Class CapitalIndexedBond

  • All Implemented Interfaces:
    Resolvable<ResolvedCapitalIndexedBond>, Product, SecuritizedProduct, java.io.Serializable, Bean, ImmutableBean

    public final class CapitalIndexedBond
    extends java.lang.Object
    implements SecuritizedProduct, Resolvable<ResolvedCapitalIndexedBond>, ImmutableBean, java.io.Serializable
    A capital indexed bond.

    A capital indexed bond is a financial instrument that represents a stream of inflation-adjusted payments. The payments consist two types: periodic coupon payments and nominal payment. All of the payments are adjusted for inflation.

    The periodic coupon payment schedule is defined using periodicSchedule. The payment amount will be computed based on this schedule and RateComputation of InflationRateCalculation. The nominal payment is defined from the last period of the periodic coupon payment schedule.

    The legal entity of this bond is identified by legalEntityId. The enum, yieldConvention, specifies the yield computation convention. The accrued interest must be computed with dayCount.

    Price

    Strata uses decimal prices for bonds in the trade model, pricers and market data. For example, a price of 99.32% is represented in Strata by 0.9932.
    See Also:
    Serialized Form
    • Method Detail

      • getFirstIndexValue

        public double getFirstIndexValue()
        Gets the first index value

        This is the price index value at the start of the bond.

        Returns:
        the first index value
      • resolve

        public ResolvedCapitalIndexedBond resolve​(ReferenceData refData)
        Description copied from interface: Resolvable
        Resolves this object using the specified reference data.

        This converts the object implementing this interface to the equivalent resolved form. All ReferenceDataId identifiers in this instance will be resolved. The resolved form will typically be a type that is optimized for pricing.

        Resolved objects may be bound to data that changes over time, such as holiday calendars. If the data changes, such as the addition of a new holiday, the resolved form will not be updated. Care must be taken when placing the resolved form in a cache or persistence layer.

        Specified by:
        resolve in interface Resolvable<ResolvedCapitalIndexedBond>
        Parameters:
        refData - the reference data to use when resolving
        Returns:
        the resolved instance
      • meta

        public static CapitalIndexedBond.Meta meta()
        The meta-bean for CapitalIndexedBond.
        Returns:
        the meta-bean, not null
      • builder

        public static CapitalIndexedBond.Builder builder()
        Returns a builder used to create an instance of the bean.
        Returns:
        the builder, not null
      • getSecurityId

        public SecurityId getSecurityId()
        Gets the security identifier.

        This identifier uniquely identifies the security within the system.

        Specified by:
        getSecurityId in interface SecuritizedProduct
        Returns:
        the value of the property, not null
      • getCurrency

        public Currency getCurrency()
        Gets the currency that the bond is traded in.
        Specified by:
        getCurrency in interface SecuritizedProduct
        Returns:
        the value of the property, not null
      • getNotional

        public double getNotional()
        Gets the notional amount, must be positive.

        The notional expressed here must be positive. The currency of the notional is specified by currency.

        Returns:
        the value of the property
      • getAccrualSchedule

        public PeriodicSchedule getAccrualSchedule()
        Gets the accrual schedule.

        This is used to define the accrual periods. These are used directly or indirectly to determine other dates in the product.

        Returns:
        the value of the property, not null
      • getRateCalculation

        public InflationRateCalculation getRateCalculation()
        Gets the inflation rate calculation.

        The reference index is interpolated index or monthly index. Real coupons are represented by gearing in the calculation. The price index value at the start of the bond is represented by firstIndexValue in the calculation.

        Returns:
        the value of the property, not null
      • getDayCount

        public DayCount getDayCount()
        Gets the day count convention applicable.

        The conversion from dates to a numerical value is made based on this day count. For the inflation-indexed bond, the day count convention is used to compute accrued interest.

        Note that the year fraction of a coupon payment is computed based on the unadjusted dates in the schedule.

        Returns:
        the value of the property, not null
      • getYieldConvention

        public CapitalIndexedBondYieldConvention getYieldConvention()
        Gets yield convention.

        The convention defines how to convert from yield to price and inversely.

        Returns:
        the value of the property, not null
      • getLegalEntityId

        public LegalEntityId getLegalEntityId()
        Gets the legal entity identifier.

        This identifier is used for the legal entity that issues the bond.

        Returns:
        the value of the property, not null
      • getSettlementDateOffset

        public DaysAdjustment getSettlementDateOffset()
        Gets the number of days between valuation date and settlement date.

        This is used to compute clean price. The clean price is the relative price to be paid at the standard settlement date in exchange for the bond.

        Returns:
        the value of the property, not null
      • getExCouponPeriod

        public DaysAdjustment getExCouponPeriod()
        Gets ex-coupon period.

        Some bonds trade ex-coupons before the coupon payment. The coupon is paid not to the owner of the bond on the payment date but to the owner of the bond on the detachment date. The difference between the two is the ex-coupon period (measured in days).

        Because the detachment date is not after the coupon date, the number of days stored in this field should be zero or negative.

        Returns:
        the value of the property, not null
      • toBuilder

        public CapitalIndexedBond.Builder toBuilder()
        Returns a builder that allows this bean to be mutated.
        Returns:
        the mutable builder, not null
      • equals

        public boolean equals​(java.lang.Object obj)
        Overrides:
        equals in class java.lang.Object
      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class java.lang.Object
      • toString

        public java.lang.String toString()
        Overrides:
        toString in class java.lang.Object