Package com.opengamma.strata.product.swap

Class InflationRateCalculation

java.lang.Object

com.opengamma.strata.product.swap.InflationRateCalculation

All Implemented Interfaces:

RateCalculation, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class InflationRateCalculation
extends Object
implements RateCalculation, org.joda.beans.ImmutableBean, Serializable

Defines the calculation of a swap leg of a zero-coupon inflation coupon based on a price index.

This defines the data necessary to calculate the amount payable on the leg. The amount is based on the observed value of a price index.

The index for a given month is given in the yield curve or in the time series. The pay-off for a unit notional is (Index_End / Index_Start - 1).

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
static InflationRateCalculation.Builder	builder()	Returns a builder used to create an instance of the bean.
void	collectCurrencies(ImmutableSet.Builder<Currency> builder)	Collects all the currencies referred to by this calculation.
void	collectIndices(ImmutableSet.Builder<Index> builder)	Collects all the indices referred to by this calculation.
ImmutableList<RateAccrualPeriod>	createAccrualPeriods(Schedule accrualSchedule, Schedule paymentSchedule, ReferenceData refData)	Creates accrual periods based on the specified schedule.
RateComputation	createRateComputation(LocalDate endDate)	Creates a rate observation where the start index value is known.
boolean	equals(Object obj)
DayCount	getDayCount()	Gets the day count convention.
OptionalDouble	getFirstIndexValue()	Gets the initial value of the index, optional.
Optional<ValueSchedule>	getGearing()	Gets the gearing multiplier, optional.
PriceIndex	getIndex()	Gets the index of prices.
PriceIndexCalculationMethod	getIndexCalculationMethod()	Gets reference price index calculation method.
Period	getLag()	Gets the positive period between the price index and the accrual date, typically a number of months.
SwapLegType	getType()	Gets the type of the leg, such as Fixed or Ibor.
int	hashCode()
static InflationRateCalculation.Meta	meta()	The meta-bean for InflationRateCalculation.
InflationRateCalculation.Meta	metaBean()
static InflationRateCalculation	of(PriceIndex index, int monthLag, PriceIndexCalculationMethod indexCalculationMethod)	Obtains a rate calculation for the specified price index.
static InflationRateCalculation	of(PriceIndex index, int monthLag, PriceIndexCalculationMethod indexCalculationMethod, double firstIndexValue)	Obtains a rate calculation for the specified price index with known start index value.
InflationRateCalculation.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

Method Detail

of

public static InflationRateCalculation of(PriceIndex index,
                                          int monthLag,
                                          PriceIndexCalculationMethod indexCalculationMethod)

Obtains a rate calculation for the specified price index.

The calculation will use the specified month lag. All optional fields will be set to their default values. Thus, fixing will be in advance, with no gearing. If this method provides insufficient control, use the builder.

Parameters:

index - the price index

monthLag - the month lag

indexCalculationMethod - the reference price index calculation method

Returns:

the inflation rate calculation

of

public static InflationRateCalculation of(PriceIndex index,
                                          int monthLag,
                                          PriceIndexCalculationMethod indexCalculationMethod,
                                          double firstIndexValue)

Obtains a rate calculation for the specified price index with known start index value.

The calculation will use the specified month lag. The first index value will be set to the specified value All other optional fields will be set to their default values. Thus, fixing will be in advance, with no gearing. If this method provides insufficient control, use the builder.

Parameters:

index - the price index

monthLag - the month lag

indexCalculationMethod - the reference price index calculation method

firstIndexValue - the first index value

Returns:

the inflation rate calculation

getType

public SwapLegType getType()

Description copied from interface: RateCalculation

Gets the type of the leg, such as Fixed or Ibor.

This provides a high level categorization of the swap leg.

Specified by:

getType in interface RateCalculation

Returns:

the leg type

getDayCount

public DayCount getDayCount()

Description copied from interface: RateCalculation

Gets the day count convention.

This is used to convert schedule period dates to a numerical value.

Specified by:

getDayCount in interface RateCalculation

Returns:

the day count convention

collectCurrencies

public void collectCurrencies(ImmutableSet.Builder<Currency> builder)

Description copied from interface: RateCalculation

Collects all the currencies referred to by this calculation.

This collects the complete set of currencies for the calculation, not just the payment currencies.

Specified by:

collectCurrencies in interface RateCalculation

Parameters:

builder - the builder to populate

collectIndices

public void collectIndices(ImmutableSet.Builder<Index> builder)

Description copied from interface: RateCalculation

Collects all the indices referred to by this calculation.

A calculation will typically refer to at least 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 RateCalculation

Parameters:

builder - the builder to use

createAccrualPeriods

public ImmutableList<RateAccrualPeriod> createAccrualPeriods(Schedule accrualSchedule,
                                                             Schedule paymentSchedule,
                                                             ReferenceData refData)

Description copied from interface: RateCalculation

Creates accrual periods based on the specified schedule.

The specified accrual schedule defines the period dates to be created. One instance of RateAccrualPeriod must be created for each period in the schedule.

Specified by:

createAccrualPeriods in interface RateCalculation

Parameters:

accrualSchedule - the accrual schedule

paymentSchedule - the payment schedule

refData - the reference data to use when resolving

Returns:

the accrual periods

createRateComputation

public RateComputation createRateComputation(LocalDate endDate)

Creates a rate observation where the start index value is known.

This is typically used for capital indexed bonds. The rate is calculated between the value of firstIndexValue and the observed value at the end month linked to the specified end date. This method requires that firstIndexValue is present.

Parameters:

endDate - the end date of the period

Returns:

the rate observation

meta

public static InflationRateCalculation.Meta meta()

The meta-bean for InflationRateCalculation.

Returns:

the meta-bean, not null

builder

public static InflationRateCalculation.Builder builder()

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

Returns:

the builder, not null

metaBean

public InflationRateCalculation.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getIndex

public PriceIndex getIndex()

Gets the index of prices.

The pay-off is computed based on this index The most common implementations are provided in PriceIndices.

Returns:

the value of the property, not null

getLag

public Period getLag()

Gets the positive period between the price index and the accrual date, typically a number of months.

A price index is typically published monthly and has a delay before publication. The lag is subtracted from the accrual start and end date to locate the month of the data to be observed.

For example, the September data may be published in October or November. A 3 month lag will cause an accrual date in December to be based on the observed data for September, which should be available by then.

Returns:

the value of the property, not null

getIndexCalculationMethod

public PriceIndexCalculationMethod getIndexCalculationMethod()

Gets reference price index calculation method.

This specifies how the reference index calculation occurs.

Returns:

the value of the property, not null

getFirstIndexValue

public OptionalDouble getFirstIndexValue()

Gets the initial value of the index, optional.

This optional field specifies the initial value of the index. The value is applicable for the first regular accrual period. It is used in place of an observed fixing. Other calculation elements, such as gearing or spread, still apply. After the first accrual period, the rate is observed via the normal fixing process.

The method createRateComputation(LocalDate) allows this field to be used as the base for any end date, as typically seen in capital indexed bonds.

If this property is not present, then the first value is observed via the normal fixing process.

Returns:

the optional value of the property, not null

getGearing

public Optional<ValueSchedule> getGearing()

Gets the gearing multiplier, optional.

This defines the gearing as an initial value and a list of adjustments.

When calculating the index, the gearing acts as a overall factor of pay-off. The pay-off is Gearing_Factor * (Index_End / Index_Start - 1). A gearing of 1 has no effect.

If this property is not present, then no gearing applies.

Gearing is also known as leverage.

Returns:

the optional value of the property, not null

toBuilder

public InflationRateCalculation.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