Class CmsPeriod

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

    public final class CmsPeriod
    extends java.lang.Object
    implements org.joda.beans.ImmutableBean, java.io.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.

    See Also:
    Serialized Form
    • 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 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
      • getFixingDate

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

        This is an adjusted date with any business day applied.

        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
      • 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​(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