Package com.opengamma.strata.pricer.bond

Class RepoCurveZeroRateSensitivity

java.lang.Object

com.opengamma.strata.pricer.bond.RepoCurveZeroRateSensitivity

All Implemented Interfaces:

FxConvertible<PointSensitivity>, PointSensitivity, PointSensitivityBuilder, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class RepoCurveZeroRateSensitivity
extends Object
implements PointSensitivity, PointSensitivityBuilder, org.joda.beans.ImmutableBean, Serializable

Point sensitivity to the repo curve.

Holds the sensitivity to the repo curve at a specific date.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
MutablePointSensitivities	buildInto(MutablePointSensitivities combination)	Builds the point sensitivity, adding to the specified mutable instance.
RepoCurveZeroRateSensitivity	cloned()	Clones the point sensitivity builder.
int	compareKey(PointSensitivity other)	Compares the key of two sensitivities, excluding the point sensitivity value.
RepoCurveZeroRateSensitivity	convertedTo(Currency resultCurrency, FxRateProvider rateProvider)	Converts this instance to an equivalent amount in the specified currency.
ZeroRateSensitivity	createZeroRateSensitivity()	Obtains the underlying ZeroRateSensitivity.
boolean	equals(Object obj)
Currency	getCurrency()	Gets the currency of the sensitivity.
Currency	getCurveCurrency()	Gets the currency of the curve for which the sensitivity is computed.
RepoGroup	getRepoGroup()	Gets the repo group.
double	getSensitivity()	Gets the value of the sensitivity.
double	getYearFraction()	Gets the time that was queried, expressed as a year fraction.
int	hashCode()
RepoCurveZeroRateSensitivity	mapSensitivity(DoubleUnaryOperator operator)	Returns an instance with the specified operation applied to the sensitivities in this builder.
static RepoCurveZeroRateSensitivity.Meta	meta()	The meta-bean for RepoCurveZeroRateSensitivity.
RepoCurveZeroRateSensitivity.Meta	metaBean()
RepoCurveZeroRateSensitivity	multipliedBy(double factor)	Multiplies the sensitivities in this builder by the specified factor.
RepoCurveZeroRateSensitivity	normalize()	Normalizes the point sensitivities by sorting and merging.
static RepoCurveZeroRateSensitivity	of(Currency curveCurrency, double yearFraction, Currency sensitivityCurrency, RepoGroup repoGroup, double sensitivity)	Obtains an instance from the curve currency, date, sensitivity currency, group and value.
static RepoCurveZeroRateSensitivity	of(Currency currency, double yearFraction, RepoGroup repoGroup, double sensitivity)	Obtains an instance from the curve currency, date, group and value.
static RepoCurveZeroRateSensitivity	of(ZeroRateSensitivity zeroRateSensitivity, RepoGroup repoGroup)	Obtains an instance from zero rate sensitivity and group.
String	toString()
RepoCurveZeroRateSensitivity	withCurrency(Currency currency)	Returns an instance with the specified sensitivity currency set.
RepoCurveZeroRateSensitivity	withSensitivity(double sensitivity)	Returns an instance with the new point sensitivity value.

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

Methods inherited from interface com.opengamma.strata.market.sensitivity.PointSensitivityBuilder

build, combinedWith

Method Detail

of

public static RepoCurveZeroRateSensitivity of(Currency currency,
                                              double yearFraction,
                                              RepoGroup repoGroup,
                                              double sensitivity)

Obtains an instance from the curve currency, date, group and value.

The currency representing the curve is used also for the sensitivity currency.

Parameters:

currency - the currency of the curve and sensitivity

yearFraction - the year fraction that was looked up on the curve

repoGroup - the group

sensitivity - the value of the sensitivity

Returns:

the point sensitivity object

of

public static RepoCurveZeroRateSensitivity of(ZeroRateSensitivity zeroRateSensitivity,
                                              RepoGroup repoGroup)

Obtains an instance from zero rate sensitivity and group.

Parameters:

zeroRateSensitivity - the zero rate sensitivity

repoGroup - the group

Returns:

the point sensitivity object

of

public static RepoCurveZeroRateSensitivity of(Currency curveCurrency,
                                              double yearFraction,
                                              Currency sensitivityCurrency,
                                              RepoGroup repoGroup,
                                              double sensitivity)

Obtains an instance from the curve currency, date, sensitivity currency, group and value.

Parameters:

curveCurrency - the currency of the curve

yearFraction - the year fraction that was looked up on the curve

sensitivityCurrency - the currency of the sensitivity

repoGroup - the group

sensitivity - the value of the sensitivity

Returns:

the point sensitivity object

withCurrency

public RepoCurveZeroRateSensitivity withCurrency(Currency currency)

Description copied from interface: PointSensitivity

Returns an instance with the specified sensitivity currency set.

The result will consists of the same points, but with the sensitivity currency altered.

Specified by:

withCurrency in interface PointSensitivity

Specified by:

withCurrency in interface PointSensitivityBuilder

Parameters:

currency - the new currency

Returns:

an instance based on this sensitivity with the specified currency

withSensitivity

public RepoCurveZeroRateSensitivity withSensitivity(double sensitivity)

Description copied from interface: PointSensitivity

Returns an instance with the new point sensitivity value.

Specified by:

withSensitivity in interface PointSensitivity

Parameters:

sensitivity - the new sensitivity

Returns:

an instance based on this sensitivity with the specified sensitivity

compareKey

public int compareKey(PointSensitivity other)

Description copied from interface: PointSensitivity

Compares the key of two sensitivities, excluding the point sensitivity value.

If the other point sensitivity is of a different type, the comparison is based solely on the simple class name. If the point sensitivity is of the same type, the comparison must check the key, then the currency, then the date, then any other state.

The comparison by simple class name ensures that all instances of the same type are ordered together.

Specified by:

compareKey in interface PointSensitivity

Parameters:

other - the other sensitivity

Returns:

positive if greater, zero if equal, negative if less

convertedTo

public RepoCurveZeroRateSensitivity convertedTo(Currency resultCurrency,
                                                FxRateProvider rateProvider)

Description copied from interface: PointSensitivity

Converts this instance to an equivalent amount in the specified currency.

The result will be expressed in terms of the given currency. Any FX conversion that is required will use rates from the provider.

Specified by:

convertedTo in interface FxConvertible<PointSensitivity>

Specified by:

convertedTo in interface PointSensitivity

Parameters:

resultCurrency - the currency of the result

rateProvider - the provider of FX rates

Returns:

the converted instance, which should be expressed in the specified currency

multipliedBy

public RepoCurveZeroRateSensitivity multipliedBy(double factor)

Description copied from interface: PointSensitivityBuilder

Multiplies the sensitivities in this builder by the specified factor.

The result will consist of the same points, but with each sensitivity multiplied.

Builders may be mutable. Once this method is called, this instance must not be used. Instead, the result of the method must be used.

Specified by:

multipliedBy in interface PointSensitivityBuilder

Parameters:

factor - the multiplicative factor

Returns:

the resulting builder, replacing this builder

mapSensitivity

public RepoCurveZeroRateSensitivity mapSensitivity(DoubleUnaryOperator operator)

Description copied from interface: PointSensitivityBuilder

Returns an instance with the specified operation applied to the sensitivities in this builder.

The result will consist of the same points, but with the operator applied to each sensitivity.

This is used to apply a mathematical operation to the sensitivities. For example, the operator could multiply the sensitivities by a constant, or take the inverse.

   inverse = base.mapSensitivities(value -> 1 / value);
 

Builders may be mutable. Once this method is called, this instance must not be used. Instead, the result of the method must be used.

Specified by:

mapSensitivity in interface PointSensitivityBuilder

Parameters:

operator - the operator to be applied to the sensitivities

Returns:

the resulting builder, replacing this builder

normalize

public RepoCurveZeroRateSensitivity normalize()

Description copied from interface: PointSensitivityBuilder

Normalizes the point sensitivities by sorting and merging.

The sensitivities in the builder are sorted and then merged. Any two entries that represent the same curve query are merged. For example, if there are two point sensitivities that were created based on the same curve, currency and fixing date, then the entries are combined, summing the sensitivity value.

Builders may be mutable. Once this method is called, this instance must not be used. Instead, the result of the method must be used.

Specified by:

normalize in interface PointSensitivityBuilder

Returns:

the resulting builder, replacing this builder

buildInto

public MutablePointSensitivities buildInto(MutablePointSensitivities combination)

Description copied from interface: PointSensitivityBuilder

Builds the point sensitivity, adding to the specified mutable instance.

Specified by:

buildInto in interface PointSensitivityBuilder

Parameters:

combination - the combination object to add to

Returns:

the specified mutable point sensitivities instance is returned, for method chaining

cloned

public RepoCurveZeroRateSensitivity cloned()

Description copied from interface: PointSensitivityBuilder

Clones the point sensitivity builder.

This returns a PointSensitivityBuilder instance that is independent from the original. Immutable implementations may return themselves.

Builders may be mutable. Using this method allows a copy of the original to be obtained, so both the original and the clone can be used.

Specified by:

cloned in interface PointSensitivityBuilder

Returns:

the built combined sensitivity

createZeroRateSensitivity

public ZeroRateSensitivity createZeroRateSensitivity()

Obtains the underlying ZeroRateSensitivity.

This creates the zero rate sensitivity object by omitting the repo group.

Returns:

the point sensitivity object

meta

public static RepoCurveZeroRateSensitivity.Meta meta()

The meta-bean for RepoCurveZeroRateSensitivity.

Returns:

the meta-bean, not null

metaBean

public RepoCurveZeroRateSensitivity.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getCurveCurrency

public Currency getCurveCurrency()

Gets the currency of the curve for which the sensitivity is computed.

Returns:

the value of the property, not null

getYearFraction

public double getYearFraction()

Gets the time that was queried, expressed as a year fraction.

Returns:

the value of the property

getCurrency

public Currency getCurrency()

Gets the currency of the sensitivity.

Specified by:

getCurrency in interface PointSensitivity

Returns:

the value of the property, not null

getRepoGroup

public RepoGroup getRepoGroup()

Gets the repo group.

This defines the group that the discount factors are for.

Returns:

the value of the property, not null

getSensitivity

public double getSensitivity()

Gets the value of the sensitivity.

Specified by:

getSensitivity in interface PointSensitivity

Returns:

the value of the property

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