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

Class ForwardInflationMonthlyRateComputationFn

java.lang.Object

com.opengamma.strata.pricer.impl.rate.ForwardInflationMonthlyRateComputationFn

All Implemented Interfaces:

RateComputationFn<InflationMonthlyRateComputation>

public class ForwardInflationMonthlyRateComputationFn
extends Object
implements RateComputationFn<InflationMonthlyRateComputation>

Rate computation implementation for a price index.

The pay-off for a unit notional is (IndexEnd / IndexStart - 1), where start index value and end index value are simply returned by RatesProvider.

Field Summary

Fields

Modifier and Type	Field	Description
static ForwardInflationMonthlyRateComputationFn	DEFAULT	Default instance.

Constructor Summary

Constructors

Constructor	Description
ForwardInflationMonthlyRateComputationFn()	Creates an instance.

Method Summary

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

Default instance.

Constructor Detail

ForwardInflationMonthlyRateComputationFn

public ForwardInflationMonthlyRateComputationFn()

Creates an instance.

Method Detail

rate

public double rate(InflationMonthlyRateComputation 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<InflationMonthlyRateComputation>

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(InflationMonthlyRateComputation 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<InflationMonthlyRateComputation>

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(InflationMonthlyRateComputation 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<InflationMonthlyRateComputation>

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