Package com.opengamma.strata.basics.index

Class OvernightIndexObservation

java.lang.Object

com.opengamma.strata.basics.index.OvernightIndexObservation

All Implemented Interfaces:

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

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

Information about a single observation of an Overnight index.

Observing an Overnight index requires knowledge of the index, fixing date, publication date, effective date and maturity date.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
static OvernightIndexObservation.Builder	builder()	Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)	Compares this observation to another based on the index and fixing date.
Currency	getCurrency()	Gets the currency of the Overnight index.
LocalDate	getEffectiveDate()	Gets the effective date of the investment implied by the fixing date.
LocalDate	getFixingDate()	Gets the date of the index fixing.
OvernightIndex	getIndex()	Gets the Overnight index.
LocalDate	getMaturityDate()	Gets the maturity date of the investment implied by the fixing date.
LocalDate	getPublicationDate()	Gets the date that the rate implied by the fixing date is published.
double	getYearFraction()	Gets the year fraction of the investment implied by the fixing date.
int	hashCode()	Returns a hash code based on the index and fixing date.
static OvernightIndexObservation.Meta	meta()	The meta-bean for OvernightIndexObservation.
OvernightIndexObservation.Meta	metaBean()
static OvernightIndexObservation	of(OvernightIndex index, LocalDate fixingDate, ReferenceData refData)	Creates an IborRateObservation from an index and fixing date.
OvernightIndexObservation.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

Method Detail

of

public static OvernightIndexObservation of(OvernightIndex index,
                                           LocalDate fixingDate,
                                           ReferenceData refData)

Creates an IborRateObservation 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 Overnight index.

Returns:

the currency of the index

equals

public boolean equals(Object obj)

Compares this observation to another based on the index and fixing date.

The publication, effective and maturity dates are ignored.

Overrides:

equals in class Object

Parameters:

obj - the other observation

Returns:

true if equal

hashCode

public int hashCode()

Returns a hash code based on the index and fixing date.

The maturity date is ignored.

Overrides:

hashCode in class Object

Returns:

the hash code

toString

public String toString()

Overrides:

toString in class Object

meta

public static OvernightIndexObservation.Meta meta()

The meta-bean for OvernightIndexObservation.

Returns:

the meta-bean, not null

builder

public static OvernightIndexObservation.Builder builder()

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

Returns:

the builder, not null

metaBean

public OvernightIndexObservation.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getIndex

public OvernightIndex getIndex()

Gets the Overnight index.

The rate will be queried from this index.

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

getPublicationDate

public LocalDate getPublicationDate()

Gets the date that the rate implied by the fixing date is published.

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

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 OvernightIndex.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 OvernightIndex.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

toBuilder

public OvernightIndexObservation.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, not null