public final class OvernightRateSensitivity extends Object implements PointSensitivity, PointSensitivityBuilder, org.joda.beans.ImmutableBean, Serializable
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.
Modifier and Type | Class and Description |
---|---|
static class |
OvernightRateSensitivity.Meta
The meta-bean for
OvernightRateSensitivity . |
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) |
clone, finalize, getClass, notify, notifyAll, wait, wait, wait
build, combinedWith, none, of, of
public static OvernightRateSensitivity of(OvernightIndexObservation observation, double sensitivity)
The currency is defaulted from the index. The end date will be the maturity date of the observation.
observation
- the rate observation, including the fixing datesensitivity
- the value of the sensitivitypublic static OvernightRateSensitivity of(OvernightIndexObservation observation, Currency sensitivityCurrency, double sensitivity)
The end date will be the maturity date of the observation.
observation
- the rate observation, including the fixing datesensitivityCurrency
- the currency of the sensitivitysensitivity
- the value of the sensitivitypublic static OvernightRateSensitivity ofPeriod(OvernightIndexObservation observation, LocalDate endDate, double sensitivity)
The currency is defaulted from the index.
observation
- the rate observation, including the fixing dateendDate
- the end date of the periodsensitivity
- the value of the sensitivitypublic static OvernightRateSensitivity ofPeriod(OvernightIndexObservation observation, LocalDate endDate, Currency sensitivityCurrency, double sensitivity)
observation
- the rate observation, including the fixing dateendDate
- the end date of the periodsensitivityCurrency
- the currency of the sensitivitysensitivity
- the value of the sensitivitypublic OvernightIndex getIndex()
public OvernightRateSensitivity withCurrency(Currency currency)
withCurrency
in interface PointSensitivity
withCurrency
in interface PointSensitivityBuilder
public OvernightRateSensitivity withSensitivity(double sensitivity)
withSensitivity
in interface PointSensitivity
public int compareKey(PointSensitivity other)
compareKey
in interface PointSensitivity
public OvernightRateSensitivity convertedTo(Currency resultCurrency, FxRateProvider rateProvider)
convertedTo
in interface FxConvertible<PointSensitivity>
convertedTo
in interface PointSensitivity
public OvernightRateSensitivity multipliedBy(double factor)
multipliedBy
in interface PointSensitivityBuilder
public OvernightRateSensitivity mapSensitivity(DoubleUnaryOperator operator)
mapSensitivity
in interface PointSensitivityBuilder
public OvernightRateSensitivity normalize()
normalize
in interface PointSensitivityBuilder
public MutablePointSensitivities buildInto(MutablePointSensitivities combination)
buildInto
in interface PointSensitivityBuilder
public OvernightRateSensitivity cloned()
cloned
in interface PointSensitivityBuilder
public static OvernightRateSensitivity.Meta meta()
OvernightRateSensitivity
.public OvernightRateSensitivity.Meta metaBean()
metaBean
in interface org.joda.beans.Bean
public OvernightIndexObservation getObservation()
This includes the index and fixing date.
public LocalDate getEndDate()
public Currency getCurrency()
getCurrency
in interface PointSensitivity
public double getSensitivity()
getSensitivity
in interface PointSensitivity
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.