Package com.opengamma.strata.product.rate

Class OvernightAveragedRateComputation.Builder

java.lang.Object

org.joda.beans.impl.direct.DirectFieldsBeanBuilder<OvernightAveragedRateComputation>

com.opengamma.strata.product.rate.OvernightAveragedRateComputation.Builder

All Implemented Interfaces:

org.joda.beans.BeanBuilder<OvernightAveragedRateComputation>

Enclosing class:

OvernightAveragedRateComputation

public static final class OvernightAveragedRateComputation.Builder
extends org.joda.beans.impl.direct.DirectFieldsBeanBuilder<OvernightAveragedRateComputation>

The bean-builder for OvernightAveragedRateComputation.

Method Summary

Modifier and Type	Method	Description
OvernightAveragedRateComputation	build()
OvernightAveragedRateComputation.Builder	endDate(LocalDate endDate)	Sets the fixing date associated with the end date of the accrual period.
OvernightAveragedRateComputation.Builder	fixingCalendar(HolidayCalendar fixingCalendar)	Sets the resolved calendar that the index uses.
Object	get(String propertyName)
OvernightAveragedRateComputation.Builder	index(OvernightIndex index)	Sets the Overnight index.
OvernightAveragedRateComputation.Builder	rateCutOffDays(int rateCutOffDays)	Sets the number of business days before the end of the period that the rate is cut off.
OvernightAveragedRateComputation.Builder	set(String propertyName, Object newValue)
OvernightAveragedRateComputation.Builder	set(org.joda.beans.MetaProperty<?> property, Object value)
OvernightAveragedRateComputation.Builder	startDate(LocalDate startDate)	Sets the fixing date associated with the start date of the accrual period.
String	toString()

Methods inherited from class org.joda.beans.impl.direct.DirectFieldsBeanBuilder

get

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Method Detail

get

public Object get(String propertyName)

Specified by:

get in interface org.joda.beans.BeanBuilder<OvernightAveragedRateComputation>

Overrides:

get in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<OvernightAveragedRateComputation>

set

public OvernightAveragedRateComputation.Builder set(String propertyName,
                                                    Object newValue)

set

public OvernightAveragedRateComputation.Builder set(org.joda.beans.MetaProperty<?> property,
                                                    Object value)

Specified by:

set in interface org.joda.beans.BeanBuilder<OvernightAveragedRateComputation>

Overrides:

set in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<OvernightAveragedRateComputation>

build

public OvernightAveragedRateComputation build()

index

public OvernightAveragedRateComputation.Builder index(OvernightIndex index)

Sets 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'.

Parameters:

index - the new value, not null

Returns:

this, for chaining, not null

fixingCalendar

public OvernightAveragedRateComputation.Builder fixingCalendar(HolidayCalendar fixingCalendar)

Sets the resolved calendar that the index uses.

Parameters:

fixingCalendar - the new value, not null

Returns:

this, for chaining, not null

startDate

public OvernightAveragedRateComputation.Builder startDate(LocalDate startDate)

Sets the fixing date associated with the start date of the accrual period.

This is also the first fixing date. The overnight rate is observed from this date onwards.

In general, the fixing dates and accrual dates are the same for an overnight index. However, in the case of a Tomorrow/Next index, the fixing period is one business day before the accrual period.

Parameters:

startDate - the new value, not null

Returns:

this, for chaining, not null

endDate

public OvernightAveragedRateComputation.Builder endDate(LocalDate endDate)

Sets the fixing date associated with the end date of the accrual period.

The overnight rate is accrued until the maturity date associated with this date.

In general, the fixing dates and accrual dates are the same for an overnight index. However, in the case of a Tomorrow/Next index, the fixing period is one business day before the accrual period.

Parameters:

endDate - the new value, not null

Returns:

this, for chaining, not null

rateCutOffDays

public OvernightAveragedRateComputation.Builder rateCutOffDays(int rateCutOffDays)

Sets the number of business days before the end of the period that the rate is cut off.

When a rate cut-off applies, the final daily rate is determined this number of days before the end of the period, with any subsequent days having the same rate.

The amount must be zero or positive. A value of zero or one will have no effect on the standard calculation. The fixing holiday calendar of the index is used to determine business days.

For example, a value of 3 means that the rate observed on (periodEndDate - 3 business days) is also to be used on (periodEndDate - 2 business days) and (periodEndDate - 1 business day).

If there are multiple accrual periods in the payment period, then this should typically only be non-zero in the last accrual period.

Parameters:

rateCutOffDays - the new value

Returns:

this, for chaining, not null

toString

public String toString()

Overrides:

toString in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<OvernightAveragedRateComputation>