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

Class ForwardIborAveragedRateComputationFn

java.lang.Object

com.opengamma.strata.pricer.impl.rate.ForwardIborAveragedRateComputationFn

All Implemented Interfaces:

RateComputationFn<IborAveragedRateComputation>

public class ForwardIborAveragedRateComputationFn
extends Object
implements RateComputationFn<IborAveragedRateComputation>

Rate computation implementation for a rate based on the average of multiple fixings of a single Ibor floating rate index.

The rate computation queries the rates from the RatesProvider and weighted-average them. There is no convexity adjustment computed in this implementation.

Field Summary

Fields

Modifier and Type	Field	Description
static ForwardIborAveragedRateComputationFn	DEFAULT	Default instance.

Constructor Summary

Constructors

Constructor	Description
ForwardIborAveragedRateComputationFn()	Creates an instance.

Method Summary

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

Default instance.

Constructor Detail

ForwardIborAveragedRateComputationFn

public ForwardIborAveragedRateComputationFn()

Creates an instance.

Method Detail

rate

public double rate(IborAveragedRateComputation 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<IborAveragedRateComputation>

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(IborAveragedRateComputation 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<IborAveragedRateComputation>

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(IborAveragedRateComputation 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<IborAveragedRateComputation>

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