com.opengamma.strata.pricer.rate

Class DiscountIborIndexRates

java.lang.Object

com.opengamma.strata.pricer.rate.DiscountIborIndexRates

All Implemented Interfaces:

MarketDataView, ParameterizedData, IborIndexRates, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class DiscountIborIndexRates
extends Object
implements IborIndexRates, org.joda.beans.ImmutableBean, Serializable

An Ibor index curve providing rates from discount factors.

This provides historic and forward rates for a single IborIndex, such as 'GBP-LIBOR-3M'.

This implementation is based on an underlying curve that is stored with maturities and zero-coupon continuously-compounded rates.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	DiscountIborIndexRates.Meta The meta-bean for DiscountIborIndexRates.

Method Summary

Modifier and Type	Method and Description
CurrencyParameterSensitivities	createParameterSensitivity(Currency currency, DoubleArray sensitivities) Creates the parameter sensitivity when the sensitivity values are known.
boolean	equals(Object obj)
<T> Optional<T>	findData(MarketDataName<T> name)
OptionalInt	findParameterIndex(ParameterMetadata metadata)
DiscountFactors	getDiscountFactors() Gets the underlying discount factor curve.
LocalDateDoubleTimeSeries	getFixings() Gets the time-series of fixings, defaulted to an empty time-series.
IborIndex	getIndex() Gets the index that the rates are for.
double	getParameter(int parameterIndex)
int	getParameterCount()
ParameterMetadata	getParameterMetadata(int parameterIndex)
LocalDate	getValuationDate()
int	hashCode()
static DiscountIborIndexRates.Meta	meta() The meta-bean for DiscountIborIndexRates.
DiscountIborIndexRates.Meta	metaBean()
static DiscountIborIndexRates	of(IborIndex index, DiscountFactors discountFactors) Obtains an instance based on discount factors with no historic fixings.
static DiscountIborIndexRates	of(IborIndex index, DiscountFactors discountFactors, LocalDateDoubleTimeSeries fixings) Obtains an instance based on discount factors and historic fixings.
CurrencyParameterSensitivities	parameterSensitivity(IborRateSensitivity pointSensitivity) Calculates the parameter sensitivity from the point sensitivity.
double	rate(IborIndexObservation observation) Gets the historic or forward rate at the specified fixing date.
double	rateIgnoringFixings(IborIndexObservation observation) Ignores the time-series of fixings to get the forward rate at the specified fixing date, used in rare and special cases.
PointSensitivityBuilder	rateIgnoringFixingsPointSensitivity(IborIndexObservation observation) Ignores the time-series of fixings to get the forward rate point sensitivity at the specified fixing date, used in rare and special cases.
PointSensitivityBuilder	ratePointSensitivity(IborIndexObservation observation) Calculates the point sensitivity of the historic or forward rate at the specified fixing date.
String	toString()
DiscountIborIndexRates	withDiscountFactors(DiscountFactors factors) Returns a new instance with different discount factors.
DiscountIborIndexRates	withParameter(int parameterIndex, double newValue)
DiscountIborIndexRates	withPerturbation(ParameterPerturbation perturbation)

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.opengamma.strata.pricer.rate.IborIndexRates

explainRate, of, of

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static DiscountIborIndexRates of(IborIndex index,
                                        DiscountFactors discountFactors)

Obtains an instance based on discount factors with no historic fixings.

The forward curve is specified by an instance of DiscountFactors.

Parameters:

index - the Ibor index

discountFactors - the underlying discount factor forward curve

Returns:

the rates instance

of

public static DiscountIborIndexRates of(IborIndex index,
                                        DiscountFactors discountFactors,
                                        LocalDateDoubleTimeSeries fixings)

Obtains an instance based on discount factors and historic fixings.

The forward curve is specified by an instance of DiscountFactors.

Parameters:

index - the Ibor index

discountFactors - the underlying discount factor forward curve

fixings - the time-series of fixings

Returns:

the rates instance

getValuationDate

public LocalDate getValuationDate()

Specified by:

getValuationDate in interface MarketDataView

findData

public <T> Optional<T> findData(MarketDataName<T> name)

Specified by:

findData in interface MarketDataView

getParameterCount

public int getParameterCount()

Specified by:

getParameterCount in interface ParameterizedData

getParameter

public double getParameter(int parameterIndex)

Specified by:

getParameter in interface ParameterizedData

getParameterMetadata

public ParameterMetadata getParameterMetadata(int parameterIndex)

Specified by:

getParameterMetadata in interface ParameterizedData

findParameterIndex

public OptionalInt findParameterIndex(ParameterMetadata metadata)

Specified by:

findParameterIndex in interface ParameterizedData

withParameter

public DiscountIborIndexRates withParameter(int parameterIndex,
                                            double newValue)

Specified by:

withParameter in interface ParameterizedData

Specified by:

withParameter in interface IborIndexRates

withPerturbation

public DiscountIborIndexRates withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

Specified by:

withPerturbation in interface IborIndexRates

rate

public double rate(IborIndexObservation observation)

Description copied from interface: IborIndexRates

Gets the historic or forward rate at the specified fixing date.

The rate of the Ibor index, such as 'GBP-LIBOR-3M', varies over time. This method obtains the actual or estimated rate for the fixing date.

This retrieves the actual rate if the fixing date is before the valuation date, or the estimated rate if the fixing date is after the valuation date. If the fixing date equals the valuation date, then the best available rate is returned.

Specified by:

rate in interface IborIndexRates

Parameters:

observation - the rate observation, including the fixing date

Returns:

the rate of the index, either historic or forward

rateIgnoringFixings

public double rateIgnoringFixings(IborIndexObservation observation)

Description copied from interface: IborIndexRates

Ignores the time-series of fixings to get the forward rate at the specified fixing date, used in rare and special cases. In most cases callers should use rate(IborIndexObservation).

An instance of IborIndexRates is typically based on a forward curve and a historic time-series. The rate(LocalDate) method uses either the curve or time-series, depending on whether the fixing date is before or after the valuation date. This method only queries the forward curve, totally ignoring the time-series, which is needed for rare and special cases only.

Specified by:

rateIgnoringFixings in interface IborIndexRates

Parameters:

observation - the rate observation, including the fixing date

Returns:

the rate of the index ignoring the time-series of fixings

ratePointSensitivity

public PointSensitivityBuilder ratePointSensitivity(IborIndexObservation observation)

Description copied from interface: IborIndexRates

Calculates the point sensitivity of the historic or forward rate at the specified fixing date.

This returns a sensitivity instance referring to the points that were queried in the market data. If a time-series was used, then there is no sensitivity. The sensitivity refers to the result of rate(IborIndexObservation).

Specified by:

ratePointSensitivity in interface IborIndexRates

Parameters:

observation - the rate observation, including the fixing date

Returns:

the point sensitivity of the rate

rateIgnoringFixingsPointSensitivity

public PointSensitivityBuilder rateIgnoringFixingsPointSensitivity(IborIndexObservation observation)

Description copied from interface: IborIndexRates

Ignores the time-series of fixings to get the forward rate point sensitivity at the specified fixing date, used in rare and special cases. In most cases callers should use ratePointSensitivity(IborIndexObservation).

An instance of IborIndexRates is typically based on a forward curve and a historic time-series. The ratePointSensitivity(LocalDate) method uses either the curve or time-series, depending on whether the fixing date is before or after the valuation date. This method only queries the forward curve, totally ignoring the time-series, which is needed for rare and special cases only.

Specified by:

rateIgnoringFixingsPointSensitivity in interface IborIndexRates

Parameters:

observation - the rate observation, including the fixing date

Returns:

the point sensitivity of the rate ignoring the time-series of fixings

parameterSensitivity

public CurrencyParameterSensitivities parameterSensitivity(IborRateSensitivity pointSensitivity)

Description copied from interface: IborIndexRates

Calculates the parameter sensitivity from the point sensitivity.

This is used to convert a single point sensitivity to parameter sensitivity. The calculation typically involves multiplying the point and unit sensitivities.

Specified by:

parameterSensitivity in interface IborIndexRates

Parameters:

pointSensitivity - the point sensitivity to convert

Returns:

the parameter sensitivity

createParameterSensitivity

public CurrencyParameterSensitivities createParameterSensitivity(Currency currency,
                                                                 DoubleArray sensitivities)

Description copied from interface: IborIndexRates

Creates the parameter sensitivity when the sensitivity values are known.

In most cases, IborIndexRates.parameterSensitivity(IborRateSensitivity) should be used and manipulated. However, it can be useful to create parameter sensitivity from pre-computed sensitivity values.

There will typically be one CurrencyParameterSensitivity for each underlying data structure, such as a curve. For example, if the rates are based on a single forward curve, then there will be one CurrencyParameterSensitivity in the result.

Specified by:

createParameterSensitivity in interface IborIndexRates

Parameters:

currency - the currency

sensitivities - the sensitivity values, which must match the parameter count

Returns:

the parameter sensitivity

withDiscountFactors

public DiscountIborIndexRates withDiscountFactors(DiscountFactors factors)

Returns a new instance with different discount factors.

Parameters:

factors - the new discount factors

Returns:

the new instance

meta

public static DiscountIborIndexRates.Meta meta()

The meta-bean for DiscountIborIndexRates.

Returns:

the meta-bean, not null

metaBean

public DiscountIborIndexRates.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getIndex

public IborIndex getIndex()

Gets the index that the rates are for.

Specified by:

getIndex in interface IborIndexRates

Returns:

the value of the property, not null

getDiscountFactors

public DiscountFactors getDiscountFactors()

Gets the underlying discount factor curve.

Returns:

the value of the property, not null

getFixings

public LocalDateDoubleTimeSeries getFixings()

Gets the time-series of fixings, defaulted to an empty time-series. This includes the known historical fixings and may be empty.

Specified by:

getFixings in interface IborIndexRates

Returns:

the value of the property, 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