## Class HistoricOvernightIndexRates

• All Implemented Interfaces:
MarketDataView, ParameterizedData, OvernightIndexRates, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class HistoricOvernightIndexRates
extends Object
implements OvernightIndexRates, org.joda.beans.ImmutableBean, Serializable
Historic Overnight index rates, used for indices that are no longer active.

This allows the time-series to be queried but not the curve.

Serialized Form
• ### Nested Class Summary

Nested Classes
Modifier and Type Class Description
static class  HistoricOvernightIndexRates.Meta
The meta-bean for HistoricOvernightIndexRates.
• ### Method Summary

All Methods
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.
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 HistoricOvernightIndexRates.Meta meta()
The meta-bean for HistoricOvernightIndexRates.
HistoricOvernightIndexRates.Meta metaBean()
static HistoricOvernightIndexRates of​(OvernightIndex index, LocalDate valuationDate, LocalDateDoubleTimeSeries fixings)
Obtains an instance from a time-series of 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()
HistoricOvernightIndexRates withParameter​(int parameterIndex, double newValue)
Returns a copy of the data with the value at the specified index altered.
HistoricOvernightIndexRates 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
• ### Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData

findParameterIndex
• ### Method Detail

• #### of

public static HistoricOvernightIndexRates of​(OvernightIndex index,
LocalDate valuationDate,
LocalDateDoubleTimeSeries fixings)
Obtains an instance from a time-series of fixings.
Parameters:
index - the index
valuationDate - the valuation date for which the curve is valid
fixings - the time-series of fixings
Returns:
the rates view
• #### 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:
• #### 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

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:
• #### withParameter

public HistoricOvernightIndexRates 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 HistoricOvernightIndexRates 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
• #### meta

public static HistoricOvernightIndexRates.Meta meta()
The meta-bean for HistoricOvernightIndexRates.
Returns:
the meta-bean, not null
• #### metaBean

public HistoricOvernightIndexRates.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
• #### getValuationDate

public LocalDate getValuationDate()
Gets the valuation date.
Specified by:
getValuationDate in interface MarketDataView
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