InflationRateCalculation (OpenGamma Strata Product)

java.lang.Object
- com.opengamma.strata.product.swap.InflationRateCalculation

All Implemented Interfaces:

RateCalculation, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class InflationRateCalculation
extends Object
implements RateCalculation, org.joda.beans.ImmutableBean, Serializable
```
Defines the calculation of a swap leg of a zero-coupon inflation coupon based on a price index.
This defines the data necessary to calculate the amount payable on the leg. The amount is based on the observed value of a price index.
The index for a given month is given in the yield curve or in the time series. The pay-off for a unit notional is (Index_End / Index_Start - 1).

See Also:

Serialized Form

Nested Class Summary

Nested Classes
Modifier and Type	Class and Description
`static class`	`InflationRateCalculation.Builder` The bean-builder for `InflationRateCalculation`.
`static class`	`InflationRateCalculation.Meta` The meta-bean for `InflationRateCalculation`.

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`static InflationRateCalculation.Builder`	`builder()` Returns a builder used to create an instance of the bean.
`void`	`collectCurrencies(ImmutableSet.Builder<Currency> builder)` Collects all the currencies referred to by this calculation.
`void`	`collectIndices(ImmutableSet.Builder<Index> builder)` Collects all the indices referred to by this calculation.
`ImmutableList<RateAccrualPeriod>`	`createAccrualPeriods(Schedule accrualSchedule, Schedule paymentSchedule, ReferenceData refData)` Creates accrual periods based on the specified schedule.
`RateComputation`	`createRateComputation(LocalDate endDate)` Creates a rate observation where the start index value is known.
`boolean`	`equals(Object obj)`
`DayCount`	`getDayCount()` Gets the day count convention.
`OptionalDouble`	`getFirstIndexValue()` Gets the initial value of the index, optional.
`Optional<ValueSchedule>`	`getGearing()` Gets the gearing multiplier, optional.
`PriceIndex`	`getIndex()` Gets the index of prices.
`PriceIndexCalculationMethod`	`getIndexCalculationMethod()` Gets reference price index calculation method.
`Period`	`getLag()` Gets the positive period between the price index and the accrual date, typically a number of months.
`SwapLegType`	`getType()` Gets the type of the leg, such as Fixed or Ibor.
`int`	`hashCode()`
`static InflationRateCalculation.Meta`	`meta()` The meta-bean for `InflationRateCalculation`.
`InflationRateCalculation.Meta`	`metaBean()`
`static InflationRateCalculation`	`of(PriceIndex index, int monthLag, PriceIndexCalculationMethod indexCalculationMethod)` Obtains a rate calculation for the specified price index.
`static InflationRateCalculation`	`of(PriceIndex index, int monthLag, PriceIndexCalculationMethod indexCalculationMethod, double firstIndexValue)` Obtains a rate calculation for the specified price index with known start index value.
`InflationRateCalculation.Builder`	`toBuilder()` Returns a builder that allows this bean to be mutated.
`String`	`toString()`

Methods inherited from class java.lang.Object
clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean
property, propertyNames

- Method Detail
  - of
```
public static InflationRateCalculation of(PriceIndex index,
                                          int monthLag,
                                          PriceIndexCalculationMethod indexCalculationMethod)
```
    Obtains a rate calculation for the specified price index.
    The calculation will use the specified month lag. All optional fields will be set to their default values. Thus, fixing will be in advance, with no gearing. If this method provides insufficient control, use the builder.
    
    Parameters:
    
    index - the price index
    
    monthLag - the month lag
    
    indexCalculationMethod - the reference price index calculation method
    
    Returns:
    
    the inflation rate calculation
  - of
```
public static InflationRateCalculation of(PriceIndex index,
                                          int monthLag,
                                          PriceIndexCalculationMethod indexCalculationMethod,
                                          double firstIndexValue)
```
    Obtains a rate calculation for the specified price index with known start index value.
    The calculation will use the specified month lag. The first index value will be set to the specified value All other optional fields will be set to their default values. Thus, fixing will be in advance, with no gearing. If this method provides insufficient control, use the builder.
    
    Parameters:
    
    index - the price index
    
    monthLag - the month lag
    
    indexCalculationMethod - the reference price index calculation method
    
    firstIndexValue - the first index value
    
    Returns:
    
    the inflation rate calculation
  - getType
```
public SwapLegType getType()
```
    Description copied from interface: RateCalculation
    
    Gets the type of the leg, such as Fixed or Ibor.
    This provides a high level categorization of the swap leg.
    
    Specified by:
    
    getType in interface RateCalculation
    
    Returns:
    
    the leg type
  - getDayCount
```
public DayCount getDayCount()
```
    Description copied from interface: RateCalculation
    
    Gets the day count convention.
    This is used to convert schedule period dates to a numerical value.
    
    Specified by:
    
    getDayCount in interface RateCalculation
    
    Returns:
    
    the day count convention
  - collectCurrencies
```
public void collectCurrencies(ImmutableSet.Builder<Currency> builder)
```
    Description copied from interface: RateCalculation
    
    Collects all the currencies referred to by this calculation.
    This collects the complete set of currencies for the calculation, not just the payment currencies.
    
    Specified by:
    
    collectCurrencies in interface RateCalculation
    
    Parameters:
    
    builder - the builder to populate
  - collectIndices
```
public void collectIndices(ImmutableSet.Builder<Index> builder)
```
    Description copied from interface: RateCalculation
    
    Collects all the indices referred to by this calculation.
    A calculation will typically refer to at least 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 RateCalculation
    
    Parameters:
    
    builder - the builder to use
  - createAccrualPeriods
```
public ImmutableList<RateAccrualPeriod> createAccrualPeriods(Schedule accrualSchedule,
                                                             Schedule paymentSchedule,
                                                             ReferenceData refData)
```
    Description copied from interface: RateCalculation
    
    Creates accrual periods based on the specified schedule.
    The specified accrual schedule defines the period dates to be created. One instance of RateAccrualPeriod must be created for each period in the schedule.
    
    Specified by:
    
    createAccrualPeriods in interface RateCalculation
    
    Parameters:
    
    accrualSchedule - the accrual schedule
    
    paymentSchedule - the payment schedule
    
    refData - the reference data to use when resolving
    
    Returns:
    
    the accrual periods
  - createRateComputation
```
public RateComputation createRateComputation(LocalDate endDate)
```
    Creates a rate observation where the start index value is known.
    This is typically used for capital indexed bonds. The rate is calculated between the value of firstIndexValue and the observed value at the end month linked to the specified end date. This method requires that firstIndexValue is present.
    
    Parameters:
    
    endDate - the end date of the period
    
    Returns:
    
    the rate observation
  - meta
```
public static InflationRateCalculation.Meta meta()
```
    The meta-bean for InflationRateCalculation.
    
    Returns:
    
    the meta-bean, not null
  - builder
```
public static InflationRateCalculation.Builder builder()
```
    Returns a builder used to create an instance of the bean.
    
    Returns:
    
    the builder, not null
  - metaBean
```
public InflationRateCalculation.Meta metaBean()
```
    Specified by:
    
    metaBean in interface org.joda.beans.Bean
  - getIndex
```
public PriceIndex getIndex()
```
    Gets the index of prices.
    The pay-off is computed based on this index The most common implementations are provided in PriceIndices.
    
    Returns:
    
    the value of the property, not null
  - getLag
```
public Period getLag()
```
    Gets the positive period between the price index and the accrual date, typically a number of months.
    A price index is typically published monthly and has a delay before publication. The lag is subtracted from the accrual start and end date to locate the month of the data to be observed.
    For example, the September data may be published in October or November. A 3 month lag will cause an accrual date in December to be based on the observed data for September, which should be available by then.
    
    Returns:
    
    the value of the property, not null
  - getIndexCalculationMethod
```
public PriceIndexCalculationMethod getIndexCalculationMethod()
```
    Gets reference price index calculation method.
    This specifies how the reference index calculation occurs.
    
    Returns:
    
    the value of the property, not null
  - getFirstIndexValue
```
public OptionalDouble getFirstIndexValue()
```
    Gets the initial value of the index, optional.
    This optional field specifies the initial value of the index. The value is applicable for the first regular accrual period. It is used in place of an observed fixing. Other calculation elements, such as gearing or spread, still apply. After the first accrual period, the rate is observed via the normal fixing process.
    The method createRateComputation(LocalDate) allows this field to be used as the base for any end date, as typically seen in capital indexed bonds.
    If this property is not present, then the first value is observed via the normal fixing process.
    
    Returns:
    
    the optional value of the property, not null
  - getGearing
```
public Optional<ValueSchedule> getGearing()
```
    Gets the gearing multiplier, optional.
    This defines the gearing as an initial value and a list of adjustments.
    When calculating the index, the gearing acts as a overall factor of pay-off. The pay-off is Gearing_Factor * (Index_End / Index_Start - 1). A gearing of 1 has no effect.
    If this property is not present, then no gearing applies.
    Gearing is also known as leverage.
    
    Returns:
    
    the optional value of the property, not null
  - toBuilder
```
public InflationRateCalculation.Builder toBuilder()
```
    Returns a builder that allows this bean to be mutated.
    
    Returns:
    
    the mutable builder, not null
  - equals
```
public boolean equals(Object obj)
```
    Overrides:
    
    equals in class Object
  - hashCode
```
public int hashCode()
```
    Overrides:
    
    hashCode in class Object
  - toString
```
public String toString()
```
    Overrides:
    
    toString in class Object

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

Class InflationRateCalculation

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

Methods inherited from interface org.joda.beans.Bean

Method Detail

of

of

getType

getDayCount

collectCurrencies

collectIndices

createAccrualPeriods

createRateComputation

meta

builder

metaBean

getIndex

getLag

getIndexCalculationMethod

getFirstIndexValue

getGearing

toBuilder

equals

hashCode

toString