Package com.opengamma.strata.basics.index

Interface FloatingRateIndex

All Superinterfaces:

FloatingRate, Index, Named

All Known Subinterfaces:

IborIndex, OvernightIndex, PriceIndex, RateIndex

All Known Implementing Classes:

ImmutableIborIndex, ImmutableOvernightIndex, ImmutablePriceIndex

public interface FloatingRateIndex
extends Index, FloatingRate

An index used to provide floating rates, typically in interest rate swaps.

See IborIndex, OvernightIndex and PriceIndex for more details.

All implementations of this interface must be immutable and thread-safe.

Method Summary

Modifier and Type	Method	Description
Currency	getCurrency()	Gets the currency of the index.
DayCount	getDayCount()	Gets the day count convention of the index.
default DayCount	getDefaultFixedLegDayCount()	Gets the default day count convention for the associated fixed leg.
FloatingRateName	getFloatingRateName()	Gets the floating rate name for this index.
String	getName()	Gets the name that uniquely identifies this index.
boolean	isActive()	Gets whether the index is active.
static FloatingRateIndex	of(String uniqueName)	Obtains an instance from the specified unique name.
static FloatingRateIndex	parse(String indexStr)	Parses a string, handling different types of index.
static FloatingRateIndex	parse(String indexStr, Tenor defaultIborTenor)	Parses a string, handling different types of index, optionally specifying a tenor for Ibor.
static Optional<FloatingRateIndex>	tryParse(String indexStr)	Parses a string, handling different types of index.
static Optional<FloatingRateIndex>	tryParse(String indexStr, Tenor defaultIborTenor)	Parses a string, handling different types of index, optionally specifying a tenor for Ibor.

Method Detail

parse

static FloatingRateIndex parse(String indexStr)

Parses a string, handling different types of index.

This tries a number of ways to parse the input:

• IborIndex.of(String)
• OvernightIndex.of(String)
• PriceIndex.of(String)
• FloatingRateName.of(String)

If FloatingRateName is used to match an Ibor index, then a tenor is needed to return an index. The tenor from FloatingRateName.getDefaultTenor() will be used.

Parameters:

indexStr - the index string to parse

Returns:

the floating rate

Throws:

IllegalArgumentException - if the name is not known

parse

static FloatingRateIndex parse(String indexStr,
                               Tenor defaultIborTenor)

Parses a string, handling different types of index, optionally specifying a tenor for Ibor.

This tries a number of ways to parse the input:

• IborIndex.of(String)
• OvernightIndex.of(String)
• PriceIndex.of(String)
• FloatingRateName.of(String)

If FloatingRateName is used to match an Ibor index, then a tenor is needed to return an index. The tenor can optionally be supplied. If needed and missing, the result of FloatingRateName.getDefaultTenor() will be used.

Parameters:

indexStr - the index string to parse

defaultIborTenor - the tenor to use for Ibor if matched as a FloatingRateName, may be null

Returns:

the floating rate

Throws:

IllegalArgumentException - if the name is not known

tryParse

static Optional<FloatingRateIndex> tryParse(String indexStr)

Parses a string, handling different types of index.

This tries a number of ways to parse the input:

• IborIndex.of(String)
• OvernightIndex.of(String)
• PriceIndex.of(String)
• FloatingRateName.of(String)

If FloatingRateName is used to match an Ibor index, then a tenor is needed to return an index. The tenor from FloatingRateName.getDefaultTenor() will be used.

Parameters:

indexStr - the index string to parse

Returns:

the floating rate index, empty if not found

tryParse

static Optional<FloatingRateIndex> tryParse(String indexStr,
                                            Tenor defaultIborTenor)

Parses a string, handling different types of index, optionally specifying a tenor for Ibor.

This tries a number of ways to parse the input:

• IborIndex.of(String)
• OvernightIndex.of(String)
• PriceIndex.of(String)
• FloatingRateName.of(String)

If FloatingRateName is used to match an Ibor index, then a tenor is needed to return an index. The tenor can optionally be supplied. If needed and missing, the result of FloatingRateName.getDefaultTenor() will be used.

Parameters:

indexStr - the index string to parse

defaultIborTenor - the tenor to use for Ibor if matched as a FloatingRateName, may be null

Returns:

the floating rate index, empty if not found

of

static FloatingRateIndex of(String uniqueName)

Obtains an instance from the specified unique name.

This parses names from IborIndex, OvernightIndex and PriceIndex.

Parameters:

uniqueName - the unique name

Returns:

the index

Throws:

IllegalArgumentException - if the name is not known

getName

String getName()

Gets the name that uniquely identifies this index.

This name is used in serialization and can be parsed using of(String).

Specified by:

getName in interface Index

Specified by:

getName in interface Named

Returns:

the unique name

getCurrency

Currency getCurrency()

Gets the currency of the index.

Specified by:

getCurrency in interface FloatingRate

Returns:

the currency of the index

isActive

boolean isActive()

Gets whether the index is active.

Over time some indices become inactive and are no longer produced. If this occurs, this method will return false.

Returns:

true if the index is active, false if inactive

getDayCount

DayCount getDayCount()

Gets the day count convention of the index.

Returns:

the day count convention

getFloatingRateName

FloatingRateName getFloatingRateName()

Gets the floating rate name for this index.

For an Ibor index, the FloatingRateName does not include the tenor. It can be used to find the other tenors available for this index.

Specified by:

getFloatingRateName in interface FloatingRate

Returns:

the floating rate name

getDefaultFixedLegDayCount

default DayCount getDefaultFixedLegDayCount()

Gets 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.

Returns:

the day count convention