Class ImmutableIborFixingDepositConvention.Builder

    • Method Detail

      • index

        public ImmutableIborFixingDepositConvention.Builder index​(IborIndex index)
        Sets 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'.

        Parameters:
        index - the new value, not null
        Returns:
        this, for chaining, not null
      • name

        public ImmutableIborFixingDepositConvention.Builder name​(java.lang.String name)
        Sets the convention name, such as 'GBP-LIBOR-3M', optional with defaulting getter.

        This will default to the name of the index if not specified.

        Parameters:
        name - the new value
        Returns:
        this, for chaining, not null
      • currency

        public ImmutableIborFixingDepositConvention.Builder currency​(Currency currency)
        Sets the primary currency, optional with defaulting getter.

        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.

        This will default to the currency of the index if not specified.

        Parameters:
        currency - the new value
        Returns:
        this, for chaining, not null
      • dayCount

        public ImmutableIborFixingDepositConvention.Builder dayCount​(DayCount dayCount)
        Sets the day count convention applicable, optional with defaulting getter.

        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.

        This will default to the day count of the index if not specified.

        Parameters:
        dayCount - the new value
        Returns:
        this, for chaining, not null
      • spotDateOffset

        public ImmutableIborFixingDepositConvention.Builder spotDateOffset​(DaysAdjustment spotDateOffset)
        Sets the offset of the spot value date from the trade date, optional with defaulting getter.

        The offset is applied to the trade date and is typically plus 2 business days. The start date of the deposit is equal to the spot date and the end date of the deposit is relative to the start date.

        This will default to the effective date offset of the index if not specified.

        Parameters:
        spotDateOffset - the new value
        Returns:
        this, for chaining, not null
      • businessDayAdjustment

        public ImmutableIborFixingDepositConvention.Builder businessDayAdjustment​(BusinessDayAdjustment businessDayAdjustment)
        Sets the business day adjustment to apply to the start and end date, optional with defaulting getter.

        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.

        This will default to 'ModifiedFollowing' using the index fixing calendar if not specified.

        Parameters:
        businessDayAdjustment - the new value
        Returns:
        this, for chaining, not null
      • fixingDateOffset

        public ImmutableIborFixingDepositConvention.Builder fixingDateOffset​(DaysAdjustment fixingDateOffset)
        Sets the offset of the fixing date from the start date, optional with defaulting getter.

        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.

        This will default to the fixing date offset of the index if not specified.

        Parameters:
        fixingDateOffset - the new value
        Returns:
        this, for chaining, not null