Class RatePeriodSwapLeg

  • All Implemented Interfaces:
    Resolvable<ResolvedSwapLeg>, SwapLeg, java.io.Serializable, Bean, ImmutableBean

    public final class RatePeriodSwapLeg
    extends java.lang.Object
    implements SwapLeg, ImmutableBean, java.io.Serializable
    A rate swap leg defined using payment and accrual periods.

    This defines a single swap leg paying a rate, such as an interest rate. The rate may be fixed or floating, for examples see FixedRateComputation, IborRateComputation and OvernightCompoundedRateComputation.

    The swap is built up of one or more payment periods, each of which produces a single payment. Each payment period is made up of one or more accrual periods. If there is more than one accrual period in a payment period then compounding may apply. See RatePaymentPeriod and RateAccrualPeriod for more details.

    This class allows the entire structure of the payment and accrual periods to be defined. This permits weird and wonderful swaps to be created, however it is important to note that there is no ability to adjust the accrual period dates if the holiday calendar changes. Provision is provided to adjust the payment dates if the holiday calendar changes. Note however that it is intended that the dates on RatePaymentPeriod and RateAccrualPeriod are already adjusted to be valid business days.

    In general, it is recommended to use the parameterized RateCalculationSwapLeg instead of this class.

    See Also:
    Serialized Form
    • Method Detail

      • getStartDate

        public AdjustableDate getStartDate()
        Description copied from interface: SwapLeg
        Gets the accrual start date of the leg.

        This is the first accrual date in the leg, often known as the effective date.

        Defined as the effective date by the 2006 ISDA definitions article 3.2.

        Specified by:
        getStartDate in interface SwapLeg
        Returns:
        the start date of the leg
      • getEndDate

        public AdjustableDate getEndDate()
        Description copied from interface: SwapLeg
        Gets the accrual end date of the leg.

        This is the last accrual date in the leg, often known as the termination date.

        Defined as the termination date by the 2006 ISDA definitions article 3.3.

        Specified by:
        getEndDate in interface SwapLeg
        Returns:
        the end date of the leg
      • getCurrency

        public Currency getCurrency()
        Description copied from interface: SwapLeg
        Gets the payment currency of the leg.

        A swap leg has a single payment currency.

        Specified by:
        getCurrency in interface SwapLeg
        Returns:
        the payment currency of the leg
      • collectCurrencies

        public void collectCurrencies​(com.google.common.collect.ImmutableSet.Builder<Currency> builder)
        Description copied from interface: SwapLeg
        Collects all the currencies referred to by this leg.

        This collects the complete set of currencies for the leg, not just the payment currencies.

        Specified by:
        collectCurrencies in interface SwapLeg
        Parameters:
        builder - the builder to populate
      • collectIndices

        public void collectIndices​(com.google.common.collect.ImmutableSet.Builder<Index> builder)
        Description copied from interface: SwapLeg
        Collects all the indices referred to by this leg.

        A swap leg will typically refer to at least one index, such as 'GBP-LIBOR-3M'. Each index that is referred to must be added to the specified builder.

        Specified by:
        collectIndices in interface SwapLeg
        Parameters:
        builder - the builder to populate
      • meta

        public static RatePeriodSwapLeg.Meta meta()
        The meta-bean for RatePeriodSwapLeg.
        Returns:
        the meta-bean, not null
      • builder

        public static RatePeriodSwapLeg.Builder builder()
        Returns a builder used to create an instance of the bean.
        Returns:
        the builder, not null
      • getType

        public SwapLegType getType()
        Gets the type of the leg, such as Fixed or Ibor.

        This provides a high level categorization of the swap leg.

        Specified by:
        getType in interface SwapLeg
        Returns:
        the value of the property, not null
      • getPayReceive

        public PayReceive getPayReceive()
        Gets whether the leg is pay or receive.

        A value of 'Pay' implies that the resulting amount is paid to the counterparty. A value of 'Receive' implies that the resulting amount is received from the counterparty. Note that negative interest rates can result in a payment in the opposite direction to that implied by this indicator.

        The value of this flag should match the signs of the payment period notionals.

        Specified by:
        getPayReceive in interface SwapLeg
        Returns:
        the value of the property, not null
      • getPaymentPeriods

        public com.google.common.collect.ImmutableList<RatePaymentPeriod> getPaymentPeriods()
        Gets the payment periods that combine to form the swap leg.

        Each payment period represents part of the life-time of the leg. In most cases, the periods do not overlap. However, since each payment period is essentially independent the data model allows overlapping periods.

        The start date and end date of the leg are determined from the first and last period. As such, the periods should be sorted.

        Returns:
        the value of the property, not empty
      • isInitialExchange

        public boolean isInitialExchange()
        Gets 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.

        This flag controls whether a notional exchange object is created when the leg is resolved. It covers an exchange on the initial payment date of the swap leg, treated as the start date. If there is an FX reset, then this flag is ignored, see intermediateExchange. If there is no FX reset and the flag is true, then a NotionalExchange object will be created.

        Returns:
        the value of the property
      • isIntermediateExchange

        public boolean isIntermediateExchange()
        Gets 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.

        This flag controls whether a notional exchange object is created when the leg is resolved. It covers an exchange on each intermediate payment date of the swap leg. If set to true, the behavior depends on whether an FX reset payment period is defined. If there is an FX reset, then an FxResetNotionalExchange object will be created. If there is no FX reset, then a NotionalExchange object will be created.

        Returns:
        the value of the property
      • isFinalExchange

        public boolean isFinalExchange()
        Gets 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.

        This flag controls whether a notional exchange object is created when the leg is resolved. It covers an exchange on the final payment date of the swap leg. If there is an FX reset, then this flag is ignored, see intermediateExchange. If there is no FX reset and the flag is true, then a NotionalExchange object will be created.

        Returns:
        the value of the property
      • getPaymentEvents

        public com.google.common.collect.ImmutableList<SwapPaymentEvent> getPaymentEvents()
        Gets the additional payment events that are associated with the swap leg.

        Payment events include fees. Notional exchange may also be specified here instead of via the dedicated fields.

        Returns:
        the value of the property, not null
      • getPaymentBusinessDayAdjustment

        public BusinessDayAdjustment getPaymentBusinessDayAdjustment()
        Gets the business day date adjustment to be applied to each payment date, default is to apply no adjustment.

        The business day adjustment is applied to period, exchange and event payment dates.

        Returns:
        the value of the property, not null
      • toBuilder

        public RatePeriodSwapLeg.Builder toBuilder()
        Returns a builder that allows this bean to be mutated.
        Returns:
        the mutable builder, not null
      • equals

        public boolean equals​(java.lang.Object obj)
        Overrides:
        equals in class java.lang.Object
      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class java.lang.Object
      • toString

        public java.lang.String toString()
        Overrides:
        toString in class java.lang.Object