Package com.opengamma.strata.pricer.rate

Class OvernightRateSensitivity

java.lang.Object

com.opengamma.strata.pricer.rate.OvernightRateSensitivity

All Implemented Interfaces:

FxConvertible<PointSensitivity>, PointSensitivity, PointSensitivityBuilder, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class OvernightRateSensitivity
extends Object
implements PointSensitivity, PointSensitivityBuilder, org.joda.beans.ImmutableBean, Serializable

Point sensitivity to a rate from an Overnight index curve.

Holds the sensitivity to the OvernightIndex curve for a fixing period.

This class handles the common case where the rate for a period is approximated instead of computing the individual rate for each date in the period by storing the end date of the fixing period.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
MutablePointSensitivities	buildInto(MutablePointSensitivities combination)	Builds the point sensitivity, adding to the specified mutable instance.
OvernightRateSensitivity	cloned()	Clones the point sensitivity builder.
int	compareKey(PointSensitivity other)	Compares the key of two sensitivities, excluding the point sensitivity value.
OvernightRateSensitivity	convertedTo(Currency resultCurrency, FxRateProvider rateProvider)	Converts this instance to an equivalent amount in the specified currency.
boolean	equals(Object obj)
Currency	getCurrency()	Gets the currency of the sensitivity.
LocalDate	getEndDate()	Gets the end date of the period.
OvernightIndex	getIndex()	Gets the Overnight index that the sensitivity refers to.
OvernightIndexObservation	getObservation()	Gets the Overnight rate observation.
double	getSensitivity()	Gets the value of the sensitivity.
int	hashCode()
OvernightRateSensitivity	mapSensitivity(DoubleUnaryOperator operator)	Returns an instance with the specified operation applied to the sensitivities in this builder.
static OvernightRateSensitivity.Meta	meta()	The meta-bean for OvernightRateSensitivity.
OvernightRateSensitivity.Meta	metaBean()
OvernightRateSensitivity	multipliedBy(double factor)	Multiplies the sensitivities in this builder by the specified factor.
OvernightRateSensitivity	normalize()	Normalizes the point sensitivities by sorting and merging.
static OvernightRateSensitivity	of(OvernightIndexObservation observation, double sensitivity)	Obtains an instance from the observation and sensitivity value.
static OvernightRateSensitivity	of(OvernightIndexObservation observation, Currency sensitivityCurrency, double sensitivity)	Obtains an instance from the observation and sensitivity value, specifying the currency of the value.
static OvernightRateSensitivity	ofPeriod(OvernightIndexObservation observation, LocalDate endDate, double sensitivity)	Obtains an instance for a period observation of the index from the observation and sensitivity value.
static OvernightRateSensitivity	ofPeriod(OvernightIndexObservation observation, LocalDate endDate, Currency sensitivityCurrency, double sensitivity)	Obtains an instance for a period observation of the index from the observation and sensitivity value, specifying the currency of the value.
String	toString()
OvernightRateSensitivity	withCurrency(Currency currency)	Returns an instance with the specified sensitivity currency set.
OvernightRateSensitivity	withSensitivity(double sensitivity)	Returns an instance with the new point sensitivity value.

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.sensitivity.PointSensitivityBuilder

build, combinedWith

Method Detail

of

public static OvernightRateSensitivity of(OvernightIndexObservation observation,
                                          double sensitivity)

Obtains an instance from the observation and sensitivity value.

The currency is defaulted from the index. The end date will be the maturity date of the observation.

Parameters:

observation - the rate observation, including the fixing date

sensitivity - the value of the sensitivity

Returns:

the point sensitivity object

of

public static OvernightRateSensitivity of(OvernightIndexObservation observation,
                                          Currency sensitivityCurrency,
                                          double sensitivity)

Obtains an instance from the observation and sensitivity value, specifying the currency of the value.

The end date will be the maturity date of the observation.

Parameters:

observation - the rate observation, including the fixing date

sensitivityCurrency - the currency of the sensitivity

sensitivity - the value of the sensitivity

Returns:

the point sensitivity object

ofPeriod

public static OvernightRateSensitivity ofPeriod(OvernightIndexObservation observation,
                                                LocalDate endDate,
                                                double sensitivity)

Obtains an instance for a period observation of the index from the observation and sensitivity value.

The currency is defaulted from the index.

Parameters:

observation - the rate observation, including the fixing date

endDate - the end date of the period

sensitivity - the value of the sensitivity

Returns:

the point sensitivity object

ofPeriod

public static OvernightRateSensitivity ofPeriod(OvernightIndexObservation observation,
                                                LocalDate endDate,
                                                Currency sensitivityCurrency,
                                                double sensitivity)

Obtains an instance for a period observation of the index from the observation and sensitivity value, specifying the currency of the value.

Parameters:

observation - the rate observation, including the fixing date

endDate - the end date of the period

sensitivityCurrency - the currency of the sensitivity

sensitivity - the value of the sensitivity

Returns:

the point sensitivity object

getIndex

public OvernightIndex getIndex()

Gets the Overnight index that the sensitivity refers to.

Returns:

the Overnight index

withCurrency

public OvernightRateSensitivity withCurrency(Currency currency)

Description copied from interface: PointSensitivity

Returns an instance with the specified sensitivity currency set.

The result will consists of the same points, but with the sensitivity currency altered.

Specified by:

withCurrency in interface PointSensitivity

Specified by:

withCurrency in interface PointSensitivityBuilder

Parameters:

currency - the new currency

Returns:

an instance based on this sensitivity with the specified currency

withSensitivity

public OvernightRateSensitivity withSensitivity(double sensitivity)

Description copied from interface: PointSensitivity

Returns an instance with the new point sensitivity value.

Specified by:

withSensitivity in interface PointSensitivity

Parameters:

sensitivity - the new sensitivity

Returns:

an instance based on this sensitivity with the specified sensitivity

compareKey

public int compareKey(PointSensitivity other)

Description copied from interface: PointSensitivity

Compares the key of two sensitivities, excluding the point sensitivity value.

If the other point sensitivity is of a different type, the comparison is based solely on the simple class name. If the point sensitivity is of the same type, the comparison must check the key, then the currency, then the date, then any other state.

The comparison by simple class name ensures that all instances of the same type are ordered together.

Specified by:

compareKey in interface PointSensitivity

Parameters:

other - the other sensitivity

Returns:

positive if greater, zero if equal, negative if less

convertedTo

public OvernightRateSensitivity convertedTo(Currency resultCurrency,
                                            FxRateProvider rateProvider)

Description copied from interface: PointSensitivity

Converts this instance to an equivalent amount in the specified currency.

The result will be expressed in terms of the given currency. Any FX conversion that is required will use rates from the provider.

Specified by:

convertedTo in interface FxConvertible<PointSensitivity>

Specified by:

convertedTo in interface PointSensitivity

Parameters:

resultCurrency - the currency of the result

rateProvider - the provider of FX rates

Returns:

the converted instance, which should be expressed in the specified currency

multipliedBy

public OvernightRateSensitivity multipliedBy(double factor)

Description copied from interface: PointSensitivityBuilder

Multiplies the sensitivities in this builder by the specified factor.

The result will consist of the same points, but with each sensitivity multiplied.

Builders may be mutable. Once this method is called, this instance must not be used. Instead, the result of the method must be used.

Specified by:

multipliedBy in interface PointSensitivityBuilder

Parameters:

factor - the multiplicative factor

Returns:

the resulting builder, replacing this builder

mapSensitivity

public OvernightRateSensitivity mapSensitivity(DoubleUnaryOperator operator)

Description copied from interface: PointSensitivityBuilder

Returns an instance with the specified operation applied to the sensitivities in this builder.

The result will consist of the same points, but with the operator applied to each sensitivity.

This is used to apply a mathematical operation to the sensitivities. For example, the operator could multiply the sensitivities by a constant, or take the inverse.

   inverse = base.mapSensitivities(value -> 1 / value);
 

Builders may be mutable. Once this method is called, this instance must not be used. Instead, the result of the method must be used.

Specified by:

mapSensitivity in interface PointSensitivityBuilder

Parameters:

operator - the operator to be applied to the sensitivities

Returns:

the resulting builder, replacing this builder

normalize

public OvernightRateSensitivity normalize()

Description copied from interface: PointSensitivityBuilder

Normalizes the point sensitivities by sorting and merging.

The sensitivities in the builder are sorted and then merged. Any two entries that represent the same curve query are merged. For example, if there are two point sensitivities that were created based on the same curve, currency and fixing date, then the entries are combined, summing the sensitivity value.

Builders may be mutable. Once this method is called, this instance must not be used. Instead, the result of the method must be used.

Specified by:

normalize in interface PointSensitivityBuilder

Returns:

the resulting builder, replacing this builder

buildInto

public MutablePointSensitivities buildInto(MutablePointSensitivities combination)

Description copied from interface: PointSensitivityBuilder

Builds the point sensitivity, adding to the specified mutable instance.

Specified by:

buildInto in interface PointSensitivityBuilder

Parameters:

combination - the combination object to add to

Returns:

the specified mutable point sensitivities instance is returned, for method chaining

cloned

public OvernightRateSensitivity cloned()

Description copied from interface: PointSensitivityBuilder

Clones the point sensitivity builder.

This returns a PointSensitivityBuilder instance that is independent from the original. Immutable implementations may return themselves.

Builders may be mutable. Using this method allows a copy of the original to be obtained, so both the original and the clone can be used.

Specified by:

cloned in interface PointSensitivityBuilder

Returns:

the built combined sensitivity

meta

public static OvernightRateSensitivity.Meta meta()

The meta-bean for OvernightRateSensitivity.

Returns:

the meta-bean, not null

metaBean

public OvernightRateSensitivity.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getObservation

public OvernightIndexObservation getObservation()

Gets the Overnight rate observation.

This includes the index and fixing date.

Returns:

the value of the property, not null

getEndDate

public LocalDate getEndDate()

Gets the end date of the period. This must be after the fixing date. It may be the maturity date implied by the fixing date, but it may also be later.

Returns:

the value of the property, not null

getCurrency

public Currency getCurrency()

Gets the currency of the sensitivity.

Specified by:

getCurrency in interface PointSensitivity

Returns:

the value of the property, not null

getSensitivity

public double getSensitivity()

Gets the value of the sensitivity.

Specified by:

getSensitivity in interface PointSensitivity

Returns:

the value of the property

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