com.opengamma.strata.pricer.rate

Class OvernightRateSensitivity

java.lang.Object

com.opengamma.strata.pricer.rate.OvernightRateSensitivity

All Implemented Interfaces:

FxConvertible<PointSensitivity>, PointSensitivity, PointSensitivityBuilder, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class OvernightRateSensitivity
extends Object
implements PointSensitivity, PointSensitivityBuilder, org.joda.beans.ImmutableBean, Serializable

Point sensitivity to a rate from an Overnight index curve.

Holds the sensitivity to the OvernightIndex curve for a fixing period.

This class handles the common case where the rate for a period is approximated instead of computing the individual rate for each date in the period by storing the end date of the fixing period.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
MutablePointSensitivities	buildInto(MutablePointSensitivities combination)
OvernightRateSensitivity	cloned()
int	compareKey(PointSensitivity other)
OvernightRateSensitivity	convertedTo(Currency resultCurrency, FxRateProvider rateProvider)
boolean	equals(Object obj)
Currency	getCurrency() Gets the currency of the sensitivity.
LocalDate	getEndDate() Gets the end date of the period.
OvernightIndex	getIndex() Gets the Overnight index that the sensitivity refers to.
OvernightIndexObservation	getObservation() Gets the Overnight rate observation.
double	getSensitivity() Gets the value of the sensitivity.
int	hashCode()
OvernightRateSensitivity	mapSensitivity(DoubleUnaryOperator operator)
static OvernightRateSensitivity.Meta	meta() The meta-bean for OvernightRateSensitivity.
OvernightRateSensitivity.Meta	metaBean()
OvernightRateSensitivity	multipliedBy(double factor)
OvernightRateSensitivity	normalize()
static OvernightRateSensitivity	of(OvernightIndexObservation observation, Currency sensitivityCurrency, double sensitivity) Obtains an instance from the observation and sensitivity value, specifying the currency of the value.
static OvernightRateSensitivity	of(OvernightIndexObservation observation, double sensitivity) Obtains an instance from the observation and sensitivity value.
static OvernightRateSensitivity	ofPeriod(OvernightIndexObservation observation, LocalDate endDate, Currency sensitivityCurrency, double sensitivity) Obtains an instance for a period observation of the index from the observation and sensitivity value, specifying the currency of the value.
static OvernightRateSensitivity	ofPeriod(OvernightIndexObservation observation, LocalDate endDate, double sensitivity) Obtains an instance for a period observation of the index from the observation and sensitivity value.
String	toString()
OvernightRateSensitivity	withCurrency(Currency currency)
OvernightRateSensitivity	withSensitivity(double sensitivity)

Methods inherited from class java.lang.Object

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

Methods inherited from interface com.opengamma.strata.market.sensitivity.PointSensitivityBuilder

build, combinedWith, none, of, of

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static OvernightRateSensitivity of(OvernightIndexObservation observation,
                                          double sensitivity)

Obtains an instance from the observation and sensitivity value.

The currency is defaulted from the index. The end date will be the maturity date of the observation.

Parameters:

observation - the rate observation, including the fixing date

sensitivity - the value of the sensitivity

Returns:

the point sensitivity object

of

public static OvernightRateSensitivity of(OvernightIndexObservation observation,
                                          Currency sensitivityCurrency,
                                          double sensitivity)

Obtains an instance from the observation and sensitivity value, specifying the currency of the value.

The end date will be the maturity date of the observation.

Parameters:

observation - the rate observation, including the fixing date

sensitivityCurrency - the currency of the sensitivity

sensitivity - the value of the sensitivity

Returns:

the point sensitivity object

ofPeriod

public static OvernightRateSensitivity ofPeriod(OvernightIndexObservation observation,
                                                LocalDate endDate,
                                                double sensitivity)

Obtains an instance for a period observation of the index from the observation and sensitivity value.

The currency is defaulted from the index.

Parameters:

observation - the rate observation, including the fixing date

endDate - the end date of the period

sensitivity - the value of the sensitivity

Returns:

the point sensitivity object

ofPeriod

public static OvernightRateSensitivity ofPeriod(OvernightIndexObservation observation,
                                                LocalDate endDate,
                                                Currency sensitivityCurrency,
                                                double sensitivity)

Obtains an instance for a period observation of the index from the observation and sensitivity value, specifying the currency of the value.

Parameters:

observation - the rate observation, including the fixing date

endDate - the end date of the period

sensitivityCurrency - the currency of the sensitivity

sensitivity - the value of the sensitivity

Returns:

the point sensitivity object

getIndex

public OvernightIndex getIndex()

Gets the Overnight index that the sensitivity refers to.

Returns:

the Overnight index

withCurrency

public OvernightRateSensitivity withCurrency(Currency currency)

Specified by:

withCurrency in interface PointSensitivity

Specified by:

withCurrency in interface PointSensitivityBuilder

withSensitivity

public OvernightRateSensitivity withSensitivity(double sensitivity)

Specified by:

withSensitivity in interface PointSensitivity

compareKey

public int compareKey(PointSensitivity other)

Specified by:

compareKey in interface PointSensitivity

convertedTo

public OvernightRateSensitivity convertedTo(Currency resultCurrency,
                                            FxRateProvider rateProvider)

Specified by:

convertedTo in interface FxConvertible<PointSensitivity>

Specified by:

convertedTo in interface PointSensitivity

multipliedBy

public OvernightRateSensitivity multipliedBy(double factor)

Specified by:

multipliedBy in interface PointSensitivityBuilder

mapSensitivity

public OvernightRateSensitivity mapSensitivity(DoubleUnaryOperator operator)

Specified by:

mapSensitivity in interface PointSensitivityBuilder

normalize

public OvernightRateSensitivity normalize()

Specified by:

normalize in interface PointSensitivityBuilder

buildInto

public MutablePointSensitivities buildInto(MutablePointSensitivities combination)

Specified by:

buildInto in interface PointSensitivityBuilder

cloned

public OvernightRateSensitivity cloned()

Specified by:

cloned in interface PointSensitivityBuilder

meta

public static OvernightRateSensitivity.Meta meta()

The meta-bean for OvernightRateSensitivity.

Returns:

the meta-bean, not null

metaBean

public OvernightRateSensitivity.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getObservation

public OvernightIndexObservation getObservation()

Gets the Overnight rate observation.

This includes the index and fixing date.

Returns:

the value of the property, not null

getEndDate

public LocalDate getEndDate()

Gets the end date of the period. This must be after the fixing date. It may be the maturity date implied by the fixing date, but it may also be later.

Returns:

the value of the property, not null

getCurrency

public Currency getCurrency()

Gets the currency of the sensitivity.

Specified by:

getCurrency in interface PointSensitivity

Returns:

the value of the property, not null

getSensitivity

public double getSensitivity()

Gets the value of the sensitivity.

Specified by:

getSensitivity in interface PointSensitivity

Returns:

the value of the property

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