com.opengamma.strata.pricer.rate

Class SimplePriceIndexValues

java.lang.Object

com.opengamma.strata.pricer.rate.SimplePriceIndexValues

All Implemented Interfaces:

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

public final class SimplePriceIndexValues
extends Object
implements PriceIndexValues, org.joda.beans.ImmutableBean, Serializable

Provides values for a Price index from a forward curve.

This provides historic and forward rates for a single PriceIndex, such as 'US-CPI-U'.

This implementation is based on an underlying forward curve. Seasonality is included in the curve, see InflationNodalCurve.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

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)
Curve	getCurve() Gets the underlying curve.
LocalDateDoubleTimeSeries	getFixings() Gets the monthly time-series of fixings.
PriceIndex	getIndex() Gets the index that the values are for.
double	getParameter(int parameterIndex)
int	getParameterCount()
ParameterMetadata	getParameterMetadata(int parameterIndex)
LocalDate	getValuationDate() Gets the valuation date.
int	hashCode()
static SimplePriceIndexValues.Meta	meta() The meta-bean for SimplePriceIndexValues.
SimplePriceIndexValues.Meta	metaBean()
static SimplePriceIndexValues	of(PriceIndex index, LocalDate valuationDate, Curve curve, LocalDateDoubleTimeSeries fixings) Obtains an instance based on a curve with no seasonality adjustment.
CurrencyParameterSensitivities	parameterSensitivity(InflationRateSensitivity pointSensitivity) Calculates the parameter sensitivity from the point sensitivity.
String	toString()
double	value(PriceIndexObservation observation) Gets the historic or forward rate at the specified fixing month.
PointSensitivityBuilder	valuePointSensitivity(PriceIndexObservation observation) Calculates the point sensitivity of the historic or forward value at the specified fixing month.
SimplePriceIndexValues	withCurve(Curve curve) Returns a new instance with a different curve.
SimplePriceIndexValues	withParameter(int parameterIndex, double newValue)
SimplePriceIndexValues	withPerturbation(ParameterPerturbation perturbation)

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 SimplePriceIndexValues of(PriceIndex index,
                                        LocalDate valuationDate,
                                        Curve curve,
                                        LocalDateDoubleTimeSeries fixings)

Obtains an instance based on a curve with no seasonality adjustment.

Each x-value on the curve is the number of months between the valuation month and the estimation month. For example, zero represents the valuation month, one the next month and so on.

The time-series contains one value per month and must have at least one entry. The value is stored in the time-series on the last date of each month (which may be a non-working day).

The curve will be altered to be consistent with the time-series. The last element of the series is added as the first point of the interpolated curve to ensure a coherent transition.

Specified by:

of in interface PriceIndexValues

Parameters:

index - the Price index

valuationDate - the valuation date for which the curve is valid

fixings - the time-series of fixings

curve - the underlying forward curve for index estimation

Returns:

the values instance

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 SimplePriceIndexValues withParameter(int parameterIndex,
                                            double newValue)

Specified by:

withParameter in interface ParameterizedData

Specified by:

withParameter in interface PriceIndexValues

withPerturbation

public SimplePriceIndexValues withPerturbation(ParameterPerturbation perturbation)

Specified by:

withPerturbation in interface ParameterizedData

Specified by:

withPerturbation in interface PriceIndexValues

value

public double value(PriceIndexObservation observation)

Description copied from interface: PriceIndexValues

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

The rate of the Price index, such as 'US-CPI-U', varies over time. This method obtains the actual or estimated rate for the month.

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

Specified by:

value in interface PriceIndexValues

Parameters:

observation - the rate observation, including the fixing month

Returns:

the value of the index, either historic or forward

valuePointSensitivity

public PointSensitivityBuilder valuePointSensitivity(PriceIndexObservation observation)

Description copied from interface: PriceIndexValues

Calculates the point sensitivity of the historic or forward value at the specified fixing month.

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 PriceIndexValues.value(PriceIndexObservation).

Specified by:

valuePointSensitivity in interface PriceIndexValues

Parameters:

observation - the rate observation, including the fixing month

Returns:

the point sensitivity of the value

parameterSensitivity

public CurrencyParameterSensitivities parameterSensitivity(InflationRateSensitivity pointSensitivity)

Description copied from interface: PriceIndexValues

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 PriceIndexValues

Parameters:

pointSensitivity - the point sensitivity to convert

Returns:

the parameter sensitivity

createParameterSensitivity

public CurrencyParameterSensitivities createParameterSensitivity(Currency currency,
                                                                 DoubleArray sensitivities)

Description copied from interface: PriceIndexValues

Creates the parameter sensitivity when the sensitivity values are known.

In most cases, PriceIndexValues.parameterSensitivity(InflationRateSensitivity) 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 values are based on a single forward curve, then there will be one CurrencyParameterSensitivity in the result.

Specified by:

createParameterSensitivity in interface PriceIndexValues

Parameters:

currency - the currency

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

Returns:

the parameter sensitivity

withCurve

public SimplePriceIndexValues withCurve(Curve curve)

Returns a new instance with a different curve. The new curve must include fixing.

Parameters:

curve - the new curve

Returns:

the new instance

meta

public static SimplePriceIndexValues.Meta meta()

The meta-bean for SimplePriceIndexValues.

Returns:

the meta-bean, not null

metaBean

public SimplePriceIndexValues.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getIndex

public PriceIndex getIndex()

Gets the index that the values are for.

Specified by:

getIndex in interface PriceIndexValues

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 curve. Each x-value on the curve is the number of months between the valuation month and the estimation month. For example, zero represents the valuation month, one the next month and so on.

Returns:

the value of the property, not null

getFixings

public LocalDateDoubleTimeSeries getFixings()

Gets the monthly time-series of fixings. This includes the known historical fixings and must not be empty.

Only one value is stored per month. The value is stored in the time-series on the last date of each month (which may be a non-working day).

Specified by:

getFixings in interface PriceIndexValues

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