Package com.opengamma.strata.product.rate

Class OvernightAveragedDailyRateComputation

java.lang.Object

com.opengamma.strata.product.rate.OvernightAveragedDailyRateComputation

All Implemented Interfaces:

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

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

Defines the computation of an averaged daily rate for a single Overnight index.

An interest rate determined directly from an Overnight index by averaging the value of each day's rate over the period strictly between the start date and end date.

The start date and end date can be non-business days. The average is taken on calendar days between the start and end dates.

If a day in the period is not a business day on the fixing calendar of the Overnight index, the overnight rate fixed on the previous business day is used.

For example, a rate determined averaging values from 'USD-FED-FUND'.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
static OvernightAveragedDailyRateComputation.Builder	builder()	Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
LocalDate	getEndDate()	Gets the end date of the accrual period.
HolidayCalendar	getFixingCalendar()	Gets the resolved calendar that the index uses.
OvernightIndex	getIndex()	Gets the Overnight index.
LocalDate	getStartDate()	Gets the start date of the accrual period.
int	hashCode()
static OvernightAveragedDailyRateComputation.Meta	meta()	The meta-bean for OvernightAveragedDailyRateComputation.
OvernightAveragedDailyRateComputation.Meta	metaBean()
static OvernightAveragedDailyRateComputation	of(OvernightIndex index, LocalDate startDate, LocalDate endDate, ReferenceData refData)	Creates an instance from an index and accrual period dates
OvernightAveragedDailyRateComputation.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

Methods inherited from interface com.opengamma.strata.product.rate.OvernightRateComputation

calculateEffectiveFromFixing, calculateFixingFromEffective, calculateMaturityFromEffective, calculateMaturityFromFixing, calculatePublicationFromFixing, collectIndices, observeOn

Method Detail

of

public static OvernightAveragedDailyRateComputation of(OvernightIndex index,
                                                       LocalDate startDate,
                                                       LocalDate endDate,
                                                       ReferenceData refData)

Creates an instance from an index and accrual period dates

The dates represent the accrual period.

Parameters:

index - the index

startDate - the first date of the accrual period

endDate - the last date of the accrual period

refData - the reference data to use when resolving holiday calendars

Returns:

the rate computation

meta

public static OvernightAveragedDailyRateComputation.Meta meta()

The meta-bean for OvernightAveragedDailyRateComputation.

Returns:

the meta-bean, not null

builder

public static OvernightAveragedDailyRateComputation.Builder builder()

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

Returns:

the builder, not null

metaBean

public OvernightAveragedDailyRateComputation.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getIndex

public OvernightIndex getIndex()

Gets the Overnight index.

The rate to be paid is based on this index. It will be a well known market index such as 'GBP-SONIA'.

Specified by:

getIndex in interface OvernightRateComputation

Returns:

the value of the property, not null

getFixingCalendar

public HolidayCalendar getFixingCalendar()

Gets the resolved calendar that the index uses.

Specified by:

getFixingCalendar in interface OvernightRateComputation

Returns:

the value of the property, not null

getStartDate

public LocalDate getStartDate()

Gets the start date of the accrual period.

This is not necessarily a valid business day. In this case, the first fixing date is the previous business day of the start date on fixingCalendar.

Specified by:

getStartDate in interface OvernightRateComputation

Returns:

the value of the property, not null

getEndDate

public LocalDate getEndDate()

Gets the end date of the accrual period.

This is not necessarily a valid business day. In this case, the last fixing date is the previous business day of the end date on fixingCalendar.

Specified by:

getEndDate in interface OvernightRateComputation

Returns:

the value of the property, not null

toBuilder

public OvernightAveragedDailyRateComputation.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