Package com.opengamma.strata.product.rate

Class OvernightCompoundedAnnualRateComputation

java.lang.Object

com.opengamma.strata.product.rate.OvernightCompoundedAnnualRateComputation

All Implemented Interfaces:

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

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

Defines the computation of a rate from a single overnight index that follows overnight compounding using an annualized rate.

An interest rate determined directly from an overnight index that follows overnight compounding using an annualized rate. For example, a rate determined by compounding values from 'BRL-CDI'.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
static OvernightCompoundedAnnualRateComputation.Builder	builder()	Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
LocalDate	getEndDate()	Gets the fixing date associated with 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 fixing date associated with the start date of the accrual period.
int	hashCode()
static OvernightCompoundedAnnualRateComputation.Meta	meta()	The meta-bean for OvernightCompoundedAnnualRateComputation.
OvernightCompoundedAnnualRateComputation.Meta	metaBean()
static OvernightCompoundedAnnualRateComputation	of(OvernightIndex index, LocalDate startDate, LocalDate endDate, ReferenceData refData)	Obtains an instance from an index and period dates.
OvernightCompoundedAnnualRateComputation.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 OvernightCompoundedAnnualRateComputation of(OvernightIndex index,
                                                          LocalDate startDate,
                                                          LocalDate endDate,
                                                          ReferenceData refData)

Obtains an instance from an index and period dates.

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 OvernightCompoundedAnnualRateComputation.Meta meta()

The meta-bean for OvernightCompoundedAnnualRateComputation.

Returns:

the meta-bean, not null

builder

public static OvernightCompoundedAnnualRateComputation.Builder builder()

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

Returns:

the builder, not null

metaBean

public OvernightCompoundedAnnualRateComputation.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.

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 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.

Specified by:

getStartDate in interface OvernightRateComputation

Returns:

the value of the property, not null

getEndDate

public LocalDate getEndDate()

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

The overnight rate is observed until 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.

Specified by:

getEndDate in interface OvernightRateComputation

Returns:

the value of the property, not null

toBuilder

public OvernightCompoundedAnnualRateComputation.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