Interface OvernightIndexRates

    • Method Detail

      • of

        static OvernightIndexRates of​(OvernightIndex index,
                                      java.time.LocalDate valuationDate,
                                      Curve forwardCurve)
        Obtains an instance from a forward curve, with an empty time-series of fixings.

        The curve is specified by an instance of Curve, such as InterpolatedNodalCurve. The curve must have x-values of year fractions with the day count specified. The y-values must be zero rates or discount factors.

        Parameters:
        index - the index
        valuationDate - the valuation date for which the curve is valid
        forwardCurve - the forward curve
        Returns:
        the rates view
      • getIndex

        OvernightIndex getIndex()
        Gets the Overnight index.

        The index that the rates are for.

        Returns:
        the Overnight index
      • getFixings

        LocalDateDoubleTimeSeries getFixings()
        Gets the time-series of fixings for the index.

        The time-series contains historic fixings of the index. It may be empty if the data is not available.

        Returns:
        the time-series fixings
      • withParameter

        OvernightIndexRates withParameter​(int parameterIndex,
                                          double newValue)
        Description copied from interface: ParameterizedData
        Returns a copy of the data with the value at the specified index altered.

        This instance is immutable and unaffected by this method call.

        Specified by:
        withParameter in interface ParameterizedData
        Parameters:
        parameterIndex - the zero-based index of the parameter to get
        newValue - the new value for the specified parameter
        Returns:
        a parameterized data instance based on this with the specified parameter altered
      • withPerturbation

        OvernightIndexRates withPerturbation​(ParameterPerturbation perturbation)
        Description copied from interface: ParameterizedData
        Returns a perturbed copy of the data.

        The perturbation instance will be invoked once for each parameter in this instance, returning the perturbed value for that parameter. The result of this method is a new instance that is based on those perturbed values.

        This instance is immutable and unaffected by this method call.

        Specified by:
        withPerturbation in interface ParameterizedData
        Parameters:
        perturbation - the perturbation to apply
        Returns:
        a parameterized data instance based on this with the specified perturbation applied
      • rate

        double rate​(OvernightIndexObservation observation)
        Gets the historic or forward rate at the specified fixing date.

        The rate of the Overnight index, such as 'EUR-EONIA', varies over time. This method obtains the actual or estimated rate for the fixing date.

        This retrieves the actual rate if the fixing date is before the valuation date, or the estimated rate if the fixing date is after the valuation date. If the fixing date equals the valuation date, then the best available rate is returned. The reference period for the underlying deposit is computed from the index conventions.

        Parameters:
        observation - the rate observation, including the fixing date
        Returns:
        the rate of the index, either historic or forward
        Throws:
        java.lang.RuntimeException - if the value cannot be obtained
      • rateIgnoringFixings

        double rateIgnoringFixings​(OvernightIndexObservation observation)
        Ignores the time-series of fixings to get the forward rate at the specified fixing date, used in rare and special cases. In most cases callers should use rate(OvernightIndexObservation).

        An instance of OvernightIndexRates is typically based on a forward curve and a historic time-series. The rate(LocalDate) method uses either the curve or time-series, depending on whether the fixing date is before or after the valuation date. This method only queries the forward curve, totally ignoring the time-series, which is needed for rare and special cases only.

        Parameters:
        observation - the rate observation, including the fixing date
        Returns:
        the rate of the index ignoring the time-series of fixings
      • ratePointSensitivity

        PointSensitivityBuilder ratePointSensitivity​(OvernightIndexObservation observation)
        Calculates the point sensitivity of the historic or forward rate at the specified fixing date.

        This returns a sensitivity instance referring to the points that were queried in the market data. If a time-series was used, then there is no sensitivity. Otherwise, the sensitivity has the value 1. The sensitivity refers to the result of rate(OvernightIndexObservation).

        Parameters:
        observation - the rate observation, including the fixing date
        Returns:
        the point sensitivity of the rate
        Throws:
        java.lang.RuntimeException - if the result cannot be calculated
      • rateIgnoringFixingsPointSensitivity

        PointSensitivityBuilder rateIgnoringFixingsPointSensitivity​(OvernightIndexObservation observation)
        Ignores the time-series of fixings to get the forward rate point sensitivity at the specified fixing date, used in rare and special cases. In most cases callers should use ratePointSensitivity(OvernightIndexObservation).

        An instance of OvernightIndexRates is typically based on a forward curve and a historic time-series. The ratePointSensitivity(LocalDate) method uses either the curve or time-series, depending on whether the fixing date is before or after the valuation date. This method only queries the forward curve, totally ignoring the time-series, which is needed for rare and special cases only.

        Parameters:
        observation - the rate observation, including the fixing date
        Returns:
        the point sensitivity of the rate ignoring the time-series of fixings
      • periodRate

        double periodRate​(OvernightIndexObservation startDateObservation,
                          java.time.LocalDate endDate)
        Gets the historic or forward rate at the specified fixing period.

        The start date should be on or after the valuation date. The end date should be after the start date.

        This computes the forward rate in the simple simply compounded convention of the index between two given date. This is used mainly to speed-up computation by computing the rate on a longer period instead of each individual overnight rate. When data related to the overnight index rate are stored based on the fixing date and not the start and end date of the period, the call may return an IllegalArgumentException.

        Parameters:
        startDateObservation - the rate observation for the start of the period
        endDate - the end or maturity date of the period on which the rate is computed
        Returns:
        the simply compounded rate associated to the period for the index
        Throws:
        java.lang.RuntimeException - if the value cannot be obtained
      • periodRatePointSensitivity

        PointSensitivityBuilder periodRatePointSensitivity​(OvernightIndexObservation startDateObservation,
                                                           java.time.LocalDate endDate)
        Calculates the point sensitivity of the historic or forward rate at the specified fixing period.

        This returns a sensitivity instance referring to the points that were queried in the market data. The sensitivity refers to the result of periodRate(OvernightIndexObservation, LocalDate).

        Parameters:
        startDateObservation - the rate observation for the start of the period
        endDate - the end or maturity date of the period on which the rate is computed
        Returns:
        the point sensitivity of the rate
        Throws:
        java.lang.RuntimeException - if the result cannot be calculated
      • parameterSensitivity

        CurrencyParameterSensitivities parameterSensitivity​(OvernightRateSensitivity pointSensitivity)
        Calculates the parameter sensitivity from the point sensitivity.

        This is used to convert a single point sensitivity to parameter sensitivity. The calculation typically involves multiplying the point and unit sensitivities.

        Parameters:
        pointSensitivity - the point sensitivity to convert
        Returns:
        the parameter sensitivity
        Throws:
        java.lang.RuntimeException - if the result cannot be calculated
      • createParameterSensitivity

        CurrencyParameterSensitivities createParameterSensitivity​(Currency currency,
                                                                  DoubleArray sensitivities)
        Creates the parameter sensitivity when the sensitivity values are known.

        In most cases, parameterSensitivity(OvernightRateSensitivity) should be used and manipulated. However, it can be useful to create parameter sensitivity from pre-computed sensitivity values.

        There will typically be one CurrencyParameterSensitivity for each underlying data structure, such as a curve. For example, if the rates are based on a single forward curve, then there will be one CurrencyParameterSensitivity in the result.

        Parameters:
        currency - the currency
        sensitivities - the sensitivity values, which must match the parameter count
        Returns:
        the parameter sensitivity
        Throws:
        java.lang.RuntimeException - if the result cannot be calculated