Package com.opengamma.strata.product.swap

Class OvernightRateCalculation

java.lang.Object

com.opengamma.strata.product.swap.OvernightRateCalculation

All Implemented Interfaces:

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

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

Defines the calculation of a floating rate swap leg based on an Overnight index.

This defines the data necessary to calculate the amount payable on the leg. The amount is based on the observed value of an Overnight index such as 'GBP-SONIA' or 'USD-FED-FUND'.

The index is observed for each business day and averaged or compounded to produce a rate. The reset periods correspond to each business day and are inferred from the accrual period dates.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
static OvernightRateCalculation.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.
boolean	equals(Object obj)
OvernightAccrualMethod	getAccrualMethod()	Gets the method of accruing overnight interest, defaulted to 'Compounded'.
DayCount	getDayCount()	Gets the day count convention.
Optional<ValueSchedule>	getGearing()	Gets the gearing multiplier, optional.
OvernightIndex	getIndex()	Gets the Overnight index.
NegativeRateMethod	getNegativeRateMethod()	Gets the negative rate method, defaulted to 'AllowNegative'.
int	getRateCutOffDays()	Gets the number of business days before the end of the period that the rate is cut off, defaulted to zero.
Optional<ValueSchedule>	getSpread()	Gets the spread rate, optional.
SwapLegType	getType()	Gets the type of the leg, such as Fixed or Ibor.
int	hashCode()
static OvernightRateCalculation.Meta	meta()	The meta-bean for OvernightRateCalculation.
OvernightRateCalculation.Meta	metaBean()
static OvernightRateCalculation	of(OvernightIndex index)	Obtains a rate calculation for the specified index with accrual by compounding.
OvernightRateCalculation.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 OvernightRateCalculation of(OvernightIndex index)

Obtains a rate calculation for the specified index with accrual by compounding.

The calculation will use the day count of the index. All optional fields will be set to their default values. Thus, there will be no spread, gearing or rate cut-off. If this method provides insufficient control, use the builder.

Parameters:

index - the index

Returns:

the 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

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

meta

public static OvernightRateCalculation.Meta meta()

The meta-bean for OvernightRateCalculation.

Returns:

the meta-bean, not null

builder

public static OvernightRateCalculation.Builder builder()

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

Returns:

the builder, not null

metaBean

public OvernightRateCalculation.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getDayCount

public DayCount getDayCount()

Gets the day count convention.

This is used to convert dates to a numerical value.

When building, this will default to the day count of the index if not specified.

Specified by:

getDayCount in interface RateCalculation

Returns:

the value of the property, not null

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'.

Returns:

the value of the property, not null

getAccrualMethod

public OvernightAccrualMethod getAccrualMethod()

Gets the method of accruing overnight interest, defaulted to 'Compounded'.

Two methods of accrual are supported - compounding and averaging. Averaging is primarily related to the 'USD-FED-FUND' index.

Returns:

the value of the property, not null

getNegativeRateMethod

public NegativeRateMethod getNegativeRateMethod()

Gets the negative rate method, defaulted to 'AllowNegative'.

This is used when the interest rate, observed or calculated, goes negative. It does not apply if the rate is fixed, such as in a stub or using firstRegularRate.

Defined by the 2006 ISDA definitions article 6.4.

Returns:

the value of the property, not null

getRateCutOffDays

public int getRateCutOffDays()

Gets the number of business days before the end of the period that the rate is cut off, defaulted to zero.

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 will only apply to the last accrual period in the payment period.

Returns:

the value of the property

getGearing

public Optional<ValueSchedule> getGearing()

Gets the gearing multiplier, optional.

This defines the gearing as an initial value and a list of adjustments. The gearing is only permitted to change at accrual period boundaries.

When calculating the rate, the fixing rate is multiplied by the gearing. A gearing of 1 has no effect. If both gearing and spread exist, then the gearing is applied first.

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

getSpread

public Optional<ValueSchedule> getSpread()

Gets the spread rate, optional. A 5% rate will be expressed as 0.05.

This defines the spread as an initial value and a list of adjustments. The spread is only permitted to change at accrual period boundaries. Spread is a per annum rate.

When calculating the rate, the spread is added to the fixing rate. A spread of 0 has no effect. If both gearing and spread exist, then the gearing is applied first.

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

Defined by the 2006 ISDA definitions article 6.2e.

Returns:

the optional value of the property, not null

toBuilder

public OvernightRateCalculation.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