Interface FxSwapConvention

    • Method Detail

      • of

        static FxSwapConvention of​(java.lang.String uniqueName)
        Obtains an instance from the specified unique name.
        Parameters:
        uniqueName - the unique name
        Returns:
        the convention
        Throws:
        java.lang.IllegalArgumentException - if the name is not known
      • extendedEnum

        static ExtendedEnum<FxSwapConvention> extendedEnum()
        Gets the extended enum helper.

        This helper allows instances of the convention to be looked up. It also provides the complete set of available instances.

        Returns:
        the extended enum helper
      • getCurrencyPair

        CurrencyPair getCurrencyPair()
        Gets the currency pair of the convention.
        Returns:
        the currency pair
      • getSpotDateOffset

        DaysAdjustment getSpotDateOffset()
        Gets the offset of the spot value date from the trade date.

        The offset is applied to the trade date to find the start date. A typical value is "plus 2 business days".

        Returns:
        the spot date offset, not null
      • createTrade

        default FxSwapTrade createTrade​(java.time.LocalDate tradeDate,
                                        java.time.Period periodToNear,
                                        java.time.Period periodToFar,
                                        BuySell buySell,
                                        double notional,
                                        double nearFxRate,
                                        double farLegForwardPoints,
                                        ReferenceData refData)
        Creates a trade based on this convention.

        This returns a trade based on the specified periods. For example, a '3M x 6M' FX swap has a period from spot to the start date of 3 months and a period from spot to the end date of 6 months

        The notional is unsigned, with buy/sell determining the direction of the trade. If buying the FX Swap, the amount in the first currency of the pair is received in the near leg and paid in the far leg, while the second currency is paid in the near leg and received in the far leg.

        Parameters:
        tradeDate - the date of the trade
        periodToNear - the period between the spot date and the near date
        periodToFar - the period between the spot date and the far date
        buySell - the buy/sell flag
        notional - the notional amount, in the first currency of the currency pair
        nearFxRate - the FX rate for the near leg
        farLegForwardPoints - the FX points to be added to the FX rate at the far leg
        refData - the reference data, used to resolve the trade dates
        Returns:
        the trade
        Throws:
        ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data
      • toTrade

        default FxSwapTrade toTrade​(java.time.LocalDate tradeDate,
                                    java.time.LocalDate startDate,
                                    java.time.LocalDate endDate,
                                    BuySell buySell,
                                    double notional,
                                    double nearFxRate,
                                    double farLegForwardPoints)
        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 FX Swap, the amount in the first currency of the pair is received in the near leg and paid in the far leg, while the second currency is paid in the near leg and received in the far leg.

        Parameters:
        tradeDate - the date of 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
        nearFxRate - the FX rate for the near leg
        farLegForwardPoints - the FX points to be added to the FX rate at the far leg
        Returns:
        the trade
      • toTrade

        FxSwapTrade toTrade​(TradeInfo tradeInfo,
                            java.time.LocalDate startDate,
                            java.time.LocalDate endDate,
                            BuySell buySell,
                            double notional,
                            double nearFxRate,
                            double farLegForwardPoints)
        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 FX Swap, the amount in the first currency of the pair is received in the near leg and paid in the far leg, while the second currency is paid in the near leg and received in the far leg.

        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
        nearFxRate - the FX rate for the near leg
        farLegForwardPoints - the FX points to be added to the FX rate at the far leg
        Returns:
        the trade
      • calculateSpotDateFromTradeDate

        default java.time.LocalDate calculateSpotDateFromTradeDate​(java.time.LocalDate tradeDate,
                                                                   ReferenceData refData)
        Calculates the spot date from the trade date.
        Parameters:
        tradeDate - the trade date
        refData - the reference data, used to resolve the date
        Returns:
        the spot date
        Throws:
        ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data
      • getName

        java.lang.String getName()
        Gets the name that uniquely identifies this convention.

        This name is used in serialization and can be parsed using of(String).

        Specified by:
        getName in interface Named
        Returns:
        the unique name