public class ForwardIborInterpolatedRateComputationFn extends Object implements RateComputationFn<IborInterpolatedRateComputation>
The rate computation queries the rates from the RatesProvider
and interpolates them.
There is no convexity adjustment computed in this implementation.
Modifier and Type | Field and Description |
---|---|
static ForwardIborInterpolatedRateComputationFn |
DEFAULT
Default instance.
|
Constructor and Description |
---|
ForwardIborInterpolatedRateComputationFn()
Creates an instance.
|
Modifier and Type | Method and Description |
---|---|
double |
explainRate(IborInterpolatedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider,
ExplainMapBuilder builder)
Explains the calculation of the applicable rate.
|
double |
rate(IborInterpolatedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider)
Determines the applicable rate for the computation.
|
PointSensitivityBuilder |
rateSensitivity(IborInterpolatedRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider)
Determines the point sensitivity for the rate computation.
|
clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait
standard
public static final ForwardIborInterpolatedRateComputationFn DEFAULT
public ForwardIborInterpolatedRateComputationFn()
public double rate(IborInterpolatedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
RateComputationFn
Each type of rate has specific rules, encapsulated in RateComputation
.
The start date and end date refer to the accrual period. In many cases, this information is not necessary, however it does enable some implementations that would not otherwise be possible.
rate
in interface RateComputationFn<IborInterpolatedRateComputation>
computation
- the computation definitionstartDate
- the start date of the accrual periodendDate
- the end date of the accrual periodprovider
- the rates providerpublic PointSensitivityBuilder rateSensitivity(IborInterpolatedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
RateComputationFn
This returns a sensitivity instance referring to the curves used to determine each forward rate.
rateSensitivity
in interface RateComputationFn<IborInterpolatedRateComputation>
computation
- the computation definitionstartDate
- the start date of the accrual periodendDate
- the end date of the accrual periodprovider
- the rates providerpublic double explainRate(IborInterpolatedRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider, ExplainMapBuilder builder)
RateComputationFn
This adds information to the ExplainMapBuilder
to aid understanding of the computation.
The actual rate is also returned.
explainRate
in interface RateComputationFn<IborInterpolatedRateComputation>
computation
- the computation definitionstartDate
- the start date of the accrual periodendDate
- the end date of the accrual periodprovider
- the rates providerbuilder
- the builder to populateCopyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.