Class ImmutableFraConvention.Builder

    • Method Detail

      • index

        public ImmutableFraConvention.Builder index​(IborIndex index)
        Sets the Ibor index.

        The floating rate to be paid 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 ImmutableFraConvention.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 ImmutableFraConvention.Builder currency​(Currency currency)
        Sets the primary currency, optional with defaulting getter.

        This is the currency of the FRA 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 ImmutableFraConvention.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 ImmutableFraConvention.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 and end date of the FRA term are relative to the spot 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 ImmutableFraConvention.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 ImmutableFraConvention.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
      • paymentDateOffset

        public ImmutableFraConvention.Builder paymentDateOffset​(DaysAdjustment paymentDateOffset)
        Sets the offset of the payment date from the start date, optional with defaulting getter.

        Defines the offset from the start date to the payment date. In most cases, the payment date is the same as the start date, so the default of zero is appropriate.

        This will default to zero if not specified.

        Parameters:
        paymentDateOffset - the new value
        Returns:
        this, for chaining, not null
      • discounting

        public ImmutableFraConvention.Builder discounting​(FraDiscountingMethod discounting)
        Sets the method to use for discounting, optional with defaulting getter.

        There are different approaches FRA pricing in the area of discounting. This method specifies the approach for this FRA.

        This will default 'AFMA' if the index has the currency 'AUD' or 'NZD' and to 'ISDA' otherwise.

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