com.opengamma.strata.product.rate

Class IborInterpolatedRateComputation

java.lang.Object

com.opengamma.strata.product.rate.IborInterpolatedRateComputation

All Implemented Interfaces:

RateComputation, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class IborInterpolatedRateComputation
extends Object
implements RateComputation, org.joda.beans.ImmutableBean, Serializable

Defines the computation of a rate of interest interpolated from two Ibor indices.

An interest rate determined from two Ibor indices by linear interpolation. Both indices are observed on the same fixing date and they must have the same currency. For example, linear interpolation between 'GBP-LIBOR-1M' and 'GBP-LIBOR-3M'.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	IborInterpolatedRateComputation.Meta The meta-bean for IborInterpolatedRateComputation.

Method Summary

Modifier and Type	Method and Description
void	collectIndices(ImmutableSet.Builder<Index> builder) Collects all the indices referred to by this computation.
boolean	equals(Object obj)
LocalDate	getFixingDate() Gets the fixing date.
IborIndexObservation	getLongObservation() Gets the longer Ibor index observation.
IborIndexObservation	getShortObservation() Gets the shorter Ibor index observation.
int	hashCode()
static IborInterpolatedRateComputation.Meta	meta() The meta-bean for IborInterpolatedRateComputation.
IborInterpolatedRateComputation.Meta	metaBean()
static IborInterpolatedRateComputation	of(IborIndex index1, IborIndex index2, LocalDate fixingDate, ReferenceData refData) Creates an instance from two indices and fixing date.
static IborInterpolatedRateComputation	of(IborIndexObservation shortObservation, IborIndexObservation longObservation) Creates an instance from the two underlying index observations.
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 IborInterpolatedRateComputation of(IborIndex index1,
                                                 IborIndex index2,
                                                 LocalDate fixingDate,
                                                 ReferenceData refData)

Creates an instance from two indices and fixing date.

The indices may be passed in any order.

Parameters:

index1 - the first index

index2 - the second index

fixingDate - the fixing date

refData - the reference data to use when resolving holiday calendars

Returns:

the interpolated rate computation

of

public static IborInterpolatedRateComputation of(IborIndexObservation shortObservation,
                                                 IborIndexObservation longObservation)

Creates an instance from the two underlying index observations.

The two observations must be for two different indexes in the same currency on the same fixing date. The index with the shorter tenor must be passed as the first argument.

Parameters:

shortObservation - the short underlying index observation

longObservation - the long underlying index observation

Returns:

the rate computation

Throws:

IllegalArgumentException - if the indices are not short, then long

getFixingDate

public LocalDate getFixingDate()

Gets the fixing date.

Returns:

the fixing date

collectIndices

public 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

meta

public static IborInterpolatedRateComputation.Meta meta()

The meta-bean for IborInterpolatedRateComputation.

Returns:

the meta-bean, not null

metaBean

public IborInterpolatedRateComputation.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getShortObservation

public IborIndexObservation getShortObservation()

Gets the shorter Ibor index observation.

The rate to be paid is based on this index It will be a well known market index such as 'GBP-LIBOR-1M'.

Returns:

the value of the property, not null

getLongObservation

public IborIndexObservation getLongObservation()

Gets the longer Ibor index observation.

The rate to be paid is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'.

Returns:

the value of the property, 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