Class IborFixingDeposit

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

    public final class IborFixingDeposit
    extends java.lang.Object
    implements Product, Resolvable<ResolvedIborFixingDeposit>, ImmutableBean, java.io.Serializable
    An Ibor fixing deposit.

    An Ibor fixing deposit is a fictitious financial instrument that provides a floating rate of interest on notional amount for a specific term, which is effectively an exchange of a fixed rate and a floating rate based on an Ibor index on the term end date.

    For example, an Ibor fixing deposit involves the exchange of the difference between the fixed rate of 1% and the 'GBP-LIBOR-3M' rate for the principal in 3 months time.

    See Also:
    Serialized Form
    • Method Detail

      • allCurrencies

        public com.google.common.collect.ImmutableSet<Currency> allCurrencies()
        Description copied from interface: Product
        Returns the set of currencies the product refers to.

        This returns the complete set of currencies, not just the payment currencies. For example, the sets will differ when one of the currencies is non-deliverable.

        Specified by:
        allCurrencies in interface Product
        Returns:
        the set of currencies the product refers to
      • resolve

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

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

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

        public BuySell getBuySell()
        Gets whether the Ibor fixing deposit is 'Buy' or 'Sell'.

        A value of 'Buy' implies that the floating rate is paid to the counterparty, with the fixed rate being received. A value of 'Sell' implies that the floating rate is received from the counterparty, with the fixed rate being paid.

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

        public Currency getCurrency()
        Gets the primary currency, defaulted to the currency of the index.

        This is the currency of the deposit and the currency that payment is made in. The data model permits this currency to differ from that of the index, however the two are typically the same.

        When building, this will default to the currency of the index if not specified.

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

        public double getNotional()
        Gets the notional amount.

        The notional expressed here must be non-negative. 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 deposit.

        Interest accrues from this date. This date is typically set to be a valid business day. Optionally, the businessDayAdjustment property may be set to provide a rule for adjustment.

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

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

        Interest accrues until this date. This date is typically set to be a valid business day. Optionally, the businessDayAdjustment property may be set to provide a rule for adjustment. This date must be after the start date.

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

        public java.util.Optional<BusinessDayAdjustment> getBusinessDayAdjustment()
        Gets the business day adjustment to apply to the start and end date, optional.

        The start and end date are typically defined as valid business days and thus do not need to be adjusted. If this optional property is present, then the start and end date will be adjusted as defined here.

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

        public IborIndex getIndex()
        Gets the Ibor index.

        The floating rate to be paid or received is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'.

        See buySell to determine whether this rate is paid or received.

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

        public DaysAdjustment getFixingDateOffset()
        Gets the offset of the fixing date from the start date.

        The offset is applied to the start date and is typically minus 2 business days. The data model permits the offset to differ from that of the index, however the two are typically the same.

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

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

        public DayCount getDayCount()
        Gets the day count convention applicable, defaulted to the day count of the index.

        This is used to convert dates to a numerical value. The data model permits the day count to differ from that of the index, however the two are typically the same.

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

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

        public double getFixedRate()
        Gets the fixed interest rate to be paid. A 5% rate will be expressed as 0.05.
        Returns:
        the value of the property
      • toBuilder

        public IborFixingDeposit.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