Package com.opengamma.strata.product.rate

Class IborAveragedFixing

java.lang.Object

com.opengamma.strata.product.rate.IborAveragedFixing

All Implemented Interfaces:

Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

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

A single fixing of an index that is observed by IborAveragedRateComputation.

The interest rate is determined for each reset period, with the weight used to create a weighted average.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	IborAveragedFixing.Builder	The bean-builder for IborAveragedFixing.
static class	IborAveragedFixing.Meta	The meta-bean for IborAveragedFixing.

Method Summary

Modifier and Type	Method	Description
static IborAveragedFixing.Builder	builder()	Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
OptionalDouble	getFixedRate()	Gets the fixed rate for the fixing date, optional.
IborIndexObservation	getObservation()	Gets the Ibor index observation to use to determine a rate for the reset period.
double	getWeight()	Gets the weight to apply to this fixing.
int	hashCode()
static IborAveragedFixing.Meta	meta()	The meta-bean for IborAveragedFixing.
IborAveragedFixing.Meta	metaBean()
static IborAveragedFixing	of(IborIndexObservation observation)	Creates a IborAveragedFixing from the fixing date with a weight of 1.
static IborAveragedFixing	of(IborIndexObservation observation, Double fixedRate)	Creates a IborAveragedFixing from the fixing date with a weight of 1.
static IborAveragedFixing	ofDaysInResetPeriod(IborIndexObservation observation, LocalDate startDate, LocalDate endDate)	Creates a IborAveragedFixing from the fixing date, calculating the weight from the number of days in the reset period.
static IborAveragedFixing	ofDaysInResetPeriod(IborIndexObservation observation, LocalDate startDate, LocalDate endDate, Double fixedRate)	Creates a IborAveragedFixing from the fixing date, calculating the weight from the number of days in the reset period.
IborAveragedFixing.Builder	toBuilder()	Returns a builder that allows this bean to be mutated.
String	toString()

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

Method Detail

of

public static IborAveragedFixing of(IborIndexObservation observation)

Creates a IborAveragedFixing from the fixing date with a weight of 1.

Parameters:

observation - the Ibor observation

Returns:

the unweighted fixing information

of

public static IborAveragedFixing of(IborIndexObservation observation,
                                    Double fixedRate)

Creates a IborAveragedFixing from the fixing date with a weight of 1.

Parameters:

observation - the Ibor observation

fixedRate - the fixed rate for the fixing date, optional, may be null

Returns:

the unweighted fixing information

ofDaysInResetPeriod

public static IborAveragedFixing ofDaysInResetPeriod(IborIndexObservation observation,
                                                     LocalDate startDate,
                                                     LocalDate endDate)

Creates a IborAveragedFixing from the fixing date, calculating the weight from the number of days in the reset period.

This implements the standard approach to average weights, which is to set each weight to the actual number of days between the start and end of the reset period.

Parameters:

observation - the Ibor observation

startDate - the start date of the reset period

endDate - the end date of the reset period

Returns:

the weighted fixing information

ofDaysInResetPeriod

public static IborAveragedFixing ofDaysInResetPeriod(IborIndexObservation observation,
                                                     LocalDate startDate,
                                                     LocalDate endDate,
                                                     Double fixedRate)

Creates a IborAveragedFixing from the fixing date, calculating the weight from the number of days in the reset period.

This implements the standard approach to average weights, which is to set each weight to the actual number of days between the start and end of the reset period.

Parameters:

observation - the Ibor observation

startDate - the start date of the reset period

endDate - the end date of the reset period

fixedRate - the fixed rate for the fixing date, optional, may be null

Returns:

the weighted fixing information

meta

public static IborAveragedFixing.Meta meta()

The meta-bean for IborAveragedFixing.

Returns:

the meta-bean, not null

builder

public static IborAveragedFixing.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public IborAveragedFixing.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getObservation

public IborIndexObservation getObservation()

Gets the Ibor index observation to use to determine a rate for the reset period.

Returns:

the value of the property, not null

getFixedRate

public OptionalDouble getFixedRate()

Gets the fixed rate for the fixing date, optional. A 5% rate will be expressed as 0.05.

In certain circumstances two counterparties agree the rate of a fixing when the contract starts. It is used in place of an observed fixing. Other calculation elements, such as gearing or spread, still apply.

If the value not present, which is the normal case, then the rate is observed via the normal fixing process.

Returns:

the optional value of the property, not null

getWeight

public double getWeight()

Gets the weight to apply to this fixing.

If the averaging is unweighted, then all weights must be one.

Returns:

the value of the property

toBuilder

public IborAveragedFixing.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, 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