OvernightRateComputation (OpenGamma Strata Product)

All Superinterfaces:

RateComputation

All Known Implementing Classes:

OvernightAveragedDailyRateComputation, OvernightAveragedRateComputation, OvernightCompoundedAnnualRateComputation, OvernightCompoundedRateComputation
```
public interface OvernightRateComputation
extends RateComputation
```
Defines the computation of a rate from a single Overnight index.

Method Summary

All Methods Static Methods Instance Methods Abstract Methods Default Methods
Modifier and Type	Method and Description
`default LocalDate`	`calculateEffectiveFromFixing(LocalDate fixingDate)` Calculates the effective date from the fixing date.
`default LocalDate`	`calculateFixingFromEffective(LocalDate effectiveDate)` Calculates the fixing date from the effective date.
`default LocalDate`	`calculateMaturityFromEffective(LocalDate effectiveDate)` Calculates the maturity date from the effective date.
`default LocalDate`	`calculateMaturityFromFixing(LocalDate fixingDate)` Calculates the maturity date from the fixing date.
`default LocalDate`	`calculatePublicationFromFixing(LocalDate fixingDate)` Calculates the publication date from the fixing date.
`default void`	`collectIndices(ImmutableSet.Builder<Index> builder)` Collects all the indices referred to by this computation.
`LocalDate`	`getEndDate()` Obtains the fixing date associated with the end date of the accrual period.
`HolidayCalendar`	`getFixingCalendar()` Obtains the resolved calendar that the index uses.
`OvernightIndex`	`getIndex()` Obtains the Overnight index.
`LocalDate`	`getStartDate()` Obtains the fixing date associated with the start date of the accrual period.
`default OvernightIndexObservation`	`observeOn(LocalDate fixingDate)` Creates an observation object for the specified fixing date.
`static OvernightRateComputation`	`of(OvernightIndex index, LocalDate startDate, LocalDate endDate, int rateCutOffDays, OvernightAccrualMethod accrualMethod, ReferenceData referenceData)` Obtains an instance.

- Method Detail
  - of
```
static OvernightRateComputation of(OvernightIndex index,
                                   LocalDate startDate,
                                   LocalDate endDate,
                                   int rateCutOffDays,
                                   OvernightAccrualMethod accrualMethod,
                                   ReferenceData referenceData)
```
    Obtains an instance.
    
    Parameters:
    
    index - the index
    
    startDate - the start date
    
    endDate - the end date
    
    rateCutOffDays - the rate cutoff days
    
    accrualMethod - the accrual method
    
    referenceData - the reference data
    
    Returns:
    
    the instance
  - getIndex
```
OvernightIndex getIndex()
```
    Obtains the Overnight index.
    The rate to be paid is based on this index. It will be a well known market index such as 'GBP-SONIA'.
    
    Returns:
    
    the overnight index
  - getFixingCalendar
```
HolidayCalendar getFixingCalendar()
```
    Obtains the resolved calendar that the index uses.
    
    Returns:
    
    the fixing calendar
  - getStartDate
```
LocalDate getStartDate()
```
    Obtains the fixing date associated with the start date of the accrual period.
    This is also the first fixing date. The overnight rate is observed from this date onwards.
    In general, the fixing dates and accrual dates are the same for an overnight index. However, in the case of a Tomorrow/Next index, the fixing period is one business day before the accrual period.
    
    Returns:
    
    the start date
  - getEndDate
```
LocalDate getEndDate()
```
    Obtains the fixing date associated with the end date of the accrual period.
    The overnight rate is observed until this date.
    In general, the fixing dates and accrual dates are the same for an overnight index. However, in the case of a Tomorrow/Next index, the fixing period is one business day before the accrual period.
    
    Returns:
    
    the end date
  - calculatePublicationFromFixing
```
default LocalDate calculatePublicationFromFixing(LocalDate fixingDate)
```
    Calculates the publication date from the fixing date.
    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.
    
    Parameters:
    
    fixingDate - the fixing date
    
    Returns:
    
    the publication date
  - calculateEffectiveFromFixing
```
default LocalDate calculateEffectiveFromFixing(LocalDate fixingDate)
```
    Calculates the effective date from the fixing date.
    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.
    
    Parameters:
    
    fixingDate - the fixing date
    
    Returns:
    
    the effective date
  - calculateMaturityFromFixing
```
default LocalDate calculateMaturityFromFixing(LocalDate fixingDate)
```
    Calculates the maturity date from the fixing date.
    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.
    
    Parameters:
    
    fixingDate - the fixing date
    
    Returns:
    
    the maturity date
  - calculateFixingFromEffective
```
default LocalDate calculateFixingFromEffective(LocalDate effectiveDate)
```
    Calculates the fixing date from the effective date.
    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.
    
    Parameters:
    
    effectiveDate - the effective date
    
    Returns:
    
    the fixing date
  - calculateMaturityFromEffective
```
default LocalDate calculateMaturityFromEffective(LocalDate effectiveDate)
```
    Calculates the maturity date from the effective date.
    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.
    
    Parameters:
    
    effectiveDate - the effective date
    
    Returns:
    
    the maturity date
  - observeOn
```
default OvernightIndexObservation observeOn(LocalDate fixingDate)
```
    Creates an observation object for the specified fixing date.
    
    Parameters:
    
    fixingDate - the fixing date
    
    Returns:
    
    the index observation
  - collectIndices
```
default void collectIndices(ImmutableSet.Builder<Index> builder)
```
    Description copied from interface: RateComputation
    
    Collects all the indices referred to by this computation.
    A computation will typically refer to one index, such as 'GBP-LIBOR-3M'. Each index that is referred to must be added to the specified builder.
    
    Specified by:
    
    collectIndices in interface RateComputation
    
    Parameters:
    
    builder - the builder to use

Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.

Interface OvernightRateComputation

Method Summary

Method Detail

of

getIndex

getFixingCalendar

getStartDate

getEndDate

calculatePublicationFromFixing

calculateEffectiveFromFixing

calculateMaturityFromFixing

calculateFixingFromEffective

calculateMaturityFromEffective

observeOn

collectIndices