Interface FloatingRateIndex

    • Method Detail

      • parse

        static FloatingRateIndex parse​(java.lang.String indexStr,
                                       Tenor defaultIborTenor)
        Parses a string, handling different types of index, optionally specifying a tenor for Ibor.

        This tries a number of ways to parse the input:

        If FloatingRateName is used to match an Ibor index, then a tenor is needed to return an index. The tenor can optionally be supplied. If needed and missing, the result of FloatingRateName.getDefaultTenor() will be used.
        Parameters:
        indexStr - the index string to parse
        defaultIborTenor - the tenor to use for Ibor if matched as a FloatingRateName, may be null
        Returns:
        the floating rate
        Throws:
        java.lang.IllegalArgumentException - if the name is not known
      • tryParse

        static java.util.Optional<FloatingRateIndex> tryParse​(java.lang.String indexStr,
                                                              Tenor defaultIborTenor)
        Parses a string, handling different types of index, optionally specifying a tenor for Ibor.

        This tries a number of ways to parse the input:

        If FloatingRateName is used to match an Ibor index, then a tenor is needed to return an index. The tenor can optionally be supplied. If needed and missing, the result of FloatingRateName.getDefaultTenor() will be used.
        Parameters:
        indexStr - the index string to parse
        defaultIborTenor - the tenor to use for Ibor if matched as a FloatingRateName, may be null
        Returns:
        the floating rate index, empty if not found
      • getCurrency

        Currency getCurrency()
        Gets the currency of the index.
        Returns:
        the currency of the index
      • isActive

        boolean isActive()
        Gets whether the index is active.

        Over time some indices become inactive and are no longer produced. If this occurs, this method will return false.

        Returns:
        true if the index is active, false if inactive
      • getDayCount

        DayCount getDayCount()
        Gets the day count convention of the index.
        Returns:
        the day count convention
      • getFloatingRateName

        FloatingRateName getFloatingRateName()
        Gets the floating rate name for this index.

        For an Ibor index, the FloatingRateName does not include the tenor. It can be used to find the other tenors available for this index.

        Returns:
        the floating rate name
      • getDefaultFixedLegDayCount

        default DayCount getDefaultFixedLegDayCount()
        Gets 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.

        Returns:
        the day count convention