Package com.opengamma.strata.pricer.rate

Class SimpleIborIndexRates

java.lang.Object

com.opengamma.strata.pricer.rate.SimpleIborIndexRates

All Implemented Interfaces:

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

public final class SimpleIborIndexRates
extends Object
implements IborIndexRates, org.joda.beans.ImmutableBean, Serializable

An Ibor index curve providing rates directly from a forward rates curve.

This provides historic and forward rates for a single IborIndex, such as 'GBP-LIBOR-3M'.

This implementation is based on an underlying curve that is stored with fixing and direct forward rates.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

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.
Curve	getCurve()	Gets the underlying forward curve.
LocalDateDoubleTimeSeries	getFixings()	Gets the time-series of fixings, defaulted to an empty time-series.
IborIndex	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 SimpleIborIndexRates.Meta	meta()	The meta-bean for SimpleIborIndexRates.
SimpleIborIndexRates.Meta	metaBean()
static SimpleIborIndexRates	of(IborIndex index, LocalDate valuationDate, Curve curve)	Obtains an instance from a curve, with an empty time-series of fixings.
static SimpleIborIndexRates	of(IborIndex index, LocalDate valuationDate, Curve curve, LocalDateDoubleTimeSeries fixings)	Obtains an instance from a curve and time-series of fixing.
CurrencyParameterSensitivities	parameterSensitivity(IborRateSensitivity pointSensitivity)	Calculates the parameter sensitivity from the point sensitivity.
double	rate(IborIndexObservation observation)	Gets the historic or forward rate at the specified fixing date.
double	rateIgnoringFixings(IborIndexObservation 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(IborIndexObservation 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(IborIndexObservation observation)	Calculates the point sensitivity of the historic or forward rate at the specified fixing date.
String	toString()
SimpleIborIndexRates	withCurve(Curve curve)	Returns a new instance with a different curve.
SimpleIborIndexRates	withParameter(int parameterIndex, double newValue)	Returns a copy of the data with the value at the specified index altered.
SimpleIborIndexRates	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.pricer.rate.IborIndexRates

explainRate

Method Detail

of

public static SimpleIborIndexRates of(IborIndex index,
                                      LocalDate valuationDate,
                                      Curve curve)

Obtains an instance from a 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 forward rates. A suitable metadata instance for the curve can be created by Curves.forwardRates(String, DayCount). In the curve the Ibor rates are indexed by the maturity date.

Parameters:

index - the index

valuationDate - the valuation date for which the curve is valid

curve - the curve of forward rates

Returns:

the rates view

of

public static SimpleIborIndexRates of(IborIndex index,
                                      LocalDate valuationDate,
                                      Curve curve,
                                      LocalDateDoubleTimeSeries fixings)

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

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 forward rates. In the curve the Ibor rates are indexed by the maturity date.

Parameters:

index - the index

valuationDate - the valuation date for which the curve is valid

curve - the curve of forward rates

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:

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 SimpleIborIndexRates 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 IborIndexRates

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 SimpleIborIndexRates 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 IborIndexRates

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(IborIndexObservation observation)

Description copied from interface: IborIndexRates

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

The rate of the Ibor index, such as 'GBP-LIBOR-3M', 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.

Specified by:

rate in interface IborIndexRates

Parameters:

observation - the rate observation, including the fixing date

Returns:

the rate of the index, either historic or forward

rateIgnoringFixings

public double rateIgnoringFixings(IborIndexObservation observation)

Description copied from interface: IborIndexRates

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(IborIndexObservation).

An instance of IborIndexRates 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 IborIndexRates

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(IborIndexObservation observation)

Description copied from interface: IborIndexRates

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. The sensitivity refers to the result of rate(IborIndexObservation).

Specified by:

ratePointSensitivity in interface IborIndexRates

Parameters:

observation - the rate observation, including the fixing date

Returns:

the point sensitivity of the rate

rateIgnoringFixingsPointSensitivity

public PointSensitivityBuilder rateIgnoringFixingsPointSensitivity(IborIndexObservation observation)

Description copied from interface: IborIndexRates

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(IborIndexObservation).

An instance of IborIndexRates 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 IborIndexRates

Parameters:

observation - the rate observation, including the fixing date

Returns:

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

parameterSensitivity

public CurrencyParameterSensitivities parameterSensitivity(IborRateSensitivity pointSensitivity)

Description copied from interface: IborIndexRates

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 IborIndexRates

Parameters:

pointSensitivity - the point sensitivity to convert

Returns:

the parameter sensitivity

createParameterSensitivity

public CurrencyParameterSensitivities createParameterSensitivity(Currency currency,
                                                                 DoubleArray sensitivities)

Description copied from interface: IborIndexRates

Creates the parameter sensitivity when the sensitivity values are known.

In most cases, IborIndexRates.parameterSensitivity(IborRateSensitivity) 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 IborIndexRates

Parameters:

currency - the currency

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

Returns:

the parameter sensitivity

withCurve

public SimpleIborIndexRates withCurve(Curve curve)

Returns a new instance with a different curve.

Parameters:

curve - the new curve

Returns:

the new instance

meta

public static SimpleIborIndexRates.Meta meta()

The meta-bean for SimpleIborIndexRates.

Returns:

the meta-bean, not null

metaBean

public SimpleIborIndexRates.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getIndex

public IborIndex getIndex()

Gets the index that the rates are for.

Specified by:

getIndex in interface IborIndexRates

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

getCurve

public Curve getCurve()

Gets the underlying forward 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 IborIndexRates

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