public class ForwardInflationMonthlyRateComputationFn extends Object implements RateComputationFn<InflationMonthlyRateComputation>
The pay-off for a unit notional is (IndexEnd / IndexStart - 1), where
start index value and end index value are simply returned by RatesProvider.
| Modifier and Type | Field and Description |
|---|---|
static ForwardInflationMonthlyRateComputationFn |
DEFAULT
Default instance.
|
| Constructor and Description |
|---|
ForwardInflationMonthlyRateComputationFn()
Creates an instance.
|
| Modifier and Type | Method and Description |
|---|---|
double |
explainRate(InflationMonthlyRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider,
ExplainMapBuilder builder)
Explains the calculation of the applicable rate.
|
double |
rate(InflationMonthlyRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider)
Determines the applicable rate for the computation.
|
PointSensitivityBuilder |
rateSensitivity(InflationMonthlyRateComputation 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, waitstandardpublic static final ForwardInflationMonthlyRateComputationFn DEFAULT
public ForwardInflationMonthlyRateComputationFn()
public double rate(InflationMonthlyRateComputation 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<InflationMonthlyRateComputation>computation - the computation definitionstartDate - the start date of the accrual periodendDate - the end date of the accrual periodprovider - the rates providerpublic PointSensitivityBuilder rateSensitivity(InflationMonthlyRateComputation computation, LocalDate startDate, LocalDate endDate, RatesProvider provider)
RateComputationFnThis returns a sensitivity instance referring to the curves used to determine each forward rate.
rateSensitivity in interface RateComputationFn<InflationMonthlyRateComputation>computation - the computation definitionstartDate - the start date of the accrual periodendDate - the end date of the accrual periodprovider - the rates providerpublic double explainRate(InflationMonthlyRateComputation 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<InflationMonthlyRateComputation>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.