Package com.opengamma.strata.market.curve

Class DepositIsdaCreditCurveNode

java.lang.Object

com.opengamma.strata.market.curve.DepositIsdaCreditCurveNode

All Implemented Interfaces:

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

public final class DepositIsdaCreditCurveNode
extends Object
implements IsdaCreditCurveNode, org.joda.beans.ImmutableBean, Serializable

An ISDA compliant curve node whose instrument is a term deposit.

A term deposit is a financial instrument that provides a fixed rate of interest on an amount for a specific term. observableId is used to access the market data value of this fixed rate.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
static DepositIsdaCreditCurveNode.Builder	builder()	Returns a builder used to create an instance of the bean.
LocalDate	date(LocalDate tradeDate, ReferenceData refData)	Calculates the date associated with the node.
boolean	equals(Object obj)
BusinessDayAdjustment	getBusinessDayAdjustment()	Gets the business day adjustment to apply to the start and end date.
DayCount	getDayCount()	Gets the day count convention.
String	getLabel()	Gets the label to use for the node, defaulted.
ObservableId	getObservableId()	Gets the identifier of the market data value that provides the rate.
DaysAdjustment	getSpotDateOffset()	Gets the offset of the start date from the trade date.
Tenor	getTenor()	Gets the period between the start date and the end date.
int	hashCode()
static DepositIsdaCreditCurveNode.Meta	meta()	The meta-bean for DepositIsdaCreditCurveNode.
DepositIsdaCreditCurveNode.Meta	metaBean()
TenorDateParameterMetadata	metadata(LocalDate nodeDate)	Returns metadata for the node from the node date.
static DepositIsdaCreditCurveNode	of(ObservableId observableId, DaysAdjustment spotDateOffset, BusinessDayAdjustment businessDayAdjustment, Tenor tenor, DayCount dayCount)	Returns a curve node for a term deposit.
DepositIsdaCreditCurveNode.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 DepositIsdaCreditCurveNode of(ObservableId observableId,
                                            DaysAdjustment spotDateOffset,
                                            BusinessDayAdjustment businessDayAdjustment,
                                            Tenor tenor,
                                            DayCount dayCount)

Returns a curve node for a term deposit.

The label will be created using tenor.

Parameters:

observableId - the observable ID

spotDateOffset - the spot date offset

businessDayAdjustment - the business day adjustment

tenor - the tenor

dayCount - the day count

Returns:

the curve node

date

public LocalDate date(LocalDate tradeDate,
                      ReferenceData refData)

Description copied from interface: IsdaCreditCurveNode

Calculates the date associated with the node.

Each curve node has an associated date which defines the x-value in the curve. This is typically the adjusted end date of the instrument.

Specified by:

date in interface IsdaCreditCurveNode

Parameters:

tradeDate - the trade date

refData - the reference data

Returns:

the node date

metadata

public TenorDateParameterMetadata metadata(LocalDate nodeDate)

Description copied from interface: IsdaCreditCurveNode

Returns metadata for the node from the node date.

The node date must be computed by IsdaCreditCurveNode.date(LocalDate, ReferenceData).

Specified by:

metadata in interface IsdaCreditCurveNode

Parameters:

nodeDate - the node date used when calibrating the curve

Returns:

metadata for the node

meta

public static DepositIsdaCreditCurveNode.Meta meta()

The meta-bean for DepositIsdaCreditCurveNode.

Returns:

the meta-bean, not null

builder

public static DepositIsdaCreditCurveNode.Builder builder()

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

Returns:

the builder, not null

metaBean

public DepositIsdaCreditCurveNode.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getLabel

public String getLabel()

Gets the label to use for the node, defaulted.

When building, this will default based on the tenor if not specified.

Specified by:

getLabel in interface IsdaCreditCurveNode

Returns:

the value of the property, not empty

getObservableId

public ObservableId getObservableId()

Gets the identifier of the market data value that provides the rate.

Specified by:

getObservableId in interface IsdaCreditCurveNode

Returns:

the value of the property, not null

getTenor

public Tenor getTenor()

Gets the period between the start date and the end date.

Returns:

the value of the property, not null

getSpotDateOffset

public DaysAdjustment getSpotDateOffset()

Gets the offset of the start date from the trade date.

The offset is applied to the trade date and is typically plus 2 business days.

Returns:

the value of the property, not null

getBusinessDayAdjustment

public BusinessDayAdjustment getBusinessDayAdjustment()

Gets the business day adjustment to apply to the start and end date.

The start and end date will be adjusted as defined here.

Returns:

the value of the property, not null

getDayCount

public DayCount getDayCount()

Gets the day count convention.

This defines the term year fraction.

Returns:

the value of the property, not null

toBuilder

public DepositIsdaCreditCurveNode.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, 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