public interface OvernightIndex extends RateIndex, Named
An index represented by this class relates to lending over one night. The rate typically refers to "Today/Tomorrow" but might refer to "Tomorrow/Next".
The index is defined by four dates. The fixing date is the date on which the index is to be observed. The publication date is the date on which the fixed rate is actually published. The effective date is the date on which the implied deposit starts. The maturity date is the date on which the implied deposit ends.
The most common implementations are provided in OvernightIndices.
All implementations of this interface must be immutable and thread-safe.
| Modifier and Type | Method and Description |
|---|---|
LocalDate |
calculateEffectiveFromFixing(LocalDate fixingDate,
ReferenceData refData)
Calculates the effective date from the fixing date.
|
LocalDate |
calculateFixingFromEffective(LocalDate effectiveDate,
ReferenceData refData)
Calculates the fixing date from the effective date.
|
LocalDate |
calculateMaturityFromEffective(LocalDate effectiveDate,
ReferenceData refData)
Calculates the maturity date from the effective date.
|
LocalDate |
calculateMaturityFromFixing(LocalDate fixingDate,
ReferenceData refData)
Calculates the maturity date from the fixing date.
|
LocalDate |
calculatePublicationFromFixing(LocalDate fixingDate,
ReferenceData refData)
Calculates the publication date from the fixing date.
|
static ExtendedEnum<OvernightIndex> |
extendedEnum()
Gets the extended enum helper.
|
int |
getEffectiveDateOffset()
Gets the number of days to add to the fixing date to obtain the effective date.
|
String |
getName()
Gets the name that uniquely identifies this index.
|
int |
getPublicationDateOffset()
Gets the number of days to add to the fixing date to obtain the publication date.
|
static OvernightIndex |
of(String uniqueName)
Obtains an instance from the specified unique name.
|
getFixingCalendar, getTenorgetCurrency, getDayCount, getDefaultFixedLegDayCount, getFloatingRateName, isActive, parse, parse, tryParse, tryParsestatic OvernightIndex of(String uniqueName)
of in interface FloatingRateIndexof in interface Indexof in interface RateIndexuniqueName - the unique nameIllegalArgumentException - if the name is not knownstatic ExtendedEnum<OvernightIndex> extendedEnum()
This helper allows instances of the index to be looked up. It also provides the complete set of available instances.
int getPublicationDateOffset()
In most cases, the fixing rate is available on the fixing date. In a few cases, publication of the fixing rate is delayed until the following business day. This property is zero if publication is on the fixing date, or one if it is the next day.
int getEffectiveDateOffset()
In most cases, the settlement date and start of the implied deposit is on the fixing date. In a few cases, the settlement date is the following business day. This property is zero if settlement is on the fixing date, or one if it is the next day. Maturity is always one business day after the settlement date.
LocalDate calculatePublicationFromFixing(LocalDate fixingDate, ReferenceData refData)
The fixing date is the date on which the index is to be observed. The publication date is the date on which the fixed rate is actually published.
No error is thrown if the input date is not a valid fixing date. Instead, the fixing date is moved to the next valid fixing date and then processed.
fixingDate - the fixing daterefData - the reference data, used to resolve the holiday calendarLocalDate calculateEffectiveFromFixing(LocalDate fixingDate, ReferenceData refData)
The fixing date is the date on which the index is to be observed. The effective date is the date on which the implied deposit starts.
No error is thrown if the input date is not a valid fixing date. Instead, the fixing date is moved to the next valid fixing date and then processed.
fixingDate - the fixing daterefData - the reference data, used to resolve the holiday calendarLocalDate calculateMaturityFromFixing(LocalDate fixingDate, ReferenceData refData)
The fixing date is the date on which the index is to be observed. The maturity date is the date on which the implied deposit ends.
No error is thrown if the input date is not a valid fixing date. Instead, the fixing date is moved to the next valid fixing date and then processed.
fixingDate - the fixing daterefData - the reference data, used to resolve the holiday calendarLocalDate calculateFixingFromEffective(LocalDate effectiveDate, ReferenceData refData)
The fixing date is the date on which the index is to be observed. The effective date is the date on which the implied deposit starts.
No error is thrown if the input date is not a valid effective date. Instead, the effective date is moved to the next valid effective date and then processed.
effectiveDate - the effective daterefData - the reference data, used to resolve the holiday calendarLocalDate calculateMaturityFromEffective(LocalDate effectiveDate, ReferenceData refData)
The effective date is the date on which the implied deposit starts. The maturity date is the date on which the implied deposit ends.
No error is thrown if the input date is not a valid effective date. Instead, the effective date is moved to the next valid effective date and then processed.
effectiveDate - the effective daterefData - the reference data, used to resolve the holiday calendarString getName()
This name is used in serialization and can be parsed using of(String).
Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.