## Class CmsPeriod

• All Implemented Interfaces:
Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class CmsPeriod
extends Object
implements org.joda.beans.ImmutableBean, Serializable
A period over which a CMS coupon or CMS caplet/floorlet payoff is paid.

This represents a single payment period within a CMS 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 SwapIndex.

The payment is a CMS coupon, CMS caplet or CMS floorlet. The pay-offs are, for a swap index on the fixingDate of 'S' and an year fraction 'a'
CMS Coupon: a * S
CMS Caplet: a * (S-K)^+ ; K=caplet
CMS Floorlet: a * (K-S)^+ ; K=floorlet

If caplet (floorlet) is not null, the payment is a caplet (floorlet). If both of caplet and floorlet are null, this class represents a CMS coupon payment. Thus at least one of the fields must be null.

A CmsPeriod 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.

Serialized Form
• ### Nested Class Summary

Nested Classes
Modifier and Type Class Description
static class  CmsPeriod.Builder
The bean-builder for CmsPeriod.
static class  CmsPeriod.Meta
The meta-bean for CmsPeriod.
• ### Method Summary

All Methods
Modifier and Type Method Description
static CmsPeriod.Builder builder()
Returns a builder used to create an instance of the bean.
boolean equals​(Object obj)
OptionalDouble getCaplet()
Gets the optional caplet strike.
CmsPeriodType getCmsPeriodType()
Obtains the type of the CMS period.
Currency getCurrency()
Gets the primary currency of the payment period.
DayCount getDayCount()
Gets the day count of the period.
LocalDate getEndDate()
Gets the end date of the payment period.
LocalDate getFixingDate()
Gets the date of the index fixing.
OptionalDouble getFloorlet()
Gets the optional floorlet strike.
SwapIndex getIndex()
Gets the swap index.
double getNotional()
Gets the notional amount, positive if receiving, negative if paying.
LocalDate getPaymentDate()
Gets the date that payment occurs.
LocalDate getStartDate()
Gets the start date of the payment period.
double getStrike()
Obtains the strike value.
LocalDate getUnadjustedEndDate()
LocalDate getUnadjustedStartDate()
ResolvedSwap getUnderlyingSwap()
Gets the underlying swap.
double getYearFraction()
Gets the year fraction that the accrual period represents.
int hashCode()
static CmsPeriod.Meta meta()
The meta-bean for CmsPeriod.
CmsPeriod.Meta metaBean()
CmsPeriod.Builder toBuilder()
Returns a builder that allows this bean to be mutated.
CmsPeriod toCouponEquivalent()
Return the CMS coupon equivalent to the period.
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

• #### getCmsPeriodType

public CmsPeriodType getCmsPeriodType()
Obtains the type of the CMS period.

The period type is caplet, floorlet or coupon.

Returns:
the CMS period type
• #### getStrike

public double getStrike()
Obtains the strike value.

If the CMS period type is coupon, 0 is returned.

Returns:
the strike value
• #### toCouponEquivalent

public CmsPeriod toCouponEquivalent()
Return the CMS coupon equivalent to the period.

For cap or floor the result is the coupon with the same dates and index but with no cap or floor strike.

Returns:
the CMS coupon
• #### meta

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

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

public CmsPeriod.Meta metaBean()
Specified by:
metaBean in interface org.joda.beans.Bean
• #### 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 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 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

public LocalDate getUnadjustedStartDate()

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

Returns:
the value of the property, not null

public LocalDate getUnadjustedEndDate()

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 LocalDate getPaymentDate()
Gets the date that payment occurs.

Returns:
the value of the property, not null
• #### getFixingDate

public LocalDate getFixingDate()
Gets the date of the index fixing.

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

public 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 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
• #### getDayCount

public DayCount getDayCount()
Gets the day count of the period.
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
• #### getUnderlyingSwap

public ResolvedSwap getUnderlyingSwap()
Gets the underlying swap.

The interest rate swap for which the swap rate is referred.

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

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