Package com.opengamma.strata.pricer.impl.rate

Class ApproxForwardOvernightAveragedRateComputationFn

java.lang.Object

com.opengamma.strata.pricer.impl.rate.ApproxForwardOvernightAveragedRateComputationFn

All Implemented Interfaces:

RateComputationFn<OvernightAveragedRateComputation>

public class ApproxForwardOvernightAveragedRateComputationFn
extends Object
implements RateComputationFn<OvernightAveragedRateComputation>

Rate computation implementation for a rate based on a single overnight index that is arithmetically averaged.

The rate already fixed are retrieved from the time series of the RatesProvider. The rate in the future and not in the cut-off period are computed by approximation. The rate in the cut-off period (already fixed or forward) are added.

Reference: Overnight Indexes related products, OpenGamma documentation 29, version 1.1, March 2013.

Field Summary

Fields

Modifier and Type	Field	Description
static ApproxForwardOvernightAveragedRateComputationFn	DEFAULT	Default implementation.

Constructor Summary

Constructors

Constructor	Description
ApproxForwardOvernightAveragedRateComputationFn()	Creates an instance.

Method Summary

Modifier and Type	Method	Description
double	explainRate(OvernightAveragedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider, ExplainMapBuilder builder)	Explains the calculation of the applicable rate.
double	rate(OvernightAveragedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)	Determines the applicable rate for the computation.
PointSensitivityBuilder	rateSensitivity(OvernightAveragedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)	Determines the point sensitivity for the rate computation.

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Field Detail

DEFAULT

public static final ApproxForwardOvernightAveragedRateComputationFn DEFAULT

Default implementation.

Constructor Detail

ApproxForwardOvernightAveragedRateComputationFn

public ApproxForwardOvernightAveragedRateComputationFn()

Creates an instance.

Method Detail

rate

public double rate(OvernightAveragedRateComputation computation,
                   LocalDate startDate,
                   LocalDate endDate,
                   RatesProvider provider)

Description copied from interface: RateComputationFn

Determines the applicable rate for the computation.

Each type of rate has specific rules, encapsulated in RateComputation.

The start date and end date refer to the accrual period. In many cases, this information is not necessary, however it does enable some implementations that would not otherwise be possible.

Specified by:

rate in interface RateComputationFn<OvernightAveragedRateComputation>

Parameters:

computation - the computation definition

startDate - the start date of the accrual period

endDate - the end date of the accrual period

provider - the rates provider

Returns:

the applicable rate

rateSensitivity

public PointSensitivityBuilder rateSensitivity(OvernightAveragedRateComputation computation,
                                               LocalDate startDate,
                                               LocalDate endDate,
                                               RatesProvider provider)

Description copied from interface: RateComputationFn

Determines the point sensitivity for the rate computation.

This returns a sensitivity instance referring to the curves used to determine each forward rate.

Specified by:

rateSensitivity in interface RateComputationFn<OvernightAveragedRateComputation>

Parameters:

computation - the computation definition

startDate - the start date of the accrual period

endDate - the end date of the accrual period

provider - the rates provider

Returns:

the point sensitivity

explainRate

public double explainRate(OvernightAveragedRateComputation computation,
                          LocalDate startDate,
                          LocalDate endDate,
                          RatesProvider provider,
                          ExplainMapBuilder builder)

Description copied from interface: RateComputationFn

Explains the calculation of the applicable rate.

This adds information to the ExplainMapBuilder to aid understanding of the computation. The actual rate is also returned.

Specified by:

explainRate in interface RateComputationFn<OvernightAveragedRateComputation>

Parameters:

computation - the computation definition

startDate - the start date of the accrual period

endDate - the end date of the accrual period

provider - the rates provider

builder - the builder to populate

Returns:

the applicable rate