Package com.opengamma.strata.product.rate

Class InflationEndInterpolatedRateComputation

java.lang.Object

com.opengamma.strata.product.rate.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

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
void	collectIndices(ImmutableSet.Builder<Index> builder)	Collects all the indices referred to by this computation.
boolean	equals(Object obj)
PriceIndexObservation	getEndObservation()	Gets the observation at the end.
PriceIndexObservation	getEndSecondObservation()	Gets the observation for interpolation at the end.
PriceIndex	getIndex()	Gets the Price index.
double	getStartIndexValue()	Gets the start index value.
double	getWeight()	Gets the positive weight used when interpolating.
int	hashCode()
static InflationEndInterpolatedRateComputation.Meta	meta()	The meta-bean for InflationEndInterpolatedRateComputation.
InflationEndInterpolatedRateComputation.Meta	metaBean()
static InflationEndInterpolatedRateComputation	of(PriceIndex index, double startIndexValue, YearMonth referenceEndMonth, double weight)	Creates an instance from an index, start index value and reference end month.
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 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.

Parameters:

index - the index

startIndexValue - the start index value

referenceEndMonth - the reference end month

weight - the weight

Returns:

the inflation rate computation

getIndex

public PriceIndex getIndex()

Gets the Price index.

Returns:

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

Parameters:

builder - the builder to use

meta

public static InflationEndInterpolatedRateComputation.Meta meta()

The meta-bean for InflationEndInterpolatedRateComputation.

Returns:

the meta-bean, not null

metaBean

public InflationEndInterpolatedRateComputation.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getStartIndexValue

public double getStartIndexValue()

Gets the start index value.

The published index value of the start month.

Returns:

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.

Returns:

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.

Returns:

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).

Returns:

the value of the property

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