/**
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.basics.index;
import java.time.LocalDate;
import org.joda.convert.FromString;
import org.joda.convert.ToString;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.named.ExtendedEnum;
import com.opengamma.strata.collect.named.Named;
/**
* An Overnight index, such as Sonia or Eonia.
* <p>
* 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".
* <p>
* 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.
* <p>
* The most common implementations are provided in {@link OvernightIndices}.
* <p>
* All implementations of this interface must be immutable and thread-safe.
*/
public interface OvernightIndex
extends RateIndex, Named {
/**
* Obtains an instance from the specified unique name.
*
* @param uniqueName the unique name
* @return the index
* @throws IllegalArgumentException if the name is not known
*/
@FromString
public static OvernightIndex of(String uniqueName) {
ArgChecker.notNull(uniqueName, "uniqueName");
return extendedEnum().lookup(uniqueName);
}
/**
* Gets the extended enum helper.
* <p>
* This helper allows instances of the index to be looked up.
* It also provides the complete set of available instances.
*
* @return the extended enum helper
*/
public static ExtendedEnum<OvernightIndex> extendedEnum() {
return OvernightIndices.ENUM_LOOKUP;
}
//-------------------------------------------------------------------------
/**
* Gets the number of days to add to the fixing date to obtain the publication date.
* <p>
* 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.
*
* @return the publication date offset
*/
public abstract int getPublicationDateOffset();
/**
* Gets the number of days to add to the fixing date to obtain the effective date.
* <p>
* 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.
*
* @return the effective date offset
*/
public abstract int getEffectiveDateOffset();
//-------------------------------------------------------------------------
/**
* Calculates the publication date from the fixing date.
* <p>
* 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.
* <p>
* 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.
*
* @param fixingDate the fixing date
* @param refData the reference data, used to resolve the holiday calendar
* @return the publication date
*/
public abstract LocalDate calculatePublicationFromFixing(LocalDate fixingDate, ReferenceData refData);
/**
* Calculates the effective date from the fixing date.
* <p>
* 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.
* <p>
* 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.
*
* @param fixingDate the fixing date
* @param refData the reference data, used to resolve the holiday calendar
* @return the effective date
*/
public abstract LocalDate calculateEffectiveFromFixing(LocalDate fixingDate, ReferenceData refData);
/**
* Calculates the maturity date from the fixing date.
* <p>
* 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.
* <p>
* 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.
*
* @param fixingDate the fixing date
* @param refData the reference data, used to resolve the holiday calendar
* @return the maturity date
*/
public abstract LocalDate calculateMaturityFromFixing(LocalDate fixingDate, ReferenceData refData);
/**
* Calculates the fixing date from the effective date.
* <p>
* 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.
* <p>
* 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.
*
* @param effectiveDate the effective date
* @param refData the reference data, used to resolve the holiday calendar
* @return the fixing date
*/
public abstract LocalDate calculateFixingFromEffective(LocalDate effectiveDate, ReferenceData refData);
/**
* Calculates the maturity date from the effective date.
* <p>
* The effective date is the date on which the implied deposit starts.
* The maturity date is the date on which the implied deposit ends.
* <p>
* 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.
*
* @param effectiveDate the effective date
* @param refData the reference data, used to resolve the holiday calendar
* @return the maturity date
*/
public abstract LocalDate calculateMaturityFromEffective(LocalDate effectiveDate, ReferenceData refData);
//-------------------------------------------------------------------------
/**
* Gets the name that uniquely identifies this index.
* <p>
* This name is used in serialization and can be parsed using {@link #of(String)}.
*
* @return the unique name
*/
@ToString
@Override
public abstract String getName();
}