public class ForwardOvernightAveragedDailyRateComputationFn extends Object implements RateComputationFn<OvernightAveragedDailyRateComputation>
The rate computation retrieves the rate at each fixing date in the period
from the RatesProvider and average them.
| Modifier and Type | Field and Description |
|---|---|
static ForwardOvernightAveragedDailyRateComputationFn |
DEFAULT
Default implementation.
|
| Constructor and Description |
|---|
ForwardOvernightAveragedDailyRateComputationFn()
Creates an instance.
|
| Modifier and Type | Method and Description |
|---|---|
double |
explainRate(OvernightAveragedDailyRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider,
ExplainMapBuilder builder)
Explains the calculation of the applicable rate.
|
double |
rate(OvernightAveragedDailyRateComputation computation,
LocalDate startDate,
LocalDate endDate,
RatesProvider provider)
Determines the applicable rate for the computation.
|
PointSensitivityBuilder |
rateSensitivity(OvernightAveragedDailyRateComputation 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 ForwardOvernightAveragedDailyRateComputationFn DEFAULT
public ForwardOvernightAveragedDailyRateComputationFn()
public double rate(OvernightAveragedDailyRateComputation 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<OvernightAveragedDailyRateComputation>computation - the computation definitionstartDate - the start date of the accrual periodendDate - the end date of the accrual periodprovider - the rates providerpublic PointSensitivityBuilder rateSensitivity(OvernightAveragedDailyRateComputation 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<OvernightAveragedDailyRateComputation>computation - the computation definitionstartDate - the start date of the accrual periodendDate - the end date of the accrual periodprovider - the rates providerpublic double explainRate(OvernightAveragedDailyRateComputation 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<OvernightAveragedDailyRateComputation>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.