Package com.opengamma.strata.product.cms

Class CmsLeg

  • All Implemented Interfaces:
    Resolvable<ResolvedCmsLeg>, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
    public final class CmsLeg
extends Object
implements Resolvable<ResolvedCmsLeg>, org.joda.beans.ImmutableBean, Serializable
    A CMS leg of a constant maturity swap (CMS) product.

    This defines a single CMS leg for CMS or CMS cap/floor. The CMS leg of CMS periodically pays coupons based on swap rate, which is the observed value of a swap index. A CMS cap/floor instruments are defined as a set of call/put options on successive swap rates, creating CMS caplets/floorlets.

    The periodic payments in the resolved leg are CMS coupons, CMS caplets or CMS floorlets depending on the data in this leg. The capSchedule field is used to represent strike values of individual caplets, whereas floorSchedule is used to represent strike values of individual floorlets. Thus at least one of capSchedule and floorSchedule must be empty. If both the fields are absent, the periodic payments in this leg are CMS coupons.

    See Also:
    Serialized Form

    • Method Detail

      • getStartDate

        public AdjustableDate getStartDate()
        Gets the accrual start date of the leg.

        This is the first accrual date in the leg, often known as the effective date.

        Returns:
        the start date of the leg

      • getEndDate

        public AdjustableDate getEndDate()
        Gets the accrual end date of the leg.

        This is the last accrual date in the leg, often known as the termination date.

        Returns:
        the end date of the leg

      • getUnderlyingIndex

        public RateIndex getUnderlyingIndex()
        Gets the underlying Rate index that the leg is based on.
        Returns:
        the index

      • resolve

        public ResolvedCmsLeg 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<ResolvedCmsLeg>
        Parameters:
        refData - the reference data to use when resolving
        Returns:
        the resolved instance

      • meta

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

      • builder

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

      • metaBean

        public CmsLeg.Meta metaBean()
        Specified by:
        metaBean in interface org.joda.beans.Bean

      • getPayReceive

        public PayReceive getPayReceive()
        Gets whether the leg is pay or receive.

        A value of 'Pay' implies that the resulting amount is paid to the counterparty. A value of 'Receive' implies that the resulting amount is received from the counterparty. Note that negative swap rates can result in a payment in the opposite direction to that implied by this indicator.

        Returns:
        the value of the property, not null

      • getPaymentSchedule

        public PeriodicSchedule getPaymentSchedule()
        Gets the periodic payment schedule.

        This is used to define the periodic payment periods. These are used directly or indirectly to determine other dates in the leg.

        Returns:
        the value of the property, not null

      • getPaymentDateOffset

        public DaysAdjustment getPaymentDateOffset()
        Gets the offset of payment from the base calculation period date.

        The offset is applied to the adjusted end date of each payment period. Offset can be based on calendar days or business days.

        When building, this will default to the payment offset of the swap convention in the swap index if not specified.

        Returns:
        the value of the property, not null

      • getCurrency

        public Currency getCurrency()
        Gets the currency of the leg associated with the notional.

        This is the currency of the leg and the currency that swap rate calculation is made in. The amounts of the notional are expressed in terms of this currency.

        Returns:
        the value of the property, not null

      • getNotional

        public ValueSchedule getNotional()
        Gets the notional amount, must be non-negative.

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

        Returns:
        the value of the property, not null

      • getIndex

        public SwapIndex getIndex()
        Gets the swap index.

        The swap rate to be paid is the observed value of this index.

        Returns:
        the value of the property, not null

      • getFixingRelativeTo

        public FixingRelativeTo getFixingRelativeTo()
        Gets the base date that each fixing is made relative to, defaulted to 'PeriodStart'.

        The fixing date is relative to either the start or end of each period.

        Returns:
        the value of the property, not null

      • getFixingDateOffset

        public DaysAdjustment getFixingDateOffset()
        Gets the offset of the fixing date from each adjusted reset date.

        The offset is applied to the base date specified by fixingRelativeTo. The offset is typically a negative number of business days.

        When building, this will default to the fixing offset of the swap convention in the swap index if not specified.

        Returns:
        the value of the property, not null

      • getDayCount

        public DayCount getDayCount()
        Gets the day count convention.

        This is used to convert dates to a numerical value.

        When building, this will default to the day count of the swap convention in the swap index if not specified.

        Returns:
        the value of the property, not null

      • getCapSchedule

        public Optional<ValueSchedule> getCapSchedule()
        Gets the cap schedule, optional.

        This defines the strike value of a cap as an initial value and a list of adjustments. Thus individual caplets may have different strike values. The cap rate is only allowed to change at payment period boundaries.

        If the product is not a cap, the cap schedule will be absent.

        Returns:
        the optional value of the property, not null

      • getFloorSchedule

        public Optional<ValueSchedule> getFloorSchedule()
        Gets the floor schedule, optional.

        This defines the strike value of a floor as an initial value and a list of adjustments. Thus individual floorlets may have different strike values. The floor rate is only allowed to change at payment period boundaries.

        If the product is not a floor, the floor schedule will be absent.

        Returns:
        the optional value of the property, not null

      • toBuilder

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

      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class Object