Class OvernightCompoundedRateComputation.Builder

    • Method Detail

      • index

        public OvernightCompoundedRateComputation.Builder index​(OvernightIndex index)
        Sets 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'.

        Parameters:
        index - the new value, not null
        Returns:
        this, for chaining, not null
      • startDate

        public OvernightCompoundedRateComputation.Builder startDate​(java.time.LocalDate startDate)
        Sets 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.

        Parameters:
        startDate - the new value, not null
        Returns:
        this, for chaining, not null
      • endDate

        public OvernightCompoundedRateComputation.Builder endDate​(java.time.LocalDate endDate)
        Sets 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.

        Parameters:
        endDate - the new value, not null
        Returns:
        this, for chaining, not null
      • rateCutOffDays

        public OvernightCompoundedRateComputation.Builder rateCutOffDays​(int rateCutOffDays)
        Sets 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.

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