SimpleIborIndexRates (OpenGamma Strata Pricer API)

java.lang.Object
- com.opengamma.strata.pricer.rate.SimpleIborIndexRates

All Implemented Interfaces:

MarketDataView, ParameterizedData, IborIndexRates, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class SimpleIborIndexRates
extends Object
implements IborIndexRates, org.joda.beans.ImmutableBean, Serializable
```
An Ibor index curve providing rates directly from a forward rates curve.
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 fixing and direct forward rates.

See Also:

Serialized Form

Nested Class Summary

Nested Classes
Modifier and Type Class and Description

static class SimpleIborIndexRates.Meta
The meta-bean for SimpleIborIndexRates.

Nested Classes
Modifier and Type	Class and Description
`static class`	`SimpleIborIndexRates.Meta` The meta-bean for `SimpleIborIndexRates`.

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
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)`
`Curve`	`getCurve()` Gets the underlying forward 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()` Gets the valuation date.
`int`	`hashCode()`
`static SimpleIborIndexRates.Meta`	`meta()` The meta-bean for `SimpleIborIndexRates`.
`SimpleIborIndexRates.Meta`	`metaBean()`
`static SimpleIborIndexRates`	`of(IborIndex index, LocalDate valuationDate, Curve curve)` Obtains an instance from a curve, with an empty time-series of fixings.
`static SimpleIborIndexRates`	`of(IborIndex index, LocalDate valuationDate, Curve curve, LocalDateDoubleTimeSeries fixings)` Obtains an instance from a curve and time-series of fixing.
`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()`
`SimpleIborIndexRates`	`withCurve(Curve curve)` Returns a new instance with a different curve.
`SimpleIborIndexRates`	`withParameter(int parameterIndex, double newValue)`
`SimpleIborIndexRates`	`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

Methods inherited from interface org.joda.beans.Bean
property, propertyNames

- Method Detail
  - of
```
public static SimpleIborIndexRates of(IborIndex index,
                                      LocalDate valuationDate,
                                      Curve curve)
```
    Obtains an instance from a curve, with an empty time-series of fixings.
    The curve is specified by an instance of Curve, such as InterpolatedNodalCurve. The curve must have x-values of year fractions with the day count specified. The y-values must be forward rates. A suitable metadata instance for the curve can be created by Curves.forwardRates(String, DayCount). In the curve the Ibor rates are indexed by the maturity date.
    
    Specified by:
    
    of in interface IborIndexRates
    
    Parameters:
    
    index - the index
    
    valuationDate - the valuation date for which the curve is valid
    
    curve - the curve of forward rates
    
    Returns:
    
    the rates view
  - of
```
public static SimpleIborIndexRates of(IborIndex index,
                                      LocalDate valuationDate,
                                      Curve curve,
                                      LocalDateDoubleTimeSeries fixings)
```
    Obtains an instance from a curve and time-series of fixing.
    The curve is specified by an instance of Curve, such as InterpolatedNodalCurve. The curve must have x-values of year fractions with the day count specified. The y-values must be forward rates. In the curve the Ibor rates are indexed by the maturity date.
    
    Specified by:
    
    of in interface IborIndexRates
    
    Parameters:
    
    index - the index
    
    valuationDate - the valuation date for which the curve is valid
    
    curve - the curve of forward rates
    
    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
  - findParameterIndex
```
public OptionalInt findParameterIndex(ParameterMetadata metadata)
```
    Specified by:
    
    findParameterIndex in interface ParameterizedData
  - withParameter
```
public SimpleIborIndexRates withParameter(int parameterIndex,
                                          double newValue)
```
    Specified by:
    
    withParameter in interface ParameterizedData
    
    Specified by:
    
    withParameter in interface IborIndexRates
  - withPerturbation
```
public SimpleIborIndexRates 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
  - withCurve
```
public SimpleIborIndexRates withCurve(Curve curve)
```
    Returns a new instance with a different curve.
    
    Parameters:
    
    curve - the new curve
    
    Returns:
    
    the new instance
  - meta
```
public static SimpleIborIndexRates.Meta meta()
```
    The meta-bean for SimpleIborIndexRates.
    
    Returns:
    
    the meta-bean, not null
  - metaBean
```
public SimpleIborIndexRates.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
  - getValuationDate
```
public LocalDate getValuationDate()
```
    Gets the valuation date.
    
    Specified by:
    
    getValuationDate in interface MarketDataView
    
    Returns:
    
    the value of the property, not null
  - getCurve
```
public Curve getCurve()
```
    Gets the underlying forward 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

Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.

Class SimpleIborIndexRates

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.joda.beans.Bean

Method Detail

of

of

findData

getParameterCount

getParameter

getParameterMetadata

findParameterIndex

withParameter

withPerturbation

rate

rateIgnoringFixings

ratePointSensitivity

rateIgnoringFixingsPointSensitivity

parameterSensitivity

createParameterSensitivity

withCurve

meta

metaBean

getIndex

getValuationDate

getCurve

getFixings

equals

hashCode

toString