Class IborCapletFloorletPeriod

  • All Implemented Interfaces:
    java.io.Serializable, Bean, ImmutableBean

    public final class IborCapletFloorletPeriod
    extends java.lang.Object
    implements ImmutableBean, java.io.Serializable
    A period over which an Ibor caplet/floorlet payoff is paid.

    This represents a single payment period within an Ibor cap/floor leg. This class specifies the data necessary to calculate the value of the period. The payment period contains the unique accrual period. The value of the period is based on the observed value of IborRateComputation.

    The pay-offs are, for an Ibor index on the fixingDate of 'I' and an year fraction 'a'
    Ibor caplet: a * (I-K)^+ ; K=caplet
    Ibor floorlet: a * (K-I)^+ ; K=floorlet

    The payment is a caplet or floorlet. If caplet (floorlet) is not null, the payment is a caplet (floorlet). Thus one of the two fields must be null.

    If start date and end date of the period, and payment date are not specified, a standard caplet/floorlet is created based on the data and convention in rateComputation, i.e., the Ibor is fixed in advance and paid in arrears.

    An IborCapletFloorletPeriod is 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.

    See Also:
    Serialized Form
    • Method Detail

      • getIndex

        public IborIndex getIndex()
        Gets the Ibor index.
        Returns:
        the ibor index
      • getFixingDate

        public java.time.LocalDate getFixingDate()
        Gets the fixing date of the index.
        Returns:
        the fixing date
      • getFixingDateTime

        public java.time.ZonedDateTime getFixingDateTime()
        Gets the fixing date-time of the index.
        Returns:
        the fixing date-time
      • getStrike

        public double getStrike()
        Gets the strike value.
        Returns:
        the strike
      • getPutCall

        public PutCall getPutCall()
        Gets put or call.

        CALL is returned for a caplet, whereas PUT is returned for a floorlet.

        Returns:
        put or call
      • getCurrency

        public Currency getCurrency()
        Gets the primary currency of the payment period.

        The amounts of the notional are usually expressed in terms of this currency, however they can be converted from amounts in a different currency.

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

        public double getNotional()
        Gets the notional amount, positive if receiving, negative if paying.

        The notional amount applicable during the period. The currency of the notional is specified by currency.

        Returns:
        the value of the property
      • getStartDate

        public java.time.LocalDate getStartDate()
        Gets the start date of the payment period.

        This is the first date in the period. If the schedule adjusts for business days, then this is the adjusted date.

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

        public java.time.LocalDate getEndDate()
        Gets the end date of the payment period.

        This is the last date in the period. If the schedule adjusts for business days, then this is the adjusted date.

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

        public java.time.LocalDate getUnadjustedStartDate()
        Gets the unadjusted start date.

        The start date before any business day adjustment is applied.

        When building, this will default to the start date if not specified.

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

        public java.time.LocalDate getUnadjustedEndDate()
        Gets the unadjusted end date.

        The end date before any business day adjustment is applied.

        When building, this will default to the end date if not specified.

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

        public double getYearFraction()
        Gets the year fraction that the accrual period represents.

        The value is usually calculated using a DayCount which may be different to that of the index. Typically the value will be close to 1 for one year and close to 0.5 for six months. The fraction may be greater than 1, but not less than 0.

        Returns:
        the value of the property
      • getPaymentDate

        public java.time.LocalDate getPaymentDate()
        Gets the date that payment occurs.

        If the schedule adjusts for business days, then this is the adjusted date.

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

        public java.util.OptionalDouble getCaplet()
        Gets the optional caplet strike.

        This defines the strike value of a caplet.

        If the period is not a caplet, this field will be absent.

        Returns:
        the optional value of the property, not null
      • getFloorlet

        public java.util.OptionalDouble getFloorlet()
        Gets the optional floorlet strike.

        This defines the strike value of a floorlet.

        If the period is not a floorlet, this field will be absent.

        Returns:
        the optional value of the property, not null
      • getIborRate

        public IborRateComputation getIborRate()
        Gets the rate to be observed.

        The value of the period is based on this Ibor rate. For example, it might be a well known market index such as 'GBP-LIBOR-3M'.

        Returns:
        the value of the property, 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