Package com.opengamma.strata.pricer.rate

Class DiscountOvernightIndexRates

java.lang.Object

com.opengamma.strata.pricer.rate.DiscountOvernightIndexRates

All Implemented Interfaces:

MarketDataView, ParameterizedData, OvernightIndexRates, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class DiscountOvernightIndexRates
extends Object
implements OvernightIndexRates, org.joda.beans.ImmutableBean, Serializable

An Overnight index curve providing rates from discount factors.

This provides historic and forward rates for a single OvernightIndex, such as 'EUR-EONIA'.

This implementation is based on an underlying curve that is stored with maturities and zero-coupon continuously-compounded rates.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
CurrencyParameterSensitivities	createParameterSensitivity(Currency currency, DoubleArray sensitivities)	Creates the parameter sensitivity when the sensitivity values are known.
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> name)	Finds the market data with the specified name.
OptionalInt	findParameterIndex(ParameterMetadata metadata)	Finds the parameter index of the specified metadata.
DiscountFactors	getDiscountFactors()	Gets the underlying discount factor curve.
LocalDateDoubleTimeSeries	getFixings()	Gets the time-series of fixings, defaulted to an empty time-series.
OvernightIndex	getIndex()	Gets the index that the rates are for.
double	getParameter(int parameterIndex)	Gets the value of the parameter at the specified index.
int	getParameterCount()	Gets the number of parameters.
ParameterMetadata	getParameterMetadata(int parameterIndex)	Gets the metadata of the parameter at the specified index.
LocalDate	getValuationDate()	Gets the valuation date.
int	hashCode()
static DiscountOvernightIndexRates.Meta	meta()	The meta-bean for DiscountOvernightIndexRates.
DiscountOvernightIndexRates.Meta	metaBean()
static DiscountOvernightIndexRates	of(OvernightIndex index, DiscountFactors discountFactors)	Obtains an instance based on discount factors with no historic fixings.
static DiscountOvernightIndexRates	of(OvernightIndex index, DiscountFactors discountFactors, LocalDateDoubleTimeSeries fixings)	Obtains an instance based on discount factors and historic fixings.
CurrencyParameterSensitivities	parameterSensitivity(OvernightRateSensitivity pointSensitivity)	Calculates the parameter sensitivity from the point sensitivity.
double	periodRate(OvernightIndexObservation startDateObservation, LocalDate endDate)	Gets the historic or forward rate at the specified fixing period.
PointSensitivityBuilder	periodRatePointSensitivity(OvernightIndexObservation startDateObservation, LocalDate endDate)	Calculates the point sensitivity of the historic or forward rate at the specified fixing period.
double	rate(OvernightIndexObservation observation)	Gets the historic or forward rate at the specified fixing date.
double	rateIgnoringFixings(OvernightIndexObservation observation)	Ignores the time-series of fixings to get the forward rate at the specified fixing date, used in rare and special cases.
PointSensitivityBuilder	rateIgnoringFixingsPointSensitivity(OvernightIndexObservation observation)	Ignores the time-series of fixings to get the forward rate point sensitivity at the specified fixing date, used in rare and special cases.
PointSensitivityBuilder	ratePointSensitivity(OvernightIndexObservation observation)	Calculates the point sensitivity of the historic or forward rate at the specified fixing date.
String	toString()
DiscountOvernightIndexRates	withDiscountFactors(DiscountFactors factors)	Returns a new instance with different discount factors.
DiscountOvernightIndexRates	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
DiscountOvernightIndexRates	withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.

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 DiscountOvernightIndexRates of(OvernightIndex index,
                                             DiscountFactors discountFactors)

Obtains an instance based on discount factors with no historic fixings.

The forward curve is specified by an instance of DiscountFactors.

Parameters:

index - the Overnight index

discountFactors - the underlying discount factor forward curve

Returns:

the rates instance

of

public static DiscountOvernightIndexRates of(OvernightIndex index,
                                             DiscountFactors discountFactors,
                                             LocalDateDoubleTimeSeries fixings)

Obtains an instance based on discount factors and historic fixings.

The forward curve is specified by an instance of DiscountFactors.

Parameters:

index - the Overnight index

discountFactors - the underlying discount factor forward curve

fixings - the time-series of fixings

Returns:

the rates instance

getValuationDate

public LocalDate getValuationDate()

Description copied from interface: MarketDataView

Gets the valuation date.

The raw data in this provider is calibrated for this date.

Specified by:

getValuationDate in interface MarketDataView

Returns:

the valuation date

findData

public <T> Optional<T> findData(MarketDataName<T> name)

Description copied from interface: MarketDataView

Finds the market data with the specified name.

This is most commonly used to find an underlying curve or surface by name. If the market data cannot be found, empty is returned.

Specified by:

findData in interface MarketDataView

Type Parameters:

T - the type of the market data value

Parameters:

name - the name to find

Returns:

the market data value, empty if not found

getParameterCount

public int getParameterCount()

Description copied from interface: ParameterizedData

Gets the number of parameters.

This returns the number of parameters, which can be used to create a loop to access the other methods on this interface.

Specified by:

getParameterCount in interface ParameterizedData

Returns:

the number of parameters

getParameter

public double getParameter(int parameterIndex)

Description copied from interface: ParameterizedData

Gets the value of the parameter at the specified index.

Specified by:

getParameter in interface ParameterizedData

Parameters:

parameterIndex - the zero-based index of the parameter to get

Returns:

the value of the parameter

getParameterMetadata

public ParameterMetadata getParameterMetadata(int parameterIndex)

Description copied from interface: ParameterizedData

Gets the metadata of the parameter at the specified index.

If there is no specific parameter metadata, an empty instance will be returned.

Specified by:

getParameterMetadata in interface ParameterizedData

Parameters:

parameterIndex - the zero-based index of the parameter to get

Returns:

the metadata of the parameter

findParameterIndex

public OptionalInt findParameterIndex(ParameterMetadata metadata)

Description copied from interface: ParameterizedData

Finds the parameter index of the specified metadata.

If the parameter metadata is not matched, an empty optional will be returned.

Specified by:

findParameterIndex in interface ParameterizedData

Parameters:

metadata - the parameter metadata to find the index of

Returns:

the index of the parameter

withParameter

public DiscountOvernightIndexRates withParameter(int parameterIndex,
                                                 double newValue)

Description copied from interface: ParameterizedData

Returns a copy of the data with the value at the specified index altered.

This instance is immutable and unaffected by this method call.

Specified by:

withParameter in interface OvernightIndexRates

Specified by:

withParameter in interface ParameterizedData

Parameters:

parameterIndex - the zero-based index of the parameter to get

newValue - the new value for the specified parameter

Returns:

a parameterized data instance based on this with the specified parameter altered

withPerturbation

public DiscountOvernightIndexRates withPerturbation(ParameterPerturbation perturbation)

Description copied from interface: ParameterizedData

Returns a perturbed copy of the data.

The perturbation instance will be invoked once for each parameter in this instance, returning the perturbed value for that parameter. The result of this method is a new instance that is based on those perturbed values.

This instance is immutable and unaffected by this method call.

Specified by:

withPerturbation in interface OvernightIndexRates

Specified by:

withPerturbation in interface ParameterizedData

Parameters:

perturbation - the perturbation to apply

Returns:

a parameterized data instance based on this with the specified perturbation applied

rate

public double rate(OvernightIndexObservation observation)

Description copied from interface: OvernightIndexRates

Gets the historic or forward rate at the specified fixing date.

The rate of the Overnight index, such as 'EUR-EONIA', varies over time. This method obtains the actual or estimated rate for the fixing date.

This retrieves the actual rate if the fixing date is before the valuation date, or the estimated rate if the fixing date is after the valuation date. If the fixing date equals the valuation date, then the best available rate is returned. The reference period for the underlying deposit is computed from the index conventions.

Specified by:

rate in interface OvernightIndexRates

Parameters:

observation - the rate observation, including the fixing date

Returns:

the rate of the index, either historic or forward

rateIgnoringFixings

public double rateIgnoringFixings(OvernightIndexObservation observation)

Description copied from interface: OvernightIndexRates

Ignores the time-series of fixings to get the forward rate at the specified fixing date, used in rare and special cases. In most cases callers should use rate(OvernightIndexObservation).

An instance of OvernightIndexRates is typically based on a forward curve and a historic time-series. The rate(LocalDate) method uses either the curve or time-series, depending on whether the fixing date is before or after the valuation date. This method only queries the forward curve, totally ignoring the time-series, which is needed for rare and special cases only.

Specified by:

rateIgnoringFixings in interface OvernightIndexRates

Parameters:

observation - the rate observation, including the fixing date

Returns:

the rate of the index ignoring the time-series of fixings

ratePointSensitivity

public PointSensitivityBuilder ratePointSensitivity(OvernightIndexObservation observation)

Description copied from interface: OvernightIndexRates

Calculates the point sensitivity of the historic or forward rate at the specified fixing date.

This returns a sensitivity instance referring to the points that were queried in the market data. If a time-series was used, then there is no sensitivity. Otherwise, the sensitivity has the value 1. The sensitivity refers to the result of OvernightIndexRates.rate(OvernightIndexObservation).

Specified by:

ratePointSensitivity in interface OvernightIndexRates

Parameters:

observation - the rate observation, including the fixing date

Returns:

the point sensitivity of the rate

rateIgnoringFixingsPointSensitivity

public PointSensitivityBuilder rateIgnoringFixingsPointSensitivity(OvernightIndexObservation observation)

Description copied from interface: OvernightIndexRates

Ignores the time-series of fixings to get the forward rate point sensitivity at the specified fixing date, used in rare and special cases. In most cases callers should use ratePointSensitivity(OvernightIndexObservation).

An instance of OvernightIndexRates is typically based on a forward curve and a historic time-series. The ratePointSensitivity(LocalDate) method uses either the curve or time-series, depending on whether the fixing date is before or after the valuation date. This method only queries the forward curve, totally ignoring the time-series, which is needed for rare and special cases only.

Specified by:

rateIgnoringFixingsPointSensitivity in interface OvernightIndexRates

Parameters:

observation - the rate observation, including the fixing date

Returns:

the point sensitivity of the rate ignoring the time-series of fixings

periodRate

public double periodRate(OvernightIndexObservation startDateObservation,
                         LocalDate endDate)

Description copied from interface: OvernightIndexRates

Gets the historic or forward rate at the specified fixing period.

The start date should be on or after the valuation date. The end date should be after the start date.

This computes the forward rate in the simple simply compounded convention of the index between two given date. This is used mainly to speed-up computation by computing the rate on a longer period instead of each individual overnight rate. When data related to the overnight index rate are stored based on the fixing date and not the start and end date of the period, the call may return an IllegalArgumentException.

Specified by:

periodRate in interface OvernightIndexRates

Parameters:

startDateObservation - the rate observation for the start of the period

endDate - the end or maturity date of the period on which the rate is computed

Returns:

the simply compounded rate associated to the period for the index

periodRatePointSensitivity

public PointSensitivityBuilder periodRatePointSensitivity(OvernightIndexObservation startDateObservation,
                                                          LocalDate endDate)

Description copied from interface: OvernightIndexRates

Calculates the point sensitivity of the historic or forward rate at the specified fixing period.

This returns a sensitivity instance referring to the points that were queried in the market data. The sensitivity refers to the result of OvernightIndexRates.periodRate(OvernightIndexObservation, LocalDate).

Specified by:

periodRatePointSensitivity in interface OvernightIndexRates

Parameters:

startDateObservation - the rate observation for the start of the period

endDate - the end or maturity date of the period on which the rate is computed

Returns:

the point sensitivity of the rate

parameterSensitivity

public CurrencyParameterSensitivities parameterSensitivity(OvernightRateSensitivity pointSensitivity)

Description copied from interface: OvernightIndexRates

Calculates the parameter sensitivity from the point sensitivity.

This is used to convert a single point sensitivity to parameter sensitivity. The calculation typically involves multiplying the point and unit sensitivities.

Specified by:

parameterSensitivity in interface OvernightIndexRates

Parameters:

pointSensitivity - the point sensitivity to convert

Returns:

the parameter sensitivity

createParameterSensitivity

public CurrencyParameterSensitivities createParameterSensitivity(Currency currency,
                                                                 DoubleArray sensitivities)

Description copied from interface: OvernightIndexRates

Creates the parameter sensitivity when the sensitivity values are known.

In most cases, OvernightIndexRates.parameterSensitivity(OvernightRateSensitivity) should be used and manipulated. However, it can be useful to create parameter sensitivity from pre-computed sensitivity values.

There will typically be one CurrencyParameterSensitivity for each underlying data structure, such as a curve. For example, if the rates are based on a single forward curve, then there will be one CurrencyParameterSensitivity in the result.

Specified by:

createParameterSensitivity in interface OvernightIndexRates

Parameters:

currency - the currency

sensitivities - the sensitivity values, which must match the parameter count

Returns:

the parameter sensitivity

withDiscountFactors

public DiscountOvernightIndexRates withDiscountFactors(DiscountFactors factors)

Returns a new instance with different discount factors.

Parameters:

factors - the new discount factors

Returns:

the new instance

meta

public static DiscountOvernightIndexRates.Meta meta()

The meta-bean for DiscountOvernightIndexRates.

Returns:

the meta-bean, not null

metaBean

public DiscountOvernightIndexRates.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getIndex

public OvernightIndex getIndex()

Gets the index that the rates are for.

Specified by:

getIndex in interface OvernightIndexRates

Returns:

the value of the property, not null

getDiscountFactors

public DiscountFactors getDiscountFactors()

Gets the underlying discount factor curve.

Returns:

the value of the property, not null

getFixings

public LocalDateDoubleTimeSeries getFixings()

Gets the time-series of fixings, defaulted to an empty time-series. This includes the known historical fixings and may be empty.

Specified by:

getFixings in interface OvernightIndexRates

Returns:

the value of the property, 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