com.opengamma.strata.product.rate

Class InflationInterpolatedRateComputation

java.lang.Object

com.opengamma.strata.product.rate.InflationInterpolatedRateComputation

All Implemented Interfaces:

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

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

Defines the computation of inflation figures from a price index with interpolation.

A price index is typically published monthly and has a delay before publication. The rate observed by this instance will be based on four observations of the index, two relative to the accrual start date and two relative to the accrual end date. Linear interpolation based on the number of days of the payment month is used to find the appropriate value for each pair of observations.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

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)
PriceIndexObservation	getEndObservation() Gets the observation at the end.
PriceIndexObservation	getEndSecondObservation() Gets the observation for interpolation at the end.
PriceIndex	getIndex() Gets the Price index.
PriceIndexObservation	getStartObservation() Gets the observation at the start.
PriceIndexObservation	getStartSecondObservation() Gets the observation for interpolation at the start.
double	getWeight() Gets the positive weight used when interpolating.
int	hashCode()
static InflationInterpolatedRateComputation.Meta	meta() The meta-bean for InflationInterpolatedRateComputation.
InflationInterpolatedRateComputation.Meta	metaBean()
static InflationInterpolatedRateComputation	of(PriceIndex index, YearMonth referenceStartMonth, YearMonth referenceEndMonth, double weight) Creates an instance from an index, reference start month and reference end month.
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 InflationInterpolatedRateComputation of(PriceIndex index,
                                                      YearMonth referenceStartMonth,
                                                      YearMonth referenceEndMonth,
                                                      double weight)

Creates an instance from an index, reference start month and reference end month.

The second start/end observations will be one month later than the start/end month.

Parameters:

index - the index

referenceStartMonth - the reference start month

referenceEndMonth - the reference end month

weight - the weight

Returns:

the inflation rate computation

getIndex

public PriceIndex getIndex()

Gets the Price index.

Returns:

the Price index

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 InflationInterpolatedRateComputation.Meta meta()

The meta-bean for InflationInterpolatedRateComputation.

Returns:

the meta-bean, not null

metaBean

public InflationInterpolatedRateComputation.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getStartObservation

public PriceIndexObservation getStartObservation()

Gets the observation at the start.

The inflation rate is the ratio between the interpolated start and end observations. The start month is typically three months before the start of the period.

Returns:

the value of the property, not null

getStartSecondObservation

public PriceIndexObservation getStartSecondObservation()

Gets the observation for interpolation at the start.

The inflation rate is the ratio between the interpolated start and end observations. The month is typically one month after the month of the start observation.

Returns:

the value of the property, not null

getEndObservation

public PriceIndexObservation getEndObservation()

Gets the observation at the end.

The inflation rate is the ratio between the interpolated start and end observations. The end month is typically three months before the end of the period.

Returns:

the value of the property, not null

getEndSecondObservation

public PriceIndexObservation getEndSecondObservation()

Gets the observation for interpolation at the end.

The inflation rate is the ratio between the interpolated start and end observations. The month is typically one month after the month of the end observation.

Returns:

the value of the property, not null

getWeight

public double getWeight()

Gets the positive weight used when interpolating.

Given two price index observations, typically in adjacent months, the weight is used to determine the adjusted index value. The value is given by the formula (weight * price_index_1 + (1 - weight) * price_index_2).

Returns:

the value of the property

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