Package com.opengamma.strata.product.rate

Class OvernightAveragedRateComputation

java.lang.Object

com.opengamma.strata.product.rate.OvernightAveragedRateComputation

All Implemented Interfaces:

OvernightRateComputation, RateComputation, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class OvernightAveragedRateComputation
extends Object
implements OvernightRateComputation, org.joda.beans.ImmutableBean, Serializable

Defines the computation of a rate from a single Overnight index that is averaged daily.

An interest rate determined directly from an Overnight index by averaging the value of each day's rate over the period. For example, a rate determined averaging values from 'USD-FED-FUND'.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	OvernightAveragedRateComputation.Builder	The bean-builder for OvernightAveragedRateComputation.
static class	OvernightAveragedRateComputation.Meta	The meta-bean for OvernightAveragedRateComputation.

Method Summary

Modifier and Type	Method	Description
static OvernightAveragedRateComputation.Builder	builder()	Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
LocalDate	getEndDate()	Gets the fixing date associated with the end date of the accrual period.
HolidayCalendar	getFixingCalendar()	Gets the resolved calendar that the index uses.
OvernightIndex	getIndex()	Gets the Overnight index.
int	getRateCutOffDays()	Gets the number of business days before the end of the period that the rate is cut off.
LocalDate	getStartDate()	Gets the fixing date associated with the start date of the accrual period.
int	hashCode()
static OvernightAveragedRateComputation.Meta	meta()	The meta-bean for OvernightAveragedRateComputation.
OvernightAveragedRateComputation.Meta	metaBean()
static OvernightAveragedRateComputation	of(OvernightIndex index, LocalDate startDate, LocalDate endDate, int rateCutOffDays, ReferenceData refData)	Creates an instance from an index, accrual period dates and rate cut-off.
static OvernightAveragedRateComputation	of(OvernightIndex index, LocalDate startDate, LocalDate endDate, ReferenceData refData)	Creates an instance from an index and accrual period dates
OvernightAveragedRateComputation.Builder	toBuilder()	Returns a builder that allows this bean to be mutated.
String	toString()

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Methods inherited from interface com.opengamma.strata.product.rate.OvernightRateComputation

calculateEffectiveFromFixing, calculateFixingFromEffective, calculateMaturityFromEffective, calculateMaturityFromFixing, calculatePublicationFromFixing, collectIndices, observeOn

Method Detail

of

public static OvernightAveragedRateComputation of(OvernightIndex index,
                                                  LocalDate startDate,
                                                  LocalDate endDate,
                                                  ReferenceData refData)

Creates an instance from an index and accrual period dates

The dates represent the accrual period.

No rate cut-off applies.

Parameters:

index - the index

startDate - the first date of the accrual period

endDate - the last date of the accrual period

refData - the reference data to use when resolving holiday calendars

Returns:

the rate computation

of

public static OvernightAveragedRateComputation of(OvernightIndex index,
                                                  LocalDate startDate,
                                                  LocalDate endDate,
                                                  int rateCutOffDays,
                                                  ReferenceData refData)

Creates an instance from an index, accrual period dates and rate cut-off.

Rate cut-off applies if the cut-off is 2 or greater. A value of 0 or 1 should be used if no cut-off applies.

Parameters:

index - the index

startDate - the first date of the accrual period

endDate - the last date of the accrual period

rateCutOffDays - the rate cut-off days offset, not negative or zero

refData - the reference data to use when resolving holiday calendars

Returns:

the rate computation

meta

public static OvernightAveragedRateComputation.Meta meta()

The meta-bean for OvernightAveragedRateComputation.

Returns:

the meta-bean, not null

builder

public static OvernightAveragedRateComputation.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public OvernightAveragedRateComputation.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getIndex

public OvernightIndex getIndex()

Gets 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'.

Specified by:

getIndex in interface OvernightRateComputation

Returns:

the value of the property, not null

getFixingCalendar

public HolidayCalendar getFixingCalendar()

Gets the resolved calendar that the index uses.

Specified by:

getFixingCalendar in interface OvernightRateComputation

Returns:

the value of the property, not null

getStartDate

public LocalDate getStartDate()

Gets 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.

Specified by:

getStartDate in interface OvernightRateComputation

Returns:

the value of the property, not null

getEndDate

public LocalDate getEndDate()

Gets 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.

Specified by:

getEndDate in interface OvernightRateComputation

Returns:

the value of the property, not null

getRateCutOffDays

public int getRateCutOffDays()

Gets 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.

Returns:

the value of the property

toBuilder

public OvernightAveragedRateComputation.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object