Class SimpleIborIndexRates

    • 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
      • 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
      • 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
      • 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
      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class Object