Package com.opengamma.strata.product.deposit.type

Class ImmutableTermDepositConvention

java.lang.Object

com.opengamma.strata.product.deposit.type.ImmutableTermDepositConvention

All Implemented Interfaces:

Named, TermDepositConvention, TradeConvention, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class ImmutableTermDepositConvention
extends Object
implements TermDepositConvention, org.joda.beans.ImmutableBean, Serializable

A market convention for term deposit trades.

This defines the market convention for a term deposit.

The convention is defined by three dates.

• Trade date, the date that the trade is agreed
• Start date or spot date, the date on which the deposit starts, typically 2 business days after the trade date
• End date, the date on which the deposit ends, typically a number of months after the start date

The period between the start date and the end date is specified by TermDepositTemplate, not by this convention.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	ImmutableTermDepositConvention.Builder	The bean-builder for ImmutableTermDepositConvention.
static class	ImmutableTermDepositConvention.Meta	The meta-bean for ImmutableTermDepositConvention.

Method Summary

Modifier and Type	Method	Description
static ImmutableTermDepositConvention.Builder	builder()	Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
BusinessDayAdjustment	getBusinessDayAdjustment()	Gets the business day adjustment to apply to the start and end date.
Currency	getCurrency()	Gets the primary currency.
DayCount	getDayCount()	Gets the day count convention.
String	getName()	Gets the convention name, such as 'GBP-Deposit-ON'.
DaysAdjustment	getSpotDateOffset()	Gets the offset of the spot value date from the trade date.
int	hashCode()
static ImmutableTermDepositConvention.Meta	meta()	The meta-bean for ImmutableTermDepositConvention.
ImmutableTermDepositConvention.Meta	metaBean()
static ImmutableTermDepositConvention	of(String name, Currency currency, BusinessDayAdjustment businessDayAdjustment, DayCount dayCount, DaysAdjustment spotDateOffset)	Obtains a convention based on the specified currency, business day adjustment, day count convention and spot date offset.
ImmutableTermDepositConvention.Builder	toBuilder()	Returns a builder that allows this bean to be mutated.
String	toString()
TermDepositTrade	toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double rate)	Creates a trade based on this convention.

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

Methods inherited from interface com.opengamma.strata.product.deposit.type.TermDepositConvention

calculateSpotDateFromTradeDate, createTrade, createTrade, toTrade

Method Detail

of

public static ImmutableTermDepositConvention of(String name,
                                                Currency currency,
                                                BusinessDayAdjustment businessDayAdjustment,
                                                DayCount dayCount,
                                                DaysAdjustment spotDateOffset)

Obtains a convention based on the specified currency, business day adjustment, day count convention and spot date offset.

Parameters:

name - the name of the convention, such as 'GBP-Deposit-ON'

currency - the currency, in which the payments are made

businessDayAdjustment - the business day adjustment to apply to the start and end date

dayCount - the day count convention, used to convert dates to a numerical value

spotDateOffset - the offset of the spot value date from the trade date

Returns:

the convention

toTrade

public TermDepositTrade toTrade(TradeInfo tradeInfo,
                                LocalDate startDate,
                                LocalDate endDate,
                                BuySell buySell,
                                double notional,
                                double rate)

Description copied from interface: TermDepositConvention

Creates a trade based on this convention.

This returns a trade based on the specified dates. The notional is unsigned, with buy/sell determining the direction of the trade. If buying the term deposit, the principal is paid at the start date and the principal plus interest is received at the end date. If selling the term deposit, the principal is received at the start date and the principal plus interest is paid at the end date.

Specified by:

toTrade in interface TermDepositConvention

Parameters:

tradeInfo - additional information about the trade

startDate - the start date

endDate - the end date

buySell - the buy/sell flag

notional - the notional amount, in the payment currency of the template

rate - the fixed rate, typically derived from the market

Returns:

the trade

toString

public String toString()

Overrides:

toString in class Object

meta

public static ImmutableTermDepositConvention.Meta meta()

The meta-bean for ImmutableTermDepositConvention.

Returns:

the meta-bean, not null

builder

public static ImmutableTermDepositConvention.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public ImmutableTermDepositConvention.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getCurrency

public Currency getCurrency()

Gets the primary currency.

This is the currency of the term deposit and the currency that payment is made in.

Specified by:

getCurrency in interface TermDepositConvention

Returns:

the value of the property, not null

getName

public String getName()

Gets the convention name, such as 'GBP-Deposit-ON'.

Specified by:

getName in interface Named

Specified by:

getName in interface TermDepositConvention

Returns:

the value of the property, not null

getBusinessDayAdjustment

public BusinessDayAdjustment getBusinessDayAdjustment()

Gets the business day adjustment to apply to the start and end date.

The start and end date will be adjusted as defined here.

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.

Returns:

the value of the property, not null

getSpotDateOffset

public DaysAdjustment getSpotDateOffset()

Gets the offset of the spot value date from the trade date.

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

Specified by:

getSpotDateOffset in interface TermDepositConvention

Returns:

the value of the property, not null

toBuilder

public ImmutableTermDepositConvention.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