Package com.opengamma.strata.pricer.rate

Interface OvernightIndexRates

All Superinterfaces:

MarketDataView, ParameterizedData

All Known Implementing Classes:

DiscountOvernightIndexRates, HistoricOvernightIndexRates

public interface OvernightIndexRates
extends MarketDataView, ParameterizedData

Provides access to rates for an Overnight index.

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

Method Summary

Modifier and Type	Method	Description
CurrencyParameterSensitivities	createParameterSensitivity(Currency currency, DoubleArray sensitivities)	Creates the parameter sensitivity when the sensitivity values are known.
LocalDateDoubleTimeSeries	getFixings()	Gets the time-series of fixings for the index.
OvernightIndex	getIndex()	Gets the Overnight index.
static OvernightIndexRates	of(OvernightIndex index, LocalDate valuationDate, Curve forwardCurve)	Obtains an instance from a forward curve, with an empty time-series of fixings.
static OvernightIndexRates	of(OvernightIndex index, LocalDate valuationDate, Curve forwardCurve, LocalDateDoubleTimeSeries fixings)	Obtains an instance from a curve and 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.
OvernightIndexRates	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
OvernightIndexRates	withPerturbation(ParameterPerturbation perturbation)	Returns a perturbed copy of the data.

Methods inherited from interface com.opengamma.strata.market.MarketDataView

findData, getValuationDate

Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData

findParameterIndex, getParameter, getParameterCount, getParameterMetadata

Method Detail

of

static OvernightIndexRates of(OvernightIndex index,
                              LocalDate valuationDate,
                              Curve forwardCurve)

Obtains an instance from a forward curve, with an empty time-series of fixings.

The curve is specified by an instance of Curve, such as InterpolatedNodalCurve. The curve must have x-values of year fractions with the day count specified. The y-values must be zero rates or discount factors.

Parameters:

index - the index

valuationDate - the valuation date for which the curve is valid

forwardCurve - the forward curve

Returns:

the rates view

of

static OvernightIndexRates of(OvernightIndex index,
                              LocalDate valuationDate,
                              Curve forwardCurve,
                              LocalDateDoubleTimeSeries fixings)

Obtains an instance from a curve and time-series of fixings.

The curve is specified by an instance of Curve, such as InterpolatedNodalCurve. The curve must have x-values of year fractions with the day count specified. The y-values must be zero rates or discount factors.

Parameters:

index - the index

valuationDate - the valuation date for which the curve is valid

forwardCurve - the forward curve

fixings - the time-series of fixings

Returns:

the rates view

getIndex

OvernightIndex getIndex()

Gets the Overnight index.

The index that the rates are for.

Returns:

the Overnight index

getFixings

LocalDateDoubleTimeSeries getFixings()

Gets the time-series of fixings for the index.

The time-series contains historic fixings of the index. It may be empty if the data is not available.

Returns:

the time-series fixings

withParameter

OvernightIndexRates 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 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

OvernightIndexRates 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 ParameterizedData

Parameters:

perturbation - the perturbation to apply

Returns:

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

rate

double rate(OvernightIndexObservation observation)

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.

Parameters:

observation - the rate observation, including the fixing date

Returns:

the rate of the index, either historic or forward

Throws:

RuntimeException - if the value cannot be obtained

rateIgnoringFixings

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. 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.

Parameters:

observation - the rate observation, including the fixing date

Returns:

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

ratePointSensitivity

PointSensitivityBuilder ratePointSensitivity(OvernightIndexObservation observation)

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 rate(OvernightIndexObservation).

Parameters:

observation - the rate observation, including the fixing date

Returns:

the point sensitivity of the rate

Throws:

RuntimeException - if the result cannot be calculated

rateIgnoringFixingsPointSensitivity

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. 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.

Parameters:

observation - the rate observation, including the fixing date

Returns:

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

periodRate

double periodRate(OvernightIndexObservation startDateObservation,
                  LocalDate endDate)

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.

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

Throws:

RuntimeException - if the value cannot be obtained

periodRatePointSensitivity

PointSensitivityBuilder periodRatePointSensitivity(OvernightIndexObservation startDateObservation,
                                                   LocalDate endDate)

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 periodRate(OvernightIndexObservation, LocalDate).

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

Throws:

RuntimeException - if the result cannot be calculated

parameterSensitivity

CurrencyParameterSensitivities parameterSensitivity(OvernightRateSensitivity pointSensitivity)

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.

Parameters:

pointSensitivity - the point sensitivity to convert

Returns:

the parameter sensitivity

Throws:

RuntimeException - if the result cannot be calculated

createParameterSensitivity

CurrencyParameterSensitivities createParameterSensitivity(Currency currency,
                                                          DoubleArray sensitivities)

Creates the parameter sensitivity when the sensitivity values are known.

In most cases, 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.

Parameters:

currency - the currency

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

Returns:

the parameter sensitivity

Throws:

RuntimeException - if the result cannot be calculated