Class NotionalSchedule.Builder

    • Method Detail

      • currency

        public NotionalSchedule.Builder currency​(Currency currency)
        Sets the currency of the swap leg associated with the notional.

        This is the currency of the swap leg and the currency that interest calculation is made in.

        The amounts of the notional are usually expressed in terms of this currency, however they can be converted from amounts in a different currency. See the optional fxReset property.

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

        public NotionalSchedule.Builder fxReset​(FxResetCalculation fxReset)
        Sets the FX reset definition, optional.

        This property is used when the defined amount of the notional is specified in a currency other than the currency of the swap leg. When this occurs, the notional amount has to be converted using an FX rate to the swap leg currency. This conversion occurs at each payment period boundary and usually corresponds to an actual exchange of money between the counterparties.

        When building the notional schedule, if an FxResetCalculation is present, then at least one of the notional exchange flags should be set to true. If all notional exchange flags are false then an IllegalArgumentException is thrown.

        Parameters:
        fxReset - the new value
        Returns:
        this, for chaining, not null
      • amount

        public NotionalSchedule.Builder amount​(ValueSchedule amount)
        Sets the notional amount.

        This defines the notional as an initial amount and a list of adjustments. The notional expressed here is intended to always be positive.

        The notional is only allowed to change at payment period boundaries. As such, the ValueSchedule steps are defined relative to the payment schedule.

        Parameters:
        amount - the new value, not null
        Returns:
        this, for chaining, not null
      • initialExchange

        public NotionalSchedule.Builder initialExchange​(boolean initialExchange)
        Sets the flag indicating whether to exchange the initial notional.

        Setting this to true indicates that the notional is transferred at the start of the trade. This should typically be set to true in the case of an FX reset swap, or one with a varying notional.

        Parameters:
        initialExchange - the new value
        Returns:
        this, for chaining, not null
      • intermediateExchange

        public NotionalSchedule.Builder intermediateExchange​(boolean intermediateExchange)
        Sets the flag indicating whether to exchange the differences in the notional during the lifetime of the swap.

        Setting this to true indicates that the notional is transferred when it changes during the trade. This should typically be set to true in the case of an FX reset swap, or one with a varying notional.

        Parameters:
        intermediateExchange - the new value
        Returns:
        this, for chaining, not null
      • finalExchange

        public NotionalSchedule.Builder finalExchange​(boolean finalExchange)
        Sets the flag indicating whether to exchange the final notional.

        Setting this to true indicates that the notional is transferred at the end of the trade. This should typically be set to true in the case of an FX reset swap, or one with a varying notional.

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