com.opengamma.strata.pricer.rate

Class HistoricOvernightIndexRates

java.lang.Object

com.opengamma.strata.pricer.rate.HistoricOvernightIndexRates

All Implemented Interfaces:

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

public final class HistoricOvernightIndexRates
extends Object
implements OvernightIndexRates, org.joda.beans.ImmutableBean, Serializable

Historic Overnight index rates, used for indices that are no longer active.

This allows the time-series to be queried but not the curve.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

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)
LocalDateDoubleTimeSeries	getFixings() Gets the time-series of fixings, defaulted to an empty time-series.
OvernightIndex	getIndex() Gets the index that the rates are for.
double	getParameter(int parameterIndex)
int	getParameterCount()
ParameterMetadata	getParameterMetadata(int parameterIndex)
LocalDate	getValuationDate() Gets the valuation date.
int	hashCode()
static HistoricOvernightIndexRates.Meta	meta() The meta-bean for HistoricOvernightIndexRates.
HistoricOvernightIndexRates.Meta	metaBean()
static HistoricOvernightIndexRates	of(OvernightIndex index, LocalDate valuationDate, LocalDateDoubleTimeSeries fixings) Obtains an instance from a time-series of fixings.
CurrencyParameterSensitivities	parameterSensitivity(OvernightRateSensitivity pointSensitivity) Calculates the parameter sensitivity from the point sensitivity.
double	periodRate(OvernightIndexObservation startDateObservation, LocalDate endDate) Gets the historic or forward rate at the specified fixing period.
PointSensitivityBuilder	periodRatePointSensitivity(OvernightIndexObservation startDateObservation, LocalDate endDate) Calculates the point sensitivity of the historic or forward rate at the specified fixing period.
double	rate(OvernightIndexObservation observation) Gets the historic or forward rate at the specified fixing date.
double	rateIgnoringFixings(OvernightIndexObservation 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(OvernightIndexObservation 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(OvernightIndexObservation observation) Calculates the point sensitivity of the historic or forward rate at the specified fixing date.
String	toString()
HistoricOvernightIndexRates	withParameter(int parameterIndex, double newValue)
HistoricOvernightIndexRates	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.OvernightIndexRates

of, of

Methods inherited from interface com.opengamma.strata.market.param.ParameterizedData

findParameterIndex

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static HistoricOvernightIndexRates of(OvernightIndex index,
                                             LocalDate valuationDate,
                                             LocalDateDoubleTimeSeries fixings)

Obtains an instance from a time-series of fixings.

Parameters:

index - the index

valuationDate - the valuation date for which the curve is valid

fixings - the time-series of fixings

Returns:

the rates view

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

withParameter

public HistoricOvernightIndexRates withParameter(int parameterIndex,
                                                 double newValue)

Specified by:

withParameter in interface ParameterizedData

Specified by:

withParameter in interface OvernightIndexRates

withPerturbation

public HistoricOvernightIndexRates withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

Specified by:

withPerturbation in interface OvernightIndexRates

rate

public double rate(OvernightIndexObservation observation)

Description copied from interface: OvernightIndexRates

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

The rate of the Overnight index, such as 'EUR-EONIA', 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. The reference period for the underlying deposit is computed from the index conventions.

Specified by:

rate in interface OvernightIndexRates

Parameters:

observation - the rate observation, including the fixing date

Returns:

the rate of the index, either historic or forward

rateIgnoringFixings

public double rateIgnoringFixings(OvernightIndexObservation observation)

Description copied from interface: OvernightIndexRates

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(OvernightIndexObservation).

An instance of OvernightIndexRates 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 OvernightIndexRates

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(OvernightIndexObservation observation)

Description copied from interface: OvernightIndexRates

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. Otherwise, the sensitivity has the value 1. The sensitivity refers to the result of OvernightIndexRates.rate(OvernightIndexObservation).

Specified by:

ratePointSensitivity in interface OvernightIndexRates

Parameters:

observation - the rate observation, including the fixing date

Returns:

the point sensitivity of the rate

rateIgnoringFixingsPointSensitivity

public PointSensitivityBuilder rateIgnoringFixingsPointSensitivity(OvernightIndexObservation observation)

Description copied from interface: OvernightIndexRates

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(OvernightIndexObservation).

An instance of OvernightIndexRates 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 OvernightIndexRates

Parameters:

observation - the rate observation, including the fixing date

Returns:

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

periodRate

public double periodRate(OvernightIndexObservation startDateObservation,
                         LocalDate endDate)

Description copied from interface: OvernightIndexRates

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

The start date should be on or after the valuation date. The end date should be after the start date.

This computes the forward rate in the simple simply compounded convention of the index between two given date. This is used mainly to speed-up computation by computing the rate on a longer period instead of each individual overnight rate. When data related to the overnight index rate are stored based on the fixing date and not the start and end date of the period, the call may return an IllegalArgumentException.

Specified by:

periodRate in interface OvernightIndexRates

Parameters:

startDateObservation - the rate observation for the start of the period

endDate - the end or maturity date of the period on which the rate is computed

Returns:

the simply compounded rate associated to the period for the index

periodRatePointSensitivity

public PointSensitivityBuilder periodRatePointSensitivity(OvernightIndexObservation startDateObservation,
                                                          LocalDate endDate)

Description copied from interface: OvernightIndexRates

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

This returns a sensitivity instance referring to the points that were queried in the market data. The sensitivity refers to the result of OvernightIndexRates.periodRate(OvernightIndexObservation, LocalDate).

Specified by:

periodRatePointSensitivity in interface OvernightIndexRates

Parameters:

startDateObservation - the rate observation for the start of the period

endDate - the end or maturity date of the period on which the rate is computed

Returns:

the point sensitivity of the rate

parameterSensitivity

public CurrencyParameterSensitivities parameterSensitivity(OvernightRateSensitivity pointSensitivity)

Description copied from interface: OvernightIndexRates

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 OvernightIndexRates

Parameters:

pointSensitivity - the point sensitivity to convert

Returns:

the parameter sensitivity

createParameterSensitivity

public CurrencyParameterSensitivities createParameterSensitivity(Currency currency,
                                                                 DoubleArray sensitivities)

Description copied from interface: OvernightIndexRates

Creates the parameter sensitivity when the sensitivity values are known.

In most cases, OvernightIndexRates.parameterSensitivity(OvernightRateSensitivity) 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 OvernightIndexRates

Parameters:

currency - the currency

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

Returns:

the parameter sensitivity

meta

public static HistoricOvernightIndexRates.Meta meta()

The meta-bean for HistoricOvernightIndexRates.

Returns:

the meta-bean, not null

metaBean

public HistoricOvernightIndexRates.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getIndex

public OvernightIndex getIndex()

Gets the index that the rates are for.

Specified by:

getIndex in interface OvernightIndexRates

Returns:

the value of the property, not null

getValuationDate

public LocalDate getValuationDate()

Gets the valuation date.

Specified by:

getValuationDate in interface MarketDataView

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 OvernightIndexRates

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