Class InflationEndInterpolatedRateComputation

  • All Implemented Interfaces:
    RateComputation, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

    public final class InflationEndInterpolatedRateComputation
    extends Object
    implements RateComputation, org.joda.beans.ImmutableBean, Serializable
    Defines the computation of inflation figures from a price index with interpolation where the start index value is known.

    A typical application of this rate computation is payments of a capital indexed bond, where the reference start month is the start month of the bond rather than start month of the payment period.

    A price index is typically published monthly and has a delay before publication. The rate observed by this instance will be based on the specified start index value and two index observations relative to the end month. Linear interpolation based on the number of days of the payment month is used to find the appropriate value.

    See Also:
    Serialized Form
    • Method Detail

      • of

        public static InflationEndInterpolatedRateComputation of​(PriceIndex index,
                                                                 double startIndexValue,
                                                                 YearMonth referenceEndMonth,
                                                                 double weight)
        Creates an instance from an index, start index value and reference end month.

        The second end observations will be one month later than the end month.

        index - the index
        startIndexValue - the start index value
        referenceEndMonth - the reference end month
        weight - the weight
        the inflation rate computation
      • getIndex

        public PriceIndex getIndex()
        Gets the Price index.
        the Price index
      • collectIndices

        public void collectIndices​(ImmutableSet.Builder<Index> builder)
        Description copied from interface: RateComputation
        Collects all the indices referred to by this computation.

        A computation will typically refer to one index, such as 'GBP-LIBOR-3M'. Each index that is referred to must be added to the specified builder.

        Specified by:
        collectIndices in interface RateComputation
        builder - the builder to use
      • getStartIndexValue

        public double getStartIndexValue()
        Gets the start index value.

        The published index value of the start month.

        the value of the property
      • getEndObservation

        public PriceIndexObservation getEndObservation()
        Gets the observation at the end.

        The inflation rate is the ratio between the start index value and the interpolated end observations. The end month is typically three months before the end of the period.

        the value of the property, not null
      • getEndSecondObservation

        public PriceIndexObservation getEndSecondObservation()
        Gets the observation for interpolation at the end.

        The inflation rate is the ratio between the start index value and the interpolated end observations. The month is typically one month after the month of the end observation.

        the value of the property, not null
      • getWeight

        public double getWeight()
        Gets the positive weight used when interpolating.

        Given two price index observations, typically in adjacent months, the weight is used to determine the adjusted index value. The value is given by the formula (weight * price_index_1 + (1 - weight) * price_index_2).

        the value of the property
      • hashCode

        public int hashCode()
        hashCode in class Object