Class OvernightRateCalculation

  • All Implemented Interfaces:
    RateCalculation, java.io.Serializable, Bean, ImmutableBean

    public final class OvernightRateCalculation
    extends java.lang.Object
    implements RateCalculation, ImmutableBean, java.io.Serializable
    Defines the calculation of a floating rate swap leg based on an Overnight index.

    This defines the data necessary to calculate the amount payable on the leg. The amount is based on the observed value of an Overnight index such as 'GBP-SONIA' or 'USD-FED-FUND'.

    The index is observed for each business day and averaged or compounded to produce a rate. The reset periods correspond to each business day and are inferred from the accrual period dates.

    See Also:
    Serialized Form
    • Method Detail

      • of

        public static OvernightRateCalculation of​(OvernightIndex index)
        Obtains a rate calculation for the specified index with accrual by compounding.

        The calculation will use the day count of the index. All optional fields will be set to their default values. Thus, there will be no spread, gearing or rate cut-off. If this method provides insufficient control, use the builder.

        Parameters:
        index - the index
        Returns:
        the calculation
      • getType

        public SwapLegType getType()
        Description copied from interface: RateCalculation
        Gets the type of the leg, such as Fixed or Ibor.

        This provides a high level categorization of the swap leg.

        Specified by:
        getType in interface RateCalculation
        Returns:
        the leg type
      • collectCurrencies

        public void collectCurrencies​(com.google.common.collect.ImmutableSet.Builder<Currency> builder)
        Description copied from interface: RateCalculation
        Collects all the currencies referred to by this calculation.

        This collects the complete set of currencies for the calculation, not just the payment currencies.

        Specified by:
        collectCurrencies in interface RateCalculation
        Parameters:
        builder - the builder to populate
      • collectIndices

        public void collectIndices​(com.google.common.collect.ImmutableSet.Builder<Index> builder)
        Description copied from interface: RateCalculation
        Collects all the indices referred to by this calculation.

        A calculation will typically refer to at least one index, such as 'GBP-LIBOR-3M'. Each index that is referred to must be added to the specified builder.

        Specified by:
        collectIndices in interface RateCalculation
        Parameters:
        builder - the builder to use
      • createAccrualPeriods

        public com.google.common.collect.ImmutableList<RateAccrualPeriod> createAccrualPeriods​(Schedule accrualSchedule,
                                                                                               Schedule paymentSchedule,
                                                                                               ReferenceData refData)
        Description copied from interface: RateCalculation
        Creates accrual periods based on the specified schedule.

        The specified accrual schedule defines the period dates to be created. One instance of RateAccrualPeriod must be created for each period in the schedule.

        Specified by:
        createAccrualPeriods in interface RateCalculation
        Parameters:
        accrualSchedule - the accrual schedule
        paymentSchedule - the payment schedule
        refData - the reference data to use when resolving
        Returns:
        the accrual periods
      • getDayCount

        public DayCount getDayCount()
        Gets the day count convention.

        This is used to convert dates to a numerical value.

        When building, this will default to the day count of the index if not specified.

        Specified by:
        getDayCount in interface RateCalculation
        Returns:
        the value of the property, not null
      • 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'.

        Returns:
        the value of the property, not null
      • getAccrualMethod

        public OvernightAccrualMethod getAccrualMethod()
        Gets the method of accruing overnight interest, defaulted to 'Compounded'.

        Two methods of accrual are supported - compounding and averaging. Averaging is primarily related to the 'USD-FED-FUND' index.

        Returns:
        the value of the property, not null
      • getNegativeRateMethod

        public NegativeRateMethod getNegativeRateMethod()
        Gets the negative rate method, defaulted to 'AllowNegative'.

        This is used when the interest rate, observed or calculated, goes negative. It does not apply if the rate is fixed, such as in a stub or using firstRegularRate.

        Defined by the 2006 ISDA definitions article 6.4.

        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, defaulted to zero.

        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 will only apply to the last accrual period in the payment period.

        Returns:
        the value of the property
      • getGearing

        public java.util.Optional<ValueSchedule> getGearing()
        Gets the gearing multiplier, optional.

        This defines the gearing as an initial value and a list of adjustments. The gearing is only permitted to change at accrual period boundaries.

        When calculating the rate, the fixing rate is multiplied by the gearing. A gearing of 1 has no effect. If both gearing and spread exist, then the gearing is applied first.

        If this property is not present, then no gearing applies.

        Gearing is also known as leverage.

        Returns:
        the optional value of the property, not null
      • getSpread

        public java.util.Optional<ValueSchedule> getSpread()
        Gets the spread rate, optional. A 5% rate will be expressed as 0.05.

        This defines the spread as an initial value and a list of adjustments. The spread is only permitted to change at accrual period boundaries. Spread is a per annum rate.

        When calculating the rate, the spread is added to the fixing rate. A spread of 0 has no effect. If both gearing and spread exist, then the gearing is applied first.

        If this property is not present, then no spread applies.

        Defined by the 2006 ISDA definitions article 6.2e.

        Returns:
        the optional value of the property, not null
      • equals

        public boolean equals​(java.lang.Object obj)
        Overrides:
        equals in class java.lang.Object
      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class java.lang.Object
      • toString

        public java.lang.String toString()
        Overrides:
        toString in class java.lang.Object