optional. A 5% rate will be expressed as 0.05.
    In certain circumstances two counterparties agree the rate of a fixing when the contract starts. It is used in place of an observed fixing. Other calculation elements, such as gearing or spread, still apply.
    If the value not present, which is the normal case, then the rate is observed via the normal fixing process.
  - observation
```
IborIndexObservation observation
```
    The Ibor index observation to use to determine a rate for the reset period.
  - weight
```
double weight
```
    The weight to apply to this fixing.
    If the averaging is unweighted, then all weights must be one.
Class com.opengamma.strata.product.rate.IborAveragedRateComputation extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - fixings
```
ImmutableList<IborAveragedFixing> fixings
```
    The list of fixings.
    A fixing will be taken for each reset period, with the final rate being an average of the fixings.
Class com.opengamma.strata.product.rate.IborInterpolatedRateComputation extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - longObservation
```
IborIndexObservation longObservation
```
    The longer Ibor index observation.
    The rate to be paid is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'.
  - shortObservation
```
IborIndexObservation shortObservation
```
    The shorter Ibor index observation.
    The rate to be paid is based on this index It will be a well known market index such as 'GBP-LIBOR-1M'.
Class com.opengamma.strata.product.rate.IborRateComputation extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - observation
```
IborIndexObservation observation
```
    The underlying index observation.
Class com.opengamma.strata.product.rate.InflationEndInterpolatedRateComputation extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - endObservation
```
PriceIndexObservation endObservation
```
    The observation at the end.
    The inflation rate is the ratio between the start index value and the interpolated end observations. The end month is typically three months before the end of the period.
  - endSecondObservation
```
PriceIndexObservation endSecondObservation
```
    The observation for interpolation at the end.
    The inflation rate is the ratio between the start index value and the interpolated end observations. The month is typically one month after the month of the end observation.
  - startIndexValue
```
double startIndexValue
```
    The start index value.
    The published index value of the start month.
  - weight
```
double weight
```
    The positive weight used when interpolating.
    Given two price index observations, typically in adjacent months, the weight is used to determine the adjusted index value. The value is given by the formula (weight * price_index_1 + (1 - weight) * price_index_2).
Class com.opengamma.strata.product.rate.InflationEndMonthRateComputation extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - endObservation
```
PriceIndexObservation endObservation
```
    The observation at the end.
    The inflation rate is the ratio between the start index value and end observation. The end month is typically three months before the end of the period.
  - startIndexValue
```
double startIndexValue
```
    The start index value.
    The published index value of the start month.
Class com.opengamma.strata.product.rate.InflationInterpolatedRateComputation extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - endObservation
```
PriceIndexObservation endObservation
```
    The observation at the end.
    The inflation rate is the ratio between the interpolated start and end observations. The end month is typically three months before the end of the period.
  - endSecondObservation
```
PriceIndexObservation endSecondObservation
```
    The observation for interpolation at the end.
    The inflation rate is the ratio between the interpolated start and end observations. The month is typically one month after the month of the end observation.
  - startObservation
```
PriceIndexObservation startObservation
```
    The observation at the start.
    The inflation rate is the ratio between the interpolated start and end observations. The start month is typically three months before the start of the period.
  - startSecondObservation
```
PriceIndexObservation startSecondObservation
```
    The observation for interpolation at the start.
    The inflation rate is the ratio between the interpolated start and end observations. The month is typically one month after the month of the start observation.
  - weight
```
double weight
```
    The positive weight used when interpolating.
    Given two price index observations, typically in adjacent months, the weight is used to determine the adjusted index value. The value is given by the formula (weight * price_index_1 + (1 - weight) * price_index_2).
Class com.opengamma.strata.product.rate.InflationMonthlyRateComputation extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - endObservation
```
PriceIndexObservation endObservation
```
    The observation at the end.
    The inflation rate is the ratio between the start and end observation. The end month is typically three months before the end of the period.
  - startObservation
```
PriceIndexObservation startObservation
```
    The observation at the start.
    The inflation rate is the ratio between the start and end observation. The start month is typically three months before the start of the period.
Class com.opengamma.strata.product.rate.OvernightAveragedDailyRateComputation extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - endDate
```
LocalDate endDate
```
    The end date of the accrual period.
    This is not necessarily a valid business day. In this case, the last fixing date is the previous business day of the end date on fixingCalendar.
  - fixingCalendar
```
HolidayCalendar fixingCalendar
```
    The resolved calendar that the index uses.
  - index
```
OvernightIndex index
```
    The Overnight index.
    The rate to be paid is based on this index. It will be a well known market index such as 'GBP-SONIA'.
  - startDate
```
LocalDate startDate
```
    The start date of the accrual period.
    This is not necessarily a valid business day. In this case, the first fixing date is the previous business day of the start date on fixingCalendar.
Class com.opengamma.strata.product.rate.OvernightAveragedRateComputation extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - endDate
```
LocalDate endDate
```
    The fixing date associated with the end date of the accrual period.
    The overnight rate is accrued until the maturity date associated with this date.
    In general, the fixing dates and accrual dates are the same for an overnight index. However, in the case of a Tomorrow/Next index, the fixing period is one business day before the accrual period.
  - fixingCalendar
```
HolidayCalendar fixingCalendar
```
    The resolved calendar that the index uses.
  - index
```
OvernightIndex index
```
    The Overnight index.
    The rate to be paid is based on this index. It will be a well known market index such as 'GBP-SONIA'.
  - rateCutOffDays
```
int rateCutOffDays
```
    The number of business days before the end of the period that the rate is cut off.
    When a rate cut-off applies, the final daily rate is determined this number of days before the end of the period, with any subsequent days having the same rate.
    The amount must be zero or positive. A value of zero or one will have no effect on the standard calculation. The fixing holiday calendar of the index is used to determine business days.
    For example, a value of 3 means that the rate observed on (periodEndDate - 3 business days) is also to be used on (periodEndDate - 2 business days) and (periodEndDate - 1 business day).
    If there are multiple accrual periods in the payment period, then this should typically only be non-zero in the last accrual period.
  - startDate
```
LocalDate startDate
```
    The fixing date associated with the start date of the accrual period.
    This is also the first fixing date. The overnight rate is observed from this date onwards.
    In general, the fixing dates and accrual dates are the same for an overnight index. However, in the case of a Tomorrow/Next index, the fixing period is one business day before the accrual period.
Class com.opengamma.strata.product.rate.OvernightCompoundedAnnualRateComputation extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - endDate
```
LocalDate endDate
```
    The fixing date associated with the end date of the accrual period.
    The overnight rate is observed until this date.
    In general, the fixing dates and accrual dates are the same for an overnight index. However, in the case of a Tomorrow/Next index, the fixing period is one business day before the accrual period.
  - fixingCalendar
```
HolidayCalendar fixingCalendar
```
    The resolved calendar that the index uses.
  - index
```
OvernightIndex index
```
    The Overnight index.
    The rate to be paid is based on this index.
  - startDate
```
LocalDate startDate
```
    The fixing date associated with the start date of the accrual period.
    This is also the first fixing date. The overnight rate is observed from this date onwards.
    In general, the fixing dates and accrual dates are the same for an overnight index. However, in the case of a Tomorrow/Next index, the fixing period is one business day before the accrual period.
Class com.opengamma.strata.product.rate.OvernightCompoundedRateComputation extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - endDate
```
LocalDate endDate
```
    The fixing date associated with the end date of the accrual period.
    The overnight rate is observed until this date.
    In general, the fixing dates and accrual dates are the same for an overnight index. However, in the case of a Tomorrow/Next index, the fixing period is one business day before the accrual period.
  - fixingCalendar
```
HolidayCalendar fixingCalendar
```
    The resolved calendar that the index uses.
  - index
```
OvernightIndex index
```
    The Overnight index.
    The rate to be paid is based on this index. It will be a well known market index such as 'GBP-SONIA'.
  - rateCutOffDays
```
int rateCutOffDays
```
    The number of business days before the end of the period that the rate is cut off.
    When a rate cut-off applies, the final daily rate is determined this number of days before the end of the period, with any subsequent days having the same rate.
    The amount must be zero or positive. A value of zero or one will have no effect on the standard calculation. The fixing holiday calendar of the index is used to determine business days.
    For example, a value of 3 means that the rate observed on (periodEndDate - 3 business days) is also to be used on (periodEndDate - 2 business days) and (periodEndDate - 1 business day).
    If there are multiple accrual periods in the payment period, then this should typically only be non-zero in the last accrual period.
  - startDate
```
LocalDate startDate
```
    The fixing date associated with the start date of the accrual period.
    This is also the first fixing date. The overnight rate is observed from this date onwards.
    In general, the fixing dates and accrual dates are the same for an overnight index. However, in the case of a Tomorrow/Next index, the fixing period is one business day before the accrual period.

Package com.opengamma.strata.product.swap

Class com.opengamma.strata.product.swap.FixedRateCalculation extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - dayCount
```
DayCount dayCount
```
    The day count convention.
    This is used to convert schedule period dates to a numerical value.
  - finalStub
```
FixedRateStubCalculation finalStub
```
    The final stub, optional.
    The final stub of a swap may have a different rate from the regular accrual periods. This property allows the stub rate to be specified, either as a known amount or a rate. If this property is not present, then the rate derived from the rate property applies during the stub. If this property is present and there is no initial stub, it is ignored.
  - futureValueNotional
```
FutureValueNotional futureValueNotional
```
    The future value notional.
    This property is used when the fixed leg of a swap has a future value notional. This is typically used for Brazilian swaps.
  - initialStub
```
FixedRateStubCalculation initialStub
```
    The initial stub, optional.
    The initial stub of a swap may have a different rate from the regular accrual periods. This property allows the stub rate to be specified, either as a known amount or a rate. If this property is not present, then the rate derived from the rate property applies during the stub. If this property is present and there is no initial stub, it is ignored.
  - rate
```
ValueSchedule rate
```
    The interest rate to be paid. A 5% rate will be expressed as 0.05.
    This defines the rate as an initial amount and a list of adjustments. The rate is only permitted to change at accrual period boundaries.
Class com.opengamma.strata.product.swap.FixedRateStubCalculation extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - fixedRate
```
Double fixedRate
```
    The fixed rate to use in the stub. A 5% rate will be expressed as 0.05.
    If the fixed rate is present, then knownAmount must not be present.
  - knownAmount
```
CurrencyAmount knownAmount
```
    The known amount to pay/receive for the stub.
    If the known amount is present, then fixedRate must not be present.
Class com.opengamma.strata.product.swap.FutureValueNotional extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - dayCountDays
```
Integer dayCountDays
```
    The number of days in the calculation period.
    This defines the number of days from the adjusted start date to the adjusted end date as calculated by the day count.
  - value
```
Double value
```
    The amount.
    The future value notional amount, derived as per the standard formula.
  - valueDate
```
LocalDate valueDate
```
    The value date.
    This is the adjusted value date of the future value amount, which is the adjusted end date.
Class com.opengamma.strata.product.swap.FxReset extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - observation
```
FxIndexObservation observation
```
    The FX index observation.
    This defines the observation of the index used to obtain the FX reset rate.
    An FX index is a daily rate of exchange between two currencies. Note that the order of the currencies in the index does not matter, as the conversion direction is fully defined by the currency of the reference amount.
  - referenceCurrency
```
Currency referenceCurrency
```
    The currency of the notional amount defined in the contract.
    This is the currency of notional amount as defined in the contract. The amount will be converted from this reference currency to the swap leg currency when calculating the value of the leg.
    The reference currency must be one of the two currencies of the index.
    The reference currency is also known as the constant currency.
Class com.opengamma.strata.product.swap.FxResetCalculation extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - fixingDateOffset
```
DaysAdjustment fixingDateOffset
```
    The offset of the FX reset fixing date from each adjusted accrual date.
    The offset is applied to the base date specified by fixingRelativeTo. The offset is typically a negative number of business days.
    When building, this will default to the fixing offset of the index if not specified.
  - fixingRelativeTo
```
FxResetFixingRelativeTo fixingRelativeTo
```
    The base date that each FX reset fixing is made relative to, defaulted to 'PeriodStart'.
    The FX reset fixing date is relative to either the start or end of each accrual period.
  - index
```
FxIndex index
```
    The FX index used to obtain the FX reset rate.
    This is the index of FX used to obtain the FX reset rate. An FX index is a daily rate of exchange between two currencies. Note that the order of the currencies in the index does not matter, as the conversion direction is fully defined by the reference and swap leg currencies.
  - initialNotionalValue
```
Double initialNotionalValue
```
    The initial notional value, specified in the payment currency.
    If present, this fixed amount represents the notional of the initial period of the swap leg, with no FX reset being applied.
    If not present, the initial notional amount is calculated by applying an fx conversion to the reference currency in the same manner as all other period notional calculations.
  - referenceCurrency
```
Currency referenceCurrency
```
    The currency of the notional amount defined in the contract.
    This is the currency of notional amount as defined in the contract. The amount will be converted from this reference currency to the swap leg currency when calculating the value of the leg.
    The reference currency must be one of the two currencies of the index.
    The reference currency is also known as the constant currency.
Class com.opengamma.strata.product.swap.FxResetNotionalExchange extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - notionalAmount
```
CurrencyAmount notionalAmount
```
    The notional amount, positive if receiving, negative if paying.
    The notional amount applicable during the period. The currency of the notional is specified by referenceCurrency but will be paid after FX conversion using the index.
  - observation
```
FxIndexObservation observation
```
    The FX index observation.
    This defines the observation of the index used to obtain the FX reset rate.
    An FX index is a daily rate of exchange between two currencies. Note that the order of the currencies in the index does not matter, as the conversion direction is fully defined by the currency of the reference amount.
  - paymentDate
```
LocalDate paymentDate
```
    The date that the payment is made.
    Each payment event has a single payment date. This date has been adjusted to be a valid business day.
Class com.opengamma.strata.product.swap.IborRateCalculation extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - dayCount
```
DayCount dayCount
```
    The day count convention.
    This is used to convert dates to a numerical value.
    When building, this will default to the day count of the index if not specified.
  - finalStub
```
IborRateStubCalculation finalStub
```
    The rate to be used in final stub, optional.
    The final stub of a swap may have different rate rules to the regular accrual periods. A fixed rate may be specified, a different floating rate or a linearly interpolated floating rate. This may not be present if there is no final stub, or if the index during the stub is the same as the main floating rate index.
    If this property is not present, then the main index applies during any final stub. If this property is present and there is no final stub, it is ignored.
  - firstFixingDateOffset
```
DaysAdjustment firstFixingDateOffset
```
    The offset of the first fixing date from the first adjusted reset date, optional.
    If present, this offset is used instead of fixingDateOffset for the first reset period of the swap, which will be either an initial stub or the first reset period of the first regular accrual period.
    The offset is applied to the base date specified by fixingRelativeTo. The offset is typically a negative number of business days.
    If this property is not present, then the fixingDateOffset applies to all fixings.
  - firstRate
```
Double firstRate
```
    The rate of the first reset period, which may be a stub, optional. A 5% rate will be expressed as 0.05.
    In certain circumstances two counterparties agree the rate of the first fixing when the contract starts, and it is used in place of one observed fixing. For all other fixings, the rate is observed via the normal fixing process.
    This property allows the rate of the first reset period to be controlled, irrespective of whether that is an initial stub or a regular period. Other calculation elements, such as gearing or spread, still apply to the rate specified here.
    This property is similar to firstRegularRate. This property operates on the first reset period, whether that is an initial stub or a regular period. By contrast, firstRegularRate operates on the first regular period, and never on a stub.
    If either firstRegularRate or initialStub are present, this property is ignored.
    If this property is not present, then the first rate is observed via the normal fixing process.
  - firstRegularRate
```
Double firstRegularRate
```
    The rate of the first regular reset period, optional. A 5% rate will be expressed as 0.05.
    In certain circumstances two counterparties agree the rate of the first fixing when the contract starts, and it is used in place of one observed fixing. For all other fixings, the rate is observed via the normal fixing process.
    This property allows the rate of the first reset period of the first regular accrual period to be controlled. Note that if there is an initial stub, this will be the second reset period. Other calculation elements, such as gearing or spread, still apply to the rate specified here.
    If the first rate applies to the initial stub rather than the regular accrual periods it must be specified using initialStub. Alternatively, firstRate can be used.
    This property follows the definition in FpML. See also firstRate.
  - fixingDateOffset
```
DaysAdjustment fixingDateOffset
```
    The offset of the fixing date from each adjusted reset date.
    The offset is applied to the base date specified by fixingRelativeTo. The offset is typically a negative number of business days.
    Note that in most cases, the reset frequency matches the accrual frequency and thus there is only one fixing for the accrual period.
    When building, this will default to the fixing offset of the index if not specified.
  - fixingRelativeTo
```
FixingRelativeTo fixingRelativeTo
```
    The base date that each fixing is made relative to, defaulted to 'PeriodStart'.
    The fixing date is relative to either the start or end of each reset period.
    Note that in most cases, the reset frequency matches the accrual frequency and thus there is only one fixing for the accrual period.
  - gearing
```
ValueSchedule gearing
```
    The gearing multiplier, optional.
    This defines the gearing as an initial value and a list of adjustments. The gearing is only permitted to change at accrual period boundaries.
    When calculating the rate, the fixing rate is multiplied by the gearing. A gearing of 1 has no effect. If both gearing and spread exist, then the gearing is applied first.
    If this property is not present, then no gearing applies.
    Gearing is also known as leverage.
  - index
```
IborIndex index
```
    The Ibor index.
    The rate to be paid is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'.
  - initialStub
```
IborRateStubCalculation initialStub
```
    The rate to be used in initial stub, optional.
    The initial stub of a swap may have different rate rules to the regular accrual periods. A fixed rate may be specified, a different floating rate or a linearly interpolated floating rate. This may not be present if there is no initial stub, or if the index during the stub is the same as the main floating rate index.
    If this property is not present, then the main index applies during any initial stub. If this property is present and there is no initial stub, it is ignored.
  - negativeRateMethod
```
NegativeRateMethod negativeRateMethod
```
    The negative rate method, defaulted to 'AllowNegative'.
    This is used when the interest rate, observed or calculated, goes negative. It does not apply if the rate is fixed, such as in a stub or using firstRegularRate.
    Defined by the 2006 ISDA definitions article 6.4.
  - resetPeriods
```
ResetSchedule resetPeriods
```
    The reset schedule, used when averaging rates, optional.
    Most swaps have a single fixing for each accrual period. This property allows multiple fixings to be defined by dividing the accrual periods into reset periods.
    If this property is not present, then the reset period is the same as the accrual period. If this property is present, then the accrual period is divided as per the information in the reset schedule, multiple fixing dates are calculated, and rate averaging performed.
  - spread
```
ValueSchedule spread
```
    The spread rate, with a 5% rate expressed as 0.05, optional.
    This defines the spread as an initial value and a list of adjustments. The spread is only permitted to change at accrual period boundaries. Spread is a per annum rate.
    When calculating the rate, the spread is added to the fixing rate. A spread of 0 has no effect. If both gearing and spread exist, then the gearing is applied first.
    If this property is not present, then no spread applies.
    Defined by the 2006 ISDA definitions article 6.2e.
Class com.opengamma.strata.product.swap.IborRateStubCalculation extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - fixedRate
```
Double fixedRate
```
    The fixed rate to use in the stub. A 5% rate will be expressed as 0.05.
    In certain circumstances two counterparties agree a fixed rate for the stub. It is used in place of an observed fixing. Other calculation elements, such as gearing or spread, still apply.
    If the fixed rate is present, then knownAmount, index and indexInterpolated must not be present.
  - index
```
IborIndex index
```
    The Ibor index to be used for the stub.
    This will be used throughout the stub unless indexInterpolated is present.
    If the index is present, then fixedRate and knownAmount must not be present.
  - indexInterpolated
```
IborIndex indexInterpolated
```
    The second Ibor index to be used for the stub, linearly interpolated.
    This will be used with index to linearly interpolate the rate. This index may be shorter or longer than index, but not the same.
    If the interpolated index is present, then index must also be present, and fixedRate and knownAmount must not be present.
  - knownAmount
```
CurrencyAmount knownAmount
```
    The known amount to pay/receive for the stub.
    If the known amount is present, then fixedRate, index and indexInterpolated must not be present.
Class com.opengamma.strata.product.swap.ImmutableSwapIndex extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - active
```
boolean active
```
    Whether the index is active, defaulted to true.
    Over time some indices become inactive and are no longer produced. If this occurs, this flag will be set to false.
  - fixingTime
```
LocalTime fixingTime
```
    The fixing time.
  - fixingZone
```
ZoneId fixingZone
```
    The time-zone of the fixing time.
  - name
```
String name
```
    The index name.
  - template
```
FixedFloatSwapTemplate template
```
    The template for creating a Fixed-Ibor or Fixed-Overnight swap.
Class com.opengamma.strata.product.swap.InflationRateCalculation extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - firstIndexValue
```
Double firstIndexValue
```
    The initial value of the index, optional.
    This optional field specifies the initial value of the index. The value is applicable for the first regular accrual period. It is used in place of an observed fixing. Other calculation elements, such as gearing or spread, still apply. After the first accrual period, the rate is observed via the normal fixing process.
    The method InflationRateCalculation.createRateComputation(LocalDate) allows this field to be used as the base for any end date, as typically seen in capital indexed bonds.
    If this property is not present, then the first value is observed via the normal fixing process.
  - gearing
```
ValueSchedule gearing
```
    The gearing multiplier, optional.
    This defines the gearing as an initial value and a list of adjustments.
    When calculating the index, the gearing acts as a overall factor of pay-off. The pay-off is Gearing_Factor * (Index_End / Index_Start - 1). A gearing of 1 has no effect.
    If this property is not present, then no gearing applies.
    Gearing is also known as leverage.
  - index
```
PriceIndex index
```
    The index of prices.
    The pay-off is computed based on this index The most common implementations are provided in PriceIndices.
  - indexCalculationMethod
```
PriceIndexCalculationMethod indexCalculationMethod
```
    Reference price index calculation method.
    This specifies how the reference index calculation occurs.
  - lag
```
Period lag
```
    The positive period between the price index and the accrual date, typically a number of months.
    A price index is typically published monthly and has a delay before publication. The lag is subtracted from the accrual start and end date to locate the month of the data to be observed.
    For example, the September data may be published in October or November. A 3 month lag will cause an accrual date in December to be based on the observed data for September, which should be available by then.
Class com.opengamma.strata.product.swap.KnownAmountNotionalSwapPaymentPeriod extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - endDate
```
LocalDate endDate
```
    The end date of the payment period.
    This is the last date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - fxResetObservation
```
FxIndexObservation fxResetObservation
```
    The FX reset definition, optional.
    This property is used when the defined amount of the notional is specified in a currency other than the currency of the swap leg. When this occurs, the notional amount has to be converted using an FX rate to the swap leg currency.
    The FX reset definition must be valid. The payment currency and the currency of the notional must differ, and the currency pair must be that of the observation.
  - notionalAmount
```
CurrencyAmount notionalAmount
```
    The notional amount, positive if receiving, negative if paying.
    The notional amount applicable during the period. The currency of the notional is typically the same as currency. However, if FX reset applies, the currency will differ.
  - payment
```
Payment payment
```
    The payment.
    This includes the payment date and amount. If the schedule adjusts for business days, then the date is the adjusted date.
  - startDate
```
LocalDate startDate
```
    The start date of the payment period.
    This is the first date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - unadjustedEndDate
```
LocalDate unadjustedEndDate
```
    The unadjusted end date.
    The end date before any business day adjustment is applied.
    When building, this will default to the end date if not specified.
  - unadjustedStartDate
```
LocalDate unadjustedStartDate
```
    The unadjusted start date.
    The start date before any business day adjustment is applied.
    When building, this will default to the start date if not specified.
Class com.opengamma.strata.product.swap.KnownAmountSwapLeg extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualSchedule
```
PeriodicSchedule accrualSchedule
```
    The accrual period schedule.
    This is used to define the accrual periods. These are used directly or indirectly to determine other dates in the swap.
  - amount
```
ValueSchedule amount
```
    The known amount schedule.
    This defines the schedule of known amounts, relative to the payment schedule. The schedule is defined as an initial amount, with optional changes during the tenor of the swap. The amount is only permitted to change at payment period boundaries.
    Note that the date of the payment is implied by the payment schedule. Any dates in the known amount schedule refer to the payment schedule, not the payment date.
    For example, consider a two year swap where each payment period is 3 months long. This schedule could define two entries, one that defines the payment amounts as GBP 1000 for the first year and one that defines the amount as GBP 500 for the second year. In this case there will be eight payments in total, four payments of GBP 1000 in the first year and four payments of GBP 500 in the second year. Each payment will occur on the date specified using the offset in PaymentSchedule.
  - currency
```
Currency currency
```
    The currency of the swap leg.
    This is the currency of the known payments.
  - paymentSchedule
```
PaymentSchedule paymentSchedule
```
    The payment period schedule.
    This is used to define the payment periods, including any compounding. The payment period dates are based on the accrual schedule.
  - payReceive
```
PayReceive payReceive
```
    Whether the leg is pay or receive.
    A value of 'Pay' implies that the resulting amount is paid to the counterparty. A value of 'Receive' implies that the resulting amount is received from the counterparty. Note that negative interest rates can result in a payment in the opposite direction to that implied by this indicator.
Class com.opengamma.strata.product.swap.KnownAmountSwapPaymentPeriod extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - endDate
```
LocalDate endDate
```
    The end date of the payment period.
    This is the last date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - payment
```
Payment payment
```
    The payment.
    This includes the payment date and amount. If the schedule adjusts for business days, then the date is the adjusted date.
  - startDate
```
LocalDate startDate
```
    The start date of the payment period.
    This is the first date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - unadjustedEndDate
```
LocalDate unadjustedEndDate
```
    The unadjusted end date.
    The end date before any business day adjustment is applied.
    When building, this will default to the end date if not specified.
  - unadjustedStartDate
```
LocalDate unadjustedStartDate
```
    The unadjusted start date.
    The start date before any business day adjustment is applied.
    When building, this will default to the start date if not specified.
Class com.opengamma.strata.product.swap.NotionalExchange extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - payment
```
Payment payment
```
    The notional exchange payment.
    This contains the amount to be paid and the date that payment occurs. This date has been adjusted to be a valid business day.
Class com.opengamma.strata.product.swap.NotionalSchedule extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - amount
```
ValueSchedule amount
```
    The notional amount.
    This defines the notional as an initial amount and a list of adjustments. The notional expressed here is intended to always be positive.
    The notional is only allowed to change at payment period boundaries. As such, the ValueSchedule steps are defined relative to the payment schedule.
  - currency
```
Currency currency
```
    The currency of the swap leg associated with the notional.
    This is the currency of the swap leg and the currency that interest calculation is made in.
    The amounts of the notional are usually expressed in terms of this currency, however they can be converted from amounts in a different currency. See the optional fxReset property.
  - finalExchange
```
boolean finalExchange
```
    The flag indicating whether to exchange the final notional.
    Setting this to true indicates that the notional is transferred at the end of the trade. This should typically be set to true in the case of an FX reset swap, or one with a varying notional.
  - fxReset
```
FxResetCalculation fxReset
```
    The FX reset definition, optional.
    This property is used when the defined amount of the notional is specified in a currency other than the currency of the swap leg. When this occurs, the notional amount has to be converted using an FX rate to the swap leg currency. This conversion occurs at each payment period boundary and usually corresponds to an actual exchange of money between the counterparties.
    When building the notional schedule, if an FxResetCalculation is present, then at least one of the notional exchange flags should be set to true. If all notional exchange flags are false then an IllegalArgumentException is thrown.
  - initialExchange
```
boolean initialExchange
```
    The flag indicating whether to exchange the initial notional.
    Setting this to true indicates that the notional is transferred at the start of the trade. This should typically be set to true in the case of an FX reset swap, or one with a varying notional.
  - intermediateExchange
```
boolean intermediateExchange
```
    The flag indicating whether to exchange the differences in the notional during the lifetime of the swap.
    Setting this to true indicates that the notional is transferred when it changes during the trade. This should typically be set to true in the case of an FX reset swap, or one with a varying notional.
Class com.opengamma.strata.product.swap.OvernightRateCalculation extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualMethod
```
OvernightAccrualMethod accrualMethod
```
    The method of accruing overnight interest, defaulted to 'Compounded'.
    Two methods of accrual are supported - compounding and averaging. Averaging is primarily related to the 'USD-FED-FUND' index.
  - dayCount
```
DayCount dayCount
```
    The day count convention.
    This is used to convert dates to a numerical value.
    When building, this will default to the day count of the index if not specified.
  - gearing
```
ValueSchedule gearing
```
    The gearing multiplier, optional.
    This defines the gearing as an initial value and a list of adjustments. The gearing is only permitted to change at accrual period boundaries.
    When calculating the rate, the fixing rate is multiplied by the gearing. A gearing of 1 has no effect. If both gearing and spread exist, then the gearing is applied first.
    If this property is not present, then no gearing applies.
    Gearing is also known as leverage.
  - index
```
OvernightIndex index
```
    The Overnight index.
    The rate to be paid is based on this index It will be a well known market index such as 'GBP-SONIA'.
  - negativeRateMethod
```
NegativeRateMethod negativeRateMethod
```
    The negative rate method, defaulted to 'AllowNegative'.
    This is used when the interest rate, observed or calculated, goes negative. It does not apply if the rate is fixed, such as in a stub or using firstRegularRate.
    Defined by the 2006 ISDA definitions article 6.4.
  - rateCutOffDays
```
int rateCutOffDays
```
    The number of business days before the end of the period that the rate is cut off, defaulted to zero.
    When a rate cut-off applies, the final daily rate is determined this number of days before the end of the period, with any subsequent days having the same rate.
    The amount must be zero or positive. A value of zero or one will have no effect on the standard calculation. The fixing holiday calendar of the index is used to determine business days.
    For example, a value of 3 means that the rate observed on (periodEndDate - 3 business days) is also to be used on (periodEndDate - 2 business days) and (periodEndDate - 1 business day).
    If there are multiple accrual periods in the payment period, then this will only apply to the last accrual period in the payment period.
  - spread
```
ValueSchedule spread
```
    The spread rate, optional. A 5% rate will be expressed as 0.05.
    This defines the spread as an initial value and a list of adjustments. The spread is only permitted to change at accrual period boundaries. Spread is a per annum rate.
    When calculating the rate, the spread is added to the fixing rate. A spread of 0 has no effect. If both gearing and spread exist, then the gearing is applied first.
    If this property is not present, then no spread applies.
    Defined by the 2006 ISDA definitions article 6.2e.
Class com.opengamma.strata.product.swap.PaymentSchedule extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - businessDayAdjustment
```
BusinessDayAdjustment businessDayAdjustment
```
    The business day adjustment to apply, optional.
    Each date in the calculated schedule is determined relative to the accrual schedule. Normally, the accrual schedule is adjusted ensuring each date is not a holiday. As such, there is typically no reason to adjust the date before applying the payment date offset.
    If the accrual dates are unadjusted, or for some other reason, it may be desirable to adjust the schedule dates before applying the payment date offset. This optional property allows that to happen. Note that the payment date offset itself provides the ability to adjust dates after the offset is applied.
  - compoundingMethod
```
CompoundingMethod compoundingMethod
```
    The compounding method to use when there is more than one accrual period, defaulted to 'None'.
    Compounding is used when combining accrual periods.
  - firstRegularStartDate
```
LocalDate firstRegularStartDate
```
    The optional start date of the first regular payment schedule period, which is the end date of the initial stub.
    This is used to identify the boundary date between the initial stub and the first regular period. In most cases there is no need to specify this as it can be worked out from other information. It must be used when there is a need to produce a payment schedule with an initial stub that combines an initial stub from the accrual schedule with the first regular period of the accrual schedule.
    This is an unadjusted date, and as such it might not be a valid business day. It must equal one of the unadjusted dates on the accrual schedule.
    If paymentRelativeTo is 'PeriodEnd' then this field corresponds to firstPaymentDate in FpML.
  - lastRegularEndDate
```
LocalDate lastRegularEndDate
```
    The optional end date of the last regular payment schedule period, which is the start date of the final stub.
    This is used to identify the boundary date between the last regular period and the final stub. In most cases there is no need to specify this as it can be worked out from other information. It must be used when there is a need to produce a payment schedule with a final stub that combines a final stub from the accrual schedule with the last regular period of the accrual schedule.
    This is used to identify the boundary date between the last regular schedule period and the final stub.
    This is an unadjusted date, and as such it might not be a valid business day. This date must be after 'firstPaymentDate'. It must equal one of the unadjusted dates on the accrual schedule.
    If paymentRelativeTo is 'PeriodEnd' then this field corresponds to lastRegularPaymentDate in FpML.
  - paymentDateOffset
```
DaysAdjustment paymentDateOffset
```
    The offset of payment from the base calculation period date.
    The offset is applied to the unadjusted date specified by paymentRelativeTo. Offset can be based on calendar days or business days.
  - paymentFrequency
```
Frequency paymentFrequency
```
    The periodic frequency of payments.
    Regular payments will be made at the specified periodic frequency. The frequency must be the same as, or a multiple of, the accrual periodic frequency.
    Compounding applies if the payment frequency does not equal the accrual frequency.
  - paymentRelativeTo
```
PaymentRelativeTo paymentRelativeTo
```
    The base date that each payment is made relative to, defaulted to 'PeriodEnd'.
    The payment date is relative to either the start or end of the payment period.
Class com.opengamma.strata.product.swap.RateAccrualPeriod extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - endDate
```
LocalDate endDate
```
    The end date of the accrual period.
    This is the last accrual date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - gearing
```
double gearing
```
    The gearing multiplier, defaulted to 1.
    This defines the gearing, which is used to multiply the observed rate.
    When calculating the rate, the observed rate is multiplied by the gearing. If both gearing and spread exist, then the gearing is applied first. A gearing of 1 has no effect.
    Gearing is also known as leverage.
  - negativeRateMethod
```
NegativeRateMethod negativeRateMethod
```
    The negative rate method, defaulted to 'AllowNegative'.
    This is used when the interest rate, observed or calculated, goes negative.
    When observing or calculating the rate, the value may go negative. If it does, then this method is used to validate whether the negative rate is allowed. It is applied after any applicable gearing or spread.
    Defined by the 2006 ISDA definitions article 6.4.
  - rateComputation
```
RateComputation rateComputation
```
    The rate to be computed.
    The value of the period is based on this rate. Different implementations of the RateComputation interface have different approaches to computing the rate, including averaging, overnight and interpolation. For example, it might be a well known market index such as 'GBP-LIBOR-3M'.
  - spread
```
double spread
```
    The spread rate, defaulted to 0. A 5% rate will be expressed as 0.05.
    This defines the spread, which is used to add an amount the observed rate.
    When calculating the rate, the spread is added to the observed rate. If both gearing and spread exist, then the gearing is applied first. A spread of 0 has no effect.
    Defined by the 2006 ISDA definitions article 6.2e.
  - startDate
```
LocalDate startDate
```
    The start date of the accrual period.
    This is the first accrual date in the period. If the schedule adjusts for business days, then this is the adjusted date.
  - unadjustedEndDate
```
LocalDate unadjustedEndDate
```
    The unadjusted end date.
    The end date before any business day adjustment is applied.
    When building, this will default to the end date if not specified.
  - unadjustedStartDate
```
LocalDate unadjustedStartDate
```
    The unadjusted start date.
    The start date before any business day adjustment is applied.
    When building, this will default to the start date if not specified.
  - yearFraction
```
double yearFraction
```
    The year fraction that the accrual period represents.
    The value is usually calculated using a DayCount which may be different to that of the index. Typically the value will be close to 1 for one year and close to 0.5 for six months. The fraction may be greater than 1, but not less than 0.
Class com.opengamma.strata.product.swap.RateCalculationSwapLeg extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualSchedule
```
PeriodicSchedule accrualSchedule
```
    The accrual schedule.
    This is used to define the accrual periods. These are used directly or indirectly to determine other dates in the swap.
  - calculation
```
RateCalculation calculation
```
    The interest rate accrual calculation.
    Different kinds of swap leg are determined by the subclass used here. See FixedRateCalculation, IborRateCalculation and OvernightRateCalculation.
  - notionalSchedule
```
NotionalSchedule notionalSchedule
```
    The notional schedule.
    The notional amount schedule, which can vary during the lifetime of the swap. In most cases, the notional amount is not exchanged, with only the net difference being exchanged. However, in certain cases, initial, final or intermediate amounts are exchanged.
  - paymentSchedule
```
PaymentSchedule paymentSchedule
```
    The payment schedule.
    This is used to define the payment periods, including any compounding. The payment period dates are based on the accrual schedule.
  - payReceive
```
PayReceive payReceive
```
    Whether the leg is pay or receive.
    A value of 'Pay' implies that the resulting amount is paid to the counterparty. A value of 'Receive' implies that the resulting amount is received from the counterparty. Note that negative interest rates can result in a payment in the opposite direction to that implied by this indicator.
Class com.opengamma.strata.product.swap.RatePaymentPeriod extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualPeriods
```
ImmutableList<RateAccrualPeriod> accrualPeriods
```
    The accrual periods that combine to form the payment period.
    Each accrual period includes the applicable dates and details of how to observe the rate. In most cases, there will be one accrual period. If there is more than one accrual period then compounding may apply.
  - compoundingMethod
```
CompoundingMethod compoundingMethod
```
    The compounding method to use when there is more than one accrual period, default is 'None'.
    Compounding is used when combining accrual periods.
  - currency
```
Currency currency
```
    The primary currency of the payment period.
    This is the currency of the swap leg and the currency that interest calculation is made in.
    The amounts of the notional are usually expressed in terms of this currency, however they can be converted from amounts in a different currency. See the optional fxReset property.
  - dayCount
```
DayCount dayCount
```
    The day count convention.
    Each accrual period contains a year fraction calculated using this day count. This day count is used when there is a need to perform further calculations.
  - fxReset
```
FxReset fxReset
```
    The FX reset definition, optional.
    This property is used when the defined amount of the notional is specified in a currency other than the currency of the swap leg. When this occurs, the notional amount has to be converted using an FX rate to the swap leg currency.
    The FX reset definition must be valid. It must have a reference currency that is different to that of this period, and the currency of this period must be one of those defined by the FX reset index.
  - notional
```
double notional
```
    The notional amount, positive if receiving, negative if paying.
    The notional amount applicable during the period. The currency of the notional is specified by currency unless there is the fxReset property is present.
  - paymentDate
```
LocalDate paymentDate
```
    The date that payment occurs.
    The date that payment is made for the accrual periods. If the schedule adjusts for business days, then this is the adjusted date.
Class com.opengamma.strata.product.swap.RatePeriodSwapLeg extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - finalExchange
```
boolean finalExchange
```
    The flag indicating whether to exchange the final notional.
    Setting this to true indicates that the notional is transferred at the end of the trade. This should typically be set to true in the case of an FX reset swap, or one with a varying notional.
    This flag controls whether a notional exchange object is created when the leg is resolved. It covers an exchange on the final payment date of the swap leg. If there is an FX reset, then this flag is ignored, see intermediateExchange. If there is no FX reset and the flag is true, then a NotionalExchange object will be created.
  - initialExchange
```
boolean initialExchange
```
    The flag indicating whether to exchange the initial notional.
    Setting this to true indicates that the notional is transferred at the start of the trade. This should typically be set to true in the case of an FX reset swap, or one with a varying notional.
    This flag controls whether a notional exchange object is created when the leg is resolved. It covers an exchange on the initial payment date of the swap leg, treated as the start date. If there is an FX reset, then this flag is ignored, see intermediateExchange. If there is no FX reset and the flag is true, then a NotionalExchange object will be created.
  - intermediateExchange
```
boolean intermediateExchange
```
    The flag indicating whether to exchange the differences in the notional during the lifetime of the swap.
    Setting this to true indicates that the notional is transferred when it changes during the trade. This should typically be set to true in the case of an FX reset swap, or one with a varying notional.
    This flag controls whether a notional exchange object is created when the leg is resolved. It covers an exchange on each intermediate payment date of the swap leg. If set to true, the behavior depends on whether an FX reset payment period is defined. If there is an FX reset, then an FxResetNotionalExchange object will be created. If there is no FX reset, then a NotionalExchange object will be created.
  - paymentBusinessDayAdjustment
```
BusinessDayAdjustment paymentBusinessDayAdjustment
```
    The business day date adjustment to be applied to each payment date, default is to apply no adjustment.
    The business day adjustment is applied to period, exchange and event payment dates.
  - paymentEvents
```
ImmutableList<SwapPaymentEvent> paymentEvents
```
    The additional payment events that are associated with the swap leg.
    Payment events include fees. Notional exchange may also be specified here instead of via the dedicated fields.
  - paymentPeriods
```
ImmutableList<RatePaymentPeriod> paymentPeriods
```
    The payment periods that combine to form the swap leg.
    Each payment period represents part of the life-time of the leg. In most cases, the periods do not overlap. However, since each payment period is essentially independent the data model allows overlapping periods.
    The start date and end date of the leg are determined from the first and last period. As such, the periods should be sorted.
  - payReceive
```
PayReceive payReceive
```
    Whether the leg is pay or receive.
    A value of 'Pay' implies that the resulting amount is paid to the counterparty. A value of 'Receive' implies that the resulting amount is received from the counterparty. Note that negative interest rates can result in a payment in the opposite direction to that implied by this indicator.
    The value of this flag should match the signs of the payment period notionals.
  - type
```
SwapLegType type
```
    The type of the leg, such as Fixed or Ibor.
    This provides a high level categorization of the swap leg.
Class com.opengamma.strata.product.swap.ResetSchedule extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - businessDayAdjustment
```
BusinessDayAdjustment businessDayAdjustment
```
    The business day adjustment to apply to each reset date.
    This adjustment is applied to each reset date to ensure it is a valid business day.
  - resetFrequency
```
Frequency resetFrequency
```
    The periodic frequency of reset dates.
    Reset dates will be calculated within each accrual period based on unadjusted dates. The frequency must be the same as, or smaller than, the accrual periodic frequency. When calculating the reset dates, the roll convention of the accrual periods will be used. Once the unadjusted date calculation is complete, the business day adjustment specified here will be used.
    Averaging applies if the reset frequency does not equal the accrual frequency.
  - resetMethod
```
IborRateResetMethod resetMethod
```
    The rate reset method, defaulted to 'Unweighted'.
    This is used when more than one fixing contributes to the accrual period.
    Averaging may be weighted by the number of days that the fixing is applicable for. The number of days is based on the reset period, not the period between two fixing dates.
    Defined by the 2006 ISDA definitions article 6.2a.
Class com.opengamma.strata.product.swap.ResolvedSwap extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - legs
```
ImmutableList<ResolvedSwapLeg> legs
```
    The legs of the swap.
    A swap consists of one or more legs. The legs of a swap are essentially unordered, however it is more efficient and closer to user expectation to treat them as being ordered.
Class com.opengamma.strata.product.swap.ResolvedSwapLeg extends Object implements Serializable

serialVersionUID:

1L
- Serialization Methods
  - readResolve
```
private Object readResolve()
```
- Serialized Fields
  - paymentEvents
```
ImmutableList<SwapPaymentEvent> paymentEvents
```
    The payment events that are associated with the swap leg.
    Payment events include notional exchange and fees.
  - paymentPeriods
```
ImmutableList<SwapPaymentPeriod> paymentPeriods
```
    The payment periods that combine to form the swap leg.
    Each payment period represents part of the life-time of the leg. In most cases, the periods do not overlap. However, since each payment period is essentially independent the data model allows overlapping periods.
    The start date and end date of the leg are determined from the first and last period. As such, the periods should be sorted.
  - payReceive
```
PayReceive payReceive
```
    Whether the leg is pay or receive.
    A value of 'Pay' implies that the resulting amount is paid to the counterparty. A value of 'Receive' implies that the resulting amount is received from the counterparty. Note that negative interest rates can result in a payment in the opposite direction to that implied by this indicator.
    The value of this flag should match the signs of the payment period notionals.
  - type
```
SwapLegType type
```
    The type of the leg, such as Fixed or Ibor.
    This provides a high level categorization of the swap leg.
Class com.opengamma.strata.product.swap.ResolvedSwapTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
ResolvedSwap product
```
    The resolved Swap product.
    The product captures the contracted financial details of the trade.
Class com.opengamma.strata.product.swap.Swap extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - legs
```
ImmutableList<SwapLeg> legs
```
    The legs of the swap.
    A swap consists of one or more legs. The legs of a swap are essentially unordered, however it is more efficient and closer to user expectation to treat them as being ordered.
Class com.opengamma.strata.product.swap.SwapTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - product
```
Swap product
```
    The swap product that was agreed when the trade occurred.
    The product captures the contracted financial details of the trade.

Package com.opengamma.strata.product.swap.type

Class com.opengamma.strata.product.swap.type.FixedIborSwapTemplate extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - convention
```
FixedIborSwapConvention convention
```
    The market convention of the swap.
  - periodToStart
```
Period periodToStart
```
    The period between the spot value date and the start date.
    This is often zero, but can be greater if the swap if forward starting. This must not be negative.
  - tenor
```
Tenor tenor
```
    The tenor of the swap.
    This is the period from the first accrual date to the last accrual date.
Class com.opengamma.strata.product.swap.type.FixedInflationSwapTemplate extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - convention
```
FixedInflationSwapConvention convention
```
    The market convention of the swap.
  - tenor
```
Tenor tenor
```
    The tenor of the swap.
    This is the period from the first accrual date to the last accrual date.
Class com.opengamma.strata.product.swap.type.FixedOvernightSwapTemplate extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - convention
```
FixedOvernightSwapConvention convention
```
    The market convention of the swap.
  - periodToStart
```
Period periodToStart
```
    The period between the spot value date and the start date.
    This is often zero, but can be greater if the swap if forward starting. This must not be negative.
  - tenor
```
Tenor tenor
```
    The tenor of the swap.
    This is the period from the first accrual date to the last accrual date.
Class com.opengamma.strata.product.swap.type.FixedRateSwapLegConvention extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualBusinessDayAdjustment
```
BusinessDayAdjustment accrualBusinessDayAdjustment
```
    The business day adjustment to apply to accrual schedule dates.
    Each date in the calculated schedule is determined without taking into account weekends and holidays. The adjustment specified here is used to convert those dates to valid business days.
    The start date and end date may have their own business day adjustment rules. If those are not present, then this adjustment is used instead.
  - accrualFrequency
```
Frequency accrualFrequency
```
    The periodic frequency of accrual.
    Interest will be accrued over periods at the specified periodic frequency, such as every 3 months.
  - accrualMethod
```
FixedAccrualMethod accrualMethod
```
    The accrual method using the fixed rate, defaulted to 'None'.
    This is normally 'None', but can be set forBrazilian swaps.
  - compoundingMethod
```
CompoundingMethod compoundingMethod
```
    The compounding method to use when there is more than one accrual period in each payment period, optional with defaulting getter.
    Compounding is used when combining accrual periods.
    This will default to 'None' if not specified.
  - currency
```
Currency currency
```
    The leg currency.
    This is the currency of the swap leg and the currency that payment is made in.
  - dayCount
```
DayCount dayCount
```
    The day count convention applicable.
    This is used to convert schedule period dates to a numerical value.
  - endDateBusinessDayAdjustment
```
BusinessDayAdjustment endDateBusinessDayAdjustment
```
    The business day adjustment to apply to the end date, optional with defaulting getter.
    The end date property is an unadjusted date and as such might be a weekend or holiday. The adjustment specified here is used to convert the end date to a valid business day.
    This will default to the accrualDatesBusinessDayAdjustment if not specified.
  - paymentDateOffset
```
DaysAdjustment paymentDateOffset
```
    The offset of payment from the base date, optional with defaulting getter.
    The offset is applied to the unadjusted date specified by paymentRelativeTo. Offset can be based on calendar days or business days.
    This will default to 'None' if not specified.
  - paymentFrequency
```
Frequency paymentFrequency
```
    The periodic frequency of payments, optional with defaulting getter.
    Regular payments will be made at the specified periodic frequency. The frequency must be the same as, or a multiple of, the accrual periodic frequency.
    Compounding applies if the payment frequency does not equal the accrual frequency.
    This will default to the accrual frequency if not specified.
  - rollConvention
```
RollConvention rollConvention
```
    The convention defining how to roll dates, optional with defaulting getter.
    The schedule periods are determined at the high level by repeatedly adding the frequency to the start date, or subtracting it from the end date. The roll convention provides the detailed rule to adjust the day-of-month or day-of-week.
    This will default to 'None' if not specified.
  - startDateBusinessDayAdjustment
```
BusinessDayAdjustment startDateBusinessDayAdjustment
```
    The business day adjustment to apply to the start date, optional with defaulting getter.
    The start date property is an unadjusted date and as such might be a weekend or holiday. The adjustment specified here is used to convert the start date to a valid business day.
    This will default to the accrualDatesBusinessDayAdjustment if not specified.
  - stubConvention
```
StubConvention stubConvention
```
    The convention defining how to handle stubs, optional with defaulting getter.
    The stub convention is used during schedule construction to determine whether the irregular remaining period occurs at the start or end of the schedule. It also determines whether the irregular period is shorter or longer than the regular period.
    This will default to 'SmartInitial' if not specified.
Class com.opengamma.strata.product.swap.type.IborIborSwapTemplate extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - convention
```
IborIborSwapConvention convention
```
    The market convention of the swap.
  - periodToStart
```
Period periodToStart
```
    The period between the spot value date and the start date.
    This is often zero, but can be greater if the swap if forward starting. This must not be negative.
  - tenor
```
Tenor tenor
```
    The tenor of the swap.
    This is the period from the first accrual date to the last accrual date.
Class com.opengamma.strata.product.swap.type.IborRateSwapLegConvention extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualBusinessDayAdjustment
```
BusinessDayAdjustment accrualBusinessDayAdjustment
```
    The business day adjustment to apply to accrual schedule dates.
    Each date in the calculated schedule is determined without taking into account weekends and holidays. The adjustment specified here is used to convert those dates to valid business days.
    The start date and end date may have their own business day adjustment rules. If those are not present, then this adjustment is used instead.
    This will default to 'ModifiedFollowing' using the index fixing calendar if not specified.
  - accrualFrequency
```
Frequency accrualFrequency
```
    The periodic frequency of accrual.
    Interest will be accrued over periods at the specified periodic frequency, such as every 3 months.
    This will default to the tenor of the index if not specified.
  - compoundingMethod
```
CompoundingMethod compoundingMethod
```
    The compounding method to use when there is more than one accrual period in each payment period, optional with defaulting getter.
    Compounding is used when combining accrual periods.
    This will default to 'None' if not specified.
  - currency
```
Currency currency
```
    The leg currency, optional with defaulting getter.
    This is the currency of the swap leg and the currency that payment is made in. The data model permits this currency to differ from that of the index, however the two are typically the same.
    This will default to the currency of the index if not specified.
  - dayCount
```
DayCount dayCount
```
    The day count convention applicable, optional with defaulting getter.
    This is used to convert dates to a numerical value. The data model permits the day count to differ from that of the index, however the two are typically the same.
    This will default to the day count of the index if not specified.
  - endDateBusinessDayAdjustment
```
BusinessDayAdjustment endDateBusinessDayAdjustment
```
    The business day adjustment to apply to the end date, optional with defaulting getter.
    The end date property is an unadjusted date and as such might be a weekend or holiday. The adjustment specified here is used to convert the end date to a valid business day.
    This will default to the accrualDatesBusinessDayAdjustment if not specified.
  - fixingDateOffset
```
DaysAdjustment fixingDateOffset
```
    The offset of the fixing date from each adjusted reset date.
    The offset is applied to the base date specified by fixingRelativeTo. The offset is typically a negative number of business days. The data model permits the offset to differ from that of the index, however the two are typically the same.
    This will default to the fixing date offset of the index if not specified.
  - fixingRelativeTo
```
FixingRelativeTo fixingRelativeTo
```
    The base date that each fixing is made relative to, optional with defaulting getter.
    The fixing date is relative to either the start or end of each reset period.
    Note that in most cases, the reset frequency matches the accrual frequency and thus there is only one fixing for the accrual period.
    This will default to 'PeriodStart' if not specified.
  - index
```
IborIndex index
```
    The Ibor index.
    The floating rate to be paid is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'.
  - notionalExchange
```
boolean notionalExchange
```
    The flag indicating whether to exchange the notional.
    If 'true', the notional there is both an initial exchange and a final exchange of notional.
    This will default to 'false' if not specified.
  - paymentDateOffset
```
DaysAdjustment paymentDateOffset
```
    The offset of payment from the base date, optional with defaulting getter.
    The offset is applied to the unadjusted date specified by paymentRelativeTo. Offset can be based on calendar days or business days.
    This will default to 'None' if not specified.
  - paymentFrequency
```
Frequency paymentFrequency
```
    The periodic frequency of payments, optional with defaulting getter.
    Regular payments will be made at the specified periodic frequency. The frequency must be the same as, or a multiple of, the accrual periodic frequency.
    Compounding applies if the payment frequency does not equal the accrual frequency.
    This will default to the accrual frequency if not specified.
  - rollConvention
```
RollConvention rollConvention
```
    The convention defining how to roll dates, optional with defaulting getter.
    The schedule periods are determined at the high level by repeatedly adding the frequency to the start date, or subtracting it from the end date. The roll convention provides the detailed rule to adjust the day-of-month or day-of-week.
    This will default to 'None' if not specified.
  - startDateBusinessDayAdjustment
```
BusinessDayAdjustment startDateBusinessDayAdjustment
```
    The business day adjustment to apply to the start date, optional with defaulting getter.
    The start date property is an unadjusted date and as such might be a weekend or holiday. The adjustment specified here is used to convert the start date to a valid business day.
    This will default to the accrualDatesBusinessDayAdjustment if not specified.
  - stubConvention
```
StubConvention stubConvention
```
    The convention defining how to handle stubs, optional with defaulting getter.
    The stub convention is used during schedule construction to determine whether the irregular remaining period occurs at the start or end of the schedule. It also determines whether the irregular period is shorter or longer than the regular period.
    This will default to 'SmartInitial' if not specified.
Class com.opengamma.strata.product.swap.type.ImmutableFixedIborSwapConvention extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - fixedLeg
```
FixedRateSwapLegConvention fixedLeg
```
    The market convention of the fixed leg.
  - floatingLeg
```
IborRateSwapLegConvention floatingLeg
```
    The market convention of the floating leg.
  - name
```
String name
```
    The convention name, such as 'USD-FIXED-6M-LIBOR-3M'.
  - spotDateOffset
```
DaysAdjustment spotDateOffset
```
    The offset of the spot value date from the trade date.
    The offset is applied to the trade date to find the start date. A typical value is "plus 2 business days".
Class com.opengamma.strata.product.swap.type.ImmutableFixedInflationSwapConvention extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - fixedLeg
```
FixedRateSwapLegConvention fixedLeg
```
    The market convention of the fixed leg.
  - floatingLeg
```
InflationRateSwapLegConvention floatingLeg
```
    The market convention of the floating leg.
  - name
```
String name
```
    The convention name, such as 'USD-FIXED-6M-LIBOR-3M'.
  - spotDateOffset
```
DaysAdjustment spotDateOffset
```
    The offset of the spot value date from the trade date.
    The offset is applied to the trade date to find the start date. A typical value is "plus 2 business days".
Class com.opengamma.strata.product.swap.type.ImmutableFixedOvernightSwapConvention extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - fixedLeg
```
FixedRateSwapLegConvention fixedLeg
```
    The market convention of the fixed leg.
  - floatingLeg
```
OvernightRateSwapLegConvention floatingLeg
```
    The market convention of the floating leg.
  - name
```
String name
```
    The convention name, such as 'USD-FIXED-TERM-FED-FUND-OIS'.
  - spotDateOffset
```
DaysAdjustment spotDateOffset
```
    The offset of the spot value date from the trade date.
    The offset is applied to the trade date to find the start date. A typical value is "plus 2 business days".
Class com.opengamma.strata.product.swap.type.ImmutableIborIborSwapConvention extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - flatLeg
```
IborRateSwapLegConvention flatLeg
```
    The market convention of the floating leg that does not have the spread applied.
  - name
```
String name
```
    The convention name, such as 'USD-LIBOR-3M-LIBOR-6M'.
  - spotDateOffset
```
DaysAdjustment spotDateOffset
```
    The offset of the spot value date from the trade date.
    The offset is applied to the trade date to find the start date. A typical value is "plus 2 business days".
  - spreadLeg
```
IborRateSwapLegConvention spreadLeg
```
    The market convention of the floating leg that has the spread applied.
    The spread is the market price of the instrument. It is added to the observed interest rate.
Class com.opengamma.strata.product.swap.type.ImmutableOvernightIborSwapConvention extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - iborLeg
```
IborRateSwapLegConvention iborLeg
```
    The market convention of the floating leg.
  - name
```
String name
```
    The convention name, such as 'USD-FED-FUND-AA-LIBOR-3M'.
  - overnightLeg
```
OvernightRateSwapLegConvention overnightLeg
```
    The market convention of the floating leg.
  - spotDateOffset
```
DaysAdjustment spotDateOffset
```
    The offset of the spot value date from the trade date.
    The offset is applied to the trade date to find the start date. A typical value is "plus 2 business days".
Class com.opengamma.strata.product.swap.type.ImmutableThreeLegBasisSwapConvention extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - flatFloatingLeg
```
IborRateSwapLegConvention flatFloatingLeg
```
    The market convention of the floating leg that does not have the spread applied.
  - name
```
String name
```
    The convention name.
  - spotDateOffset
```
DaysAdjustment spotDateOffset
```
    The offset of the spot value date from the trade date.
    The offset is applied to the trade date to find the start date. A typical value is "plus 2 business days".
  - spreadFloatingLeg
```
IborRateSwapLegConvention spreadFloatingLeg
```
    The market convention of the floating leg to which the spread leg is added.
  - spreadLeg
```
FixedRateSwapLegConvention spreadLeg
```
    The market convention of the fixed leg for the spread.
    This is to be applied to floatingSpreadLeg.
Class com.opengamma.strata.product.swap.type.ImmutableXCcyIborIborSwapConvention extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - flatLeg
```
IborRateSwapLegConvention flatLeg
```
    The market convention of the floating leg that does not have the spread applied.
  - name
```
String name
```
    The convention name, such as 'EUR-EURIBOR-3M-USD-LIBOR-3M'.
  - spotDateOffset
```
DaysAdjustment spotDateOffset
```
    The offset of the spot value date from the trade date.
    The offset is applied to the trade date to find the start date. A typical value is "plus 2 business days".
  - spreadLeg
```
IborRateSwapLegConvention spreadLeg
```
    The market convention of the floating leg that has the spread applied.
    The spread is the market price of the instrument. It is added to the observed interest rate.
Class com.opengamma.strata.product.swap.type.InflationRateSwapLegConvention extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualBusinessDayAdjustment
```
BusinessDayAdjustment accrualBusinessDayAdjustment
```
    The business day adjustment to apply to accrual schedule dates.
    Each date in the calculated schedule is determined without taking into account weekends and holidays. The adjustment specified here is used to convert those dates to valid business days.
    The start date and end date may have their own business day adjustment rules. If those are not present, then this adjustment is used instead.
    This will default to 'ModifiedFollowing' using the index fixing calendar if not specified.
  - index
```
PriceIndex index
```
    The Price index.
    The floating rate to be paid is based on this price index It will be a well known price index such as 'GB-HICP'.
  - indexCalculationMethod
```
PriceIndexCalculationMethod indexCalculationMethod
```
    Reference price index calculation method.
    This specifies how the reference index calculation occurs.
    This will default to 'Monthly' if not specified.
  - lag
```
Period lag
```
    The positive period between the price index and the accrual date, typically a number of months.
    A price index is typically published monthly and has a delay before publication. The lag is subtracted from the accrual start and end date to locate the month of the data to be observed.
    For example, the September data may be published in October or November. A 3 month lag will cause an accrual date in December to be based on the observed data for September, which should be available by then.
  - notionalExchange
```
boolean notionalExchange
```
    The flag indicating whether to exchange the notional.
    If 'true', the notional there is both an initial exchange and a final exchange of notional.
    This will default to 'false' if not specified.
  - paymentDateOffset
```
DaysAdjustment paymentDateOffset
```
    The offset of payment from the base date, optional with defaulting getter.
    The offset is applied to the unadjusted date specified by paymentRelativeTo. Offset can be based on calendar days or business days.
    This will default to 'None' if not specified.
Class com.opengamma.strata.product.swap.type.OvernightIborSwapTemplate extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - convention
```
OvernightIborSwapConvention convention
```
    The market convention of the swap.
  - periodToStart
```
Period periodToStart
```
    The period between the spot value date and the start date.
    This is often zero, but can be greater if the swap if forward starting. This must not be negative.
  - tenor
```
Tenor tenor
```
    The tenor of the swap.
    This is the period from the first accrual date to the last accrual date.
Class com.opengamma.strata.product.swap.type.OvernightRateSwapLegConvention extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - accrualBusinessDayAdjustment
```
BusinessDayAdjustment accrualBusinessDayAdjustment
```
    The business day adjustment to apply to accrual schedule dates.
    Each date in the calculated schedule is determined without taking into account weekends and holidays. The adjustment specified here is used to convert those dates to valid business days.
    The start date and end date may have their own business day adjustment rules. If those are not present, then this adjustment is used instead.
    This will default to 'ModifiedFollowing' using the index fixing calendar if not specified.
  - accrualFrequency
```
Frequency accrualFrequency
```
    The periodic frequency of accrual.
    Interest will be accrued over periods at the specified periodic frequency, such as every 3 months.
    This will default to the term frequency if not specified.
  - accrualMethod
```
OvernightAccrualMethod accrualMethod
```
    The method of accruing overnight interest, defaulted to 'Compounded'.
    Two methods of accrual are supported - 'Compounded' and 'Averaged'. Averaging is primarily related to the 'USD-FED-FUND' index.
  - compoundingMethod
```
CompoundingMethod compoundingMethod
```
    The compounding method to use when there is more than one accrual period in each payment period, optional with defaulting getter.
    Compounding is used when combining accrual periods.
    This will default to 'None' if not specified.
  - currency
```
Currency currency
```
    The leg currency, optional with defaulting getter.
    This is the currency of the swap leg and the currency that payment is made in. The data model permits this currency to differ from that of the index, however the two are typically the same.
    This will default to the currency of the index if not specified.
  - dayCount
```
DayCount dayCount
```
    The day count convention applicable, optional with defaulting getter.
    This is used to convert dates to a numerical value. The data model permits the day count to differ from that of the index, however the two are typically the same.
    This will default to the day count of the index if not specified.
  - endDateBusinessDayAdjustment
```
BusinessDayAdjustment endDateBusinessDayAdjustment
```
    The business day adjustment to apply to the end date, optional with defaulting getter.
    The end date property is an unadjusted date and as such might be a weekend or holiday. The adjustment specified here is used to convert the end date to a valid business day.
    This will default to the accrualDatesBusinessDayAdjustment if not specified.
  - index
```
OvernightIndex index
```
    The Overnight index.
    The floating rate to be paid is based on this index It will be a well known market index such as 'GBP-SONIA'.
  - paymentDateOffset
```
DaysAdjustment paymentDateOffset
```
    The offset of payment from the base date, optional with defaulting getter.
    The offset is applied to the unadjusted date specified by paymentRelativeTo. Offset can be based on calendar days or business days.
    This will default to 'None' if not specified.
  - paymentFrequency
```
Frequency paymentFrequency
```
    The periodic frequency of payments, optional with defaulting getter.
    Regular payments will be made at the specified periodic frequency. The frequency must be the same as, or a multiple of, the accrual periodic frequency.
    Compounding applies if the payment frequency does not equal the accrual frequency.
    This will default to the accrual frequency if not specified.
  - rateCutOffDays
```
Integer rateCutOffDays
```
    The number of business days before the end of the period that the rate is cut off.
    When a rate cut-off applies, the final daily rate is determined this number of days before the end of the period, with any subsequent days having the same rate.
    The amount must be zero or positive. A value of zero or one will have no effect on the standard calculation. The fixing holiday calendar of the index is used to determine business days.
    For example, a value of 3 means that the rate observed on (periodEndDate - 3 business days) is also to be used on (periodEndDate - 2 business days) and (periodEndDate - 1 business day).
    If there are multiple accrual periods in the payment period, then this will only apply to the last accrual period in the payment period.
    This will default to the zero if not specified.
  - rollConvention
```
RollConvention rollConvention
```
    The convention defining how to roll dates, optional with defaulting getter.
    The schedule periods are determined at the high level by repeatedly adding the frequency to the start date, or subtracting it from the end date. The roll convention provides the detailed rule to adjust the day-of-month or day-of-week.
    This will default to 'None' if not specified.
  - startDateBusinessDayAdjustment
```
BusinessDayAdjustment startDateBusinessDayAdjustment
```
    The business day adjustment to apply to the start date, optional with defaulting getter.
    The start date property is an unadjusted date and as such might be a weekend or holiday. The adjustment specified here is used to convert the start date to a valid business day.
    This will default to the accrualDatesBusinessDayAdjustment if not specified.
  - stubConvention
```
StubConvention stubConvention
```
    The convention defining how to handle stubs, optional with defaulting getter.
    The stub convention is used during schedule construction to determine whether the irregular remaining period occurs at the start or end of the schedule. It also determines whether the irregular period is shorter or longer than the regular period.
    This will default to 'SmartInitial' if not specified.
Class com.opengamma.strata.product.swap.type.ThreeLegBasisSwapTemplate extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - convention
```
ThreeLegBasisSwapConvention convention
```
    The market convention of the swap.
  - periodToStart
```
Period periodToStart
```
    The period between the spot value date and the start date.
    This is often zero, but can be greater if the swap if forward starting. This must not be negative.
  - tenor
```
Tenor tenor
```
    The tenor of the swap.
    This is the period from the first accrual date to the last accrual date.
Class com.opengamma.strata.product.swap.type.XCcyIborIborSwapTemplate extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - convention
```
XCcyIborIborSwapConvention convention
```
    The market convention of the swap.
  - periodToStart
```
Period periodToStart
```
    The period between the spot value date and the start date.
    This is often zero, but can be greater if the swap if forward starting. This must not be negative.
  - tenor
```
Tenor tenor
```
    The tenor of the swap.
    This is the period from the first accrual date to the last accrual date.

Package com.opengamma.strata.product.swaption

Class com.opengamma.strata.product.swaption.CashSwaptionSettlement extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - method
```
CashSwaptionSettlementMethod method
```
    The cash settlement method.
    The settlement rate of the cash settled swaption is specified by respective cash settlement methods.
  - settlementDate
```
LocalDate settlementDate
```
    The settlement date.
    The payoff of the option is settled at this date.
Class com.opengamma.strata.product.swaption.PhysicalSwaptionSettlement extends Object implements Serializable

serialVersionUID:

1L
Class com.opengamma.strata.product.swaption.ResolvedSwaption extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - exerciseInfo
```
SwaptionExerciseDates exerciseInfo
```
    The exercise information.
    A swaption can have three different kinds of exercise - European, American and Bermudan. A European swaption has one exercise date, an American can exercise on any date, and a Bermudan can exercise on a fixed set of dates.
    European swaptions will have matching information in this object, expiry date and swap start date. If this is not set in the builder, it will be defaulted to European from the expiry date and swap start date.
  - expiry
```
ZonedDateTime expiry
```
    The expiry date-time of the option.
    The option is European, and can only be exercised on the expiry date.
  - longShort
```
LongShort longShort
```
    Whether the option is long or short.
    Long indicates that the owner wants the option to be in the money at expiry. Short indicates that the owner wants the option to be out of the money at expiry.
  - swaptionSettlement
```
SwaptionSettlement swaptionSettlement
```
    Settlement method.
    The settlement of the option is specified by SwaptionSettlement.
  - underlying
```
ResolvedSwap underlying
```
    The underlying swap.
    At expiry, if the option is exercised, this swap will be entered into. The swap description is the swap as viewed by the party long the option.
Class com.opengamma.strata.product.swaption.ResolvedSwaptionTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - premium
```
Payment premium
```
    The premium of the swaption.
    The premium sign should be compatible with the product Long/Short flag. This means that the premium is negative for long and positive for short.
  - product
```
ResolvedSwaption product
```
    The resolved Swaption product.
    The product captures the contracted financial details of the trade.
Class com.opengamma.strata.product.swaption.Swaption extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - exerciseInfo
```
SwaptionExercise exerciseInfo
```
    The exercise information, optional.
    A swaption can have three different kinds of exercise - European, American and Bermudan. A European swaption has one exercise date, an American can exercise on any date, and a Bermudan can exercise on a fixed set of dates.
    If not present, the swaption is considered to be a European swaption as per the expiry date.
  - expiryDate
```
AdjustableDate expiryDate
```
    The expiry date of the option.
    This is the last date that the swaption can be exercised. To represent Bermudan and American swaptions, or to represent a European swaption where the swap start date is calculated dynamically, see the exerciseOptions field.
    This date is typically set to be a valid business day. However, the businessDayAdjustment property may be set to provide a rule for adjustment.
  - expiryTime
```
LocalTime expiryTime
```
    The expiry time of the option.
    The expiry time is related to the expiry date and time-zone.
  - expiryZone
```
ZoneId expiryZone
```
    The time-zone of the expiry time.
    The expiry time-zone is related to the expiry date and time.
  - longShort
```
LongShort longShort
```
    Whether the option is long or short.
    Long indicates that the owner wants the option to be in the money at expiry. Short indicates that the owner wants the option to be out of the money at expiry.
  - swaptionSettlement
```
SwaptionSettlement swaptionSettlement
```
    Settlement method.
    The settlement of the option is specified by SwaptionSettlement.
  - underlying
```
Swap underlying
```
    The underlying swap.
    At expiry, if the option is exercised, this swap will be entered into. The swap description is the swap as viewed by the party long the option.
Class com.opengamma.strata.product.swaption.SwaptionExercise extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - dateDefinition
```
AdjustableDates dateDefinition
```
    An explicit list of exercise dates.
    A European swaption has one date in the list. A Bermudan swaption has at least two dates in the list. An American swaption has at exactly two dates in the list, the earliest and latest dates.
  - frequency
```
Frequency frequency
```
    The frequency of exercise between the earliest and latest dates.
    An American swaption must set this to one day.
    A Bermudan swaption might set this to a specific frequency instead of pre-calculating the dates. If it does this, there must only be two dates in the list. The intermediate dates will be calculated by adding multiples of the frequency to the earliest date.
  - swapStartDateOffset
```
DaysAdjustment swapStartDateOffset
```
    The offset to the swap start date.
    Each adjusted exercise date has this offset applied to get the start date of the underlying swap.
Class com.opengamma.strata.product.swaption.SwaptionExerciseDate extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - exerciseDate
```
LocalDate exerciseDate
```
    The adjusted exercise date.
    This date has been adjusted to be a business day.
  - swapStartDate
```
LocalDate swapStartDate
```
    The adjusted swap start date.
    This date has been adjusted to be a business day.
  - unadjustedExerciseDate
```
LocalDate unadjustedExerciseDate
```
    The unadjusted exercise date.
    This date may be a non-business day.
Class com.opengamma.strata.product.swaption.SwaptionExerciseDates extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - allDates
```
boolean allDates
```
    Whether all dates are valid dates for swaption exercise between the first and last date.
    This will be true for an American swaption, and false otherwise.
  - dates
```
ImmutableList<SwaptionExerciseDate> dates
```
    An explicit list of exercise dates.
    A European swaption has one date in the list. A Bermudan swaption has at least two dates in the list. An American swaption has at exactly two dates in the list, the earliest and latest dates.
Class com.opengamma.strata.product.swaption.SwaptionTrade extends Object implements Serializable

serialVersionUID:

1L
- Serialized Fields
  - info
```
TradeInfo info
```
    The additional trade information, defaulted to an empty instance.
    This allows additional information to be attached to the trade.
  - premium
```
AdjustablePayment premium
```
    The premium of the swaption.
    The premium sign should be compatible with the product Long/Short flag. This means that the premium is negative for long and positive for short.
  - product
```
Swaption product
```
    The swaption product that was agreed when the trade occurred.
    The product captures the contracted financial details of the trade.

Serialized Form

Package com.opengamma.strata.basics

Class com.opengamma.strata.basics.CalculationTargetList extends Object implements Serializable

Serialized Fields

targets

Class com.opengamma.strata.basics.ImmutableReferenceData extends Object implements Serializable

Serialized Fields

values

Class com.opengamma.strata.basics.ReferenceDataNotFoundException extends RuntimeException implements Serializable

Class com.opengamma.strata.basics.StandardId extends Object implements Serializable

Serialization Methods

readResolve

Serialized Fields

scheme

value

Package com.opengamma.strata.basics.currency

Class com.opengamma.strata.basics.currency.AdjustablePayment extends Object implements Serializable

Serialized Fields

date

value

Class com.opengamma.strata.basics.currency.BigMoney extends Object implements Serializable

Serialized Fields

amount

currency

Class com.opengamma.strata.basics.currency.Currency extends Object implements Serializable

Serialization Methods

readResolve

Serialized Fields

code

Class com.opengamma.strata.basics.currency.CurrencyAmount extends Object implements Serializable

Serialized Fields

amount

currency

Class com.opengamma.strata.basics.currency.CurrencyAmountArray extends Object implements Serializable

Serialized Fields

currency

values

Class com.opengamma.strata.basics.currency.CurrencyPair extends Object implements Serializable

Serialized Fields

base

counter

Class com.opengamma.strata.basics.currency.FxMatrix extends Object implements Serializable

Serialized Fields

currencies

rates

Class com.opengamma.strata.basics.currency.FxRate extends Object implements Serializable

Serialized Fields

pair

rate

Class com.opengamma.strata.basics.currency.Money extends Object implements Serializable

Serialized Fields

amount

currency

Class com.opengamma.strata.basics.currency.MultiCurrencyAmount extends Object implements Serializable

Serialized Fields

amounts

Class com.opengamma.strata.basics.currency.MultiCurrencyAmountArray extends Object implements Serializable

Serialization Methods

readResolve

Serialized Fields

size

values

Class com.opengamma.strata.basics.currency.Payment extends Object implements Serializable

Serialized Fields

date

value

Package com.opengamma.strata.basics.date

Class com.opengamma.strata.basics.date.AdjustableDate extends Object implements Serializable

Serialized Fields

adjustment

unadjusted

Class com.opengamma.strata.basics.date.AdjustableDates extends Object implements Serializable

Serialized Fields

adjustment

unadjusted

Class com.opengamma.strata.basics.date.BusinessDayAdjustment extends Object implements Serializable

Serialized Fields

calendar

convention

Class com.opengamma.strata.basics.date.DaysAdjustment extends Object implements Serializable