Package com.opengamma.strata.pricer.rate

Interface PriceIndexValues

All Superinterfaces:

MarketDataView, ParameterizedData

All Known Implementing Classes:

HistoricPriceIndexValues, SimplePriceIndexValues

public interface PriceIndexValues
extends MarketDataView, ParameterizedData

Provides access to the values of a price index.

This provides historic and forward values for a single PriceIndex, such as 'US-CPI-U'. This is typically used in inflation products.

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.
PriceIndex	getIndex()	Gets the Price index.
static PriceIndexValues	of(PriceIndex index, LocalDate valuationDate, Curve forwardCurve, LocalDateDoubleTimeSeries fixings)	Obtains an instance from a curve and time-series of fixings.
CurrencyParameterSensitivities	parameterSensitivity(InflationRateSensitivity pointSensitivity)	Calculates the parameter sensitivity from the point sensitivity.
double	value(PriceIndexObservation observation)	Gets the historic or forward rate at the specified fixing month.
PointSensitivityBuilder	valuePointSensitivity(PriceIndexObservation observation)	Calculates the point sensitivity of the historic or forward value at the specified fixing month.
PriceIndexValues	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
PriceIndexValues	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 PriceIndexValues of(PriceIndex index,
                           LocalDate valuationDate,
                           Curve forwardCurve,
                           LocalDateDoubleTimeSeries fixings)

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

The only supported implementation at present is SimplePriceIndexValues. The curve must have x-values of months. The y-values must be price index values. The fixings time-series must not be empty.

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 price index values

getIndex

PriceIndex getIndex()

Gets the Price index.

The index that the rates are for.

Returns:

the Price 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

PriceIndexValues 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

PriceIndexValues 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

value

double value(PriceIndexObservation observation)

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

The rate of the Price index, such as 'US-CPI-U', varies over time. This method obtains the actual or estimated rate for the month.

This retrieves the actual rate if the fixing month is before the valuation month, or the estimated rate if the fixing month is after the valuation month. If the month equals the valuation month, then the best available value is returned.

Parameters:

observation - the rate observation, including the fixing month

Returns:

the value of the index, either historic or forward

Throws:

RuntimeException - if the value cannot be obtained

valuePointSensitivity

PointSensitivityBuilder valuePointSensitivity(PriceIndexObservation observation)

Calculates the point sensitivity of the historic or forward value at the specified fixing month.

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. The sensitivity refers to the result of value(PriceIndexObservation).

Parameters:

observation - the rate observation, including the fixing month

Returns:

the point sensitivity of the value

Throws:

RuntimeException - if the result cannot be calculated

parameterSensitivity

CurrencyParameterSensitivities parameterSensitivity(InflationRateSensitivity 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(InflationRateSensitivity) 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 values 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