Class ImmutableOvernightIndex.Builder

    • Method Detail

      • name

        public ImmutableOvernightIndex.Builder name​(java.lang.String name)
        Sets the index name, such as 'GBP-SONIA'.
        Parameters:
        name - the new value, not null
        Returns:
        this, for chaining, not null
      • currency

        public ImmutableOvernightIndex.Builder currency​(Currency currency)
        Sets the currency of the index.
        Parameters:
        currency - the new value, not null
        Returns:
        this, for chaining, not null
      • active

        public ImmutableOvernightIndex.Builder active​(boolean active)
        Sets 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.

        Parameters:
        active - the new value
        Returns:
        this, for chaining, not null
      • fixingCalendar

        public ImmutableOvernightIndex.Builder fixingCalendar​(HolidayCalendarId fixingCalendar)
        Sets the calendar that the index uses.

        All dates are calculated with reference to the same calendar.

        Parameters:
        fixingCalendar - the new value, not null
        Returns:
        this, for chaining, not null
      • publicationDateOffset

        public ImmutableOvernightIndex.Builder publicationDateOffset​(int publicationDateOffset)
        Sets 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.

        Parameters:
        publicationDateOffset - the new value, not null
        Returns:
        this, for chaining, not null
      • effectiveDateOffset

        public ImmutableOvernightIndex.Builder effectiveDateOffset​(int effectiveDateOffset)
        Sets 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.

        Parameters:
        effectiveDateOffset - the new value, not null
        Returns:
        this, for chaining, not null
      • dayCount

        public ImmutableOvernightIndex.Builder dayCount​(DayCount dayCount)
        Sets the day count convention.
        Parameters:
        dayCount - the new value, not null
        Returns:
        this, for chaining, not null
      • defaultFixedLegDayCount

        public ImmutableOvernightIndex.Builder defaultFixedLegDayCount​(DayCount defaultFixedLegDayCount)
        Sets 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.

        Parameters:
        defaultFixedLegDayCount - the new value, not null
        Returns:
        this, for chaining, not null