Package com.opengamma.strata.basics.index

Class IborIndexObservation

java.lang.Object

com.opengamma.strata.basics.index.IborIndexObservation

All Implemented Interfaces:

IndexObservation, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class IborIndexObservation
extends Object
implements IndexObservation, org.joda.beans.ImmutableBean, Serializable

Defines the observation of a rate of interest from a single Ibor index.

An interest rate determined directly from an Ibor index. For example, a rate determined from 'GBP-LIBOR-3M' on a single fixing date.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	IborIndexObservation.Meta	The meta-bean for IborIndexObservation.

Method Summary

Modifier and Type	Method	Description
boolean	equals(Object obj)
Currency	getCurrency()	Gets the currency of the Ibor index.
LocalDate	getEffectiveDate()	Gets the effective date of the investment implied by the fixing date.
LocalDate	getFixingDate()	Gets the date of the index fixing.
IborIndex	getIndex()	Gets the Ibor index.
LocalDate	getMaturityDate()	Gets the maturity date of the investment implied by the fixing date.
double	getYearFraction()	Gets the year fraction of the investment implied by the fixing date.
int	hashCode()
static IborIndexObservation.Meta	meta()	The meta-bean for IborIndexObservation.
IborIndexObservation.Meta	metaBean()
static IborIndexObservation	of(IborIndex index, LocalDate fixingDate, ReferenceData refData)	Creates an instance from an index and fixing date.
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

Method Detail

of

public static IborIndexObservation of(IborIndex index,
                                      LocalDate fixingDate,
                                      ReferenceData refData)

Creates an instance from an index and fixing date.

The reference data is used to find the maturity date from the fixing date.

Parameters:

index - the index

fixingDate - the fixing date

refData - the reference data to use when resolving holiday calendars

Returns:

the rate observation

getCurrency

public Currency getCurrency()

Gets the currency of the Ibor index.

Returns:

the currency of the index

meta

public static IborIndexObservation.Meta meta()

The meta-bean for IborIndexObservation.

Returns:

the meta-bean, not null

metaBean

public IborIndexObservation.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getIndex

public IborIndex getIndex()

Gets the Ibor index.

The rate to be paid is based on this index. It will be a well known market index such as 'GBP-LIBOR-3M'.

Specified by:

getIndex in interface IndexObservation

Returns:

the value of the property, not null

getFixingDate

public LocalDate getFixingDate()

Gets the date of the index fixing.

This is an adjusted date with any business day rule applied. Valid business days are defined by RateIndex.getFixingCalendar().

Returns:

the value of the property, not null

getEffectiveDate

public LocalDate getEffectiveDate()

Gets the effective date of the investment implied by the fixing date.

This is an adjusted date with any business day rule applied. This must be equal to IborIndex.calculateEffectiveFromFixing(LocalDate, ReferenceData).

Returns:

the value of the property, not null

getMaturityDate

public LocalDate getMaturityDate()

Gets the maturity date of the investment implied by the fixing date.

This is an adjusted date with any business day rule applied. This must be equal to IborIndex.calculateMaturityFromEffective(LocalDate, ReferenceData).

Returns:

the value of the property, not null

getYearFraction

public double getYearFraction()

Gets the year fraction of the investment implied by the fixing date.

This is calculated using the day count of the index. It represents the fraction of the year between the effective date and the maturity date. Typically the value will be close to 1 for one year and close to 0.5 for six months.

Returns:

the value of the property, 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