Class ResolvedSwap

  • All Implemented Interfaces:
    ResolvedProduct, java.io.Serializable, Bean, ImmutableBean

    public final class ResolvedSwap
    extends java.lang.Object
    implements ResolvedProduct, ImmutableBean, java.io.Serializable
    A rate swap, resolved for pricing.

    This is the resolved form of Swap and is an input to the pricers. Applications will typically create a ResolvedSwap from a Swap using Swap.resolve(ReferenceData).

    A rate swap is a financial instrument that represents the exchange of streams of payments. The swap is formed of legs, where each leg typically represents the obligations of the seller or buyer of the swap. In the simplest vanilla interest rate swap, there are two legs, one with a fixed rate and the other a floating rate. Many other more complex swaps can also be represented.

    This class defines a swap as a set of legs, each of which contains a list of payment periods. Each payment period typically consists of one or more accrual periods. Additional payment events may also be specified.

    Any combination of legs, payments and accrual periods is supported in the data model, however there is no guarantee that exotic combinations will price sensibly.

    A ResolvedSwap is bound to data that changes over time, such as holiday calendars. If the data changes, such as the addition of a new holiday, the resolved form will not be updated. Care must be taken when placing the resolved form in a cache or persistence layer.

    See Also:
    Serialized Form
    • Method Detail

      • of

        public static ResolvedSwap of​(ResolvedSwapLeg... legs)
        Creates a swap from one or more swap legs.

        While most swaps have two legs, other combinations are possible.

        Parameters:
        legs - the array of legs
        Returns:
        the swap
      • getLegs

        public com.google.common.collect.ImmutableList<ResolvedSwapLeg> getLegs​(SwapLegType type)
        Gets the legs of the swap with the specified type.

        This returns all the legs with the given type.

        Parameters:
        type - the type to find
        Returns:
        the matching legs of the swap
      • getLeg

        public java.util.Optional<ResolvedSwapLeg> getLeg​(PayReceive payReceive)
        Gets the first pay or receive leg of the swap.

        This returns the first pay or receive leg of the swap, empty if no matching leg.

        Parameters:
        payReceive - the pay or receive flag
        Returns:
        the first matching leg of the swap
      • getPayLeg

        public java.util.Optional<ResolvedSwapLeg> getPayLeg()
        Gets the first pay leg of the swap.

        This returns the first pay leg of the swap, empty if no pay leg.

        Returns:
        the first pay leg of the swap
      • getReceiveLeg

        public java.util.Optional<ResolvedSwapLeg> getReceiveLeg()
        Gets the first receive leg of the swap.

        This returns the first receive leg of the swap, empty if no receive leg.

        Returns:
        the first receive leg of the swap
      • getStartDate

        public java.time.LocalDate getStartDate()
        Gets the accrual start date of the swap.

        This is the earliest accrual date of the legs, often known as the effective date. This date has typically been adjusted to be a valid business day.

        Returns:
        the start date of the swap
      • getEndDate

        public java.time.LocalDate getEndDate()
        Gets the accrual end date of the swap.

        This is the latest accrual date of the legs, often known as the termination date. This date has typically been adjusted to be a valid business day.

        Returns:
        the end date of the swap
      • isCrossCurrency

        public boolean isCrossCurrency()
        Checks if this trade is cross-currency.

        A cross currency swap is defined as one with legs in two different currencies.

        Returns:
        true if cross currency
      • allPaymentCurrencies

        public com.google.common.collect.ImmutableSet<Currency> allPaymentCurrencies()
        Returns the set of payment currencies referred to by the swap.

        This returns the complete set of payment currencies for the swap. This will typically return one or two currencies.

        If there is an FX reset, then this set contains the currency of the payment, not the currency of the notional. Note that in many cases, the currency of the FX reset notional will be the currency of the other leg.

        Returns:
        the currencies
      • allIndices

        public com.google.common.collect.ImmutableSet<Index> allIndices()
        Returns the set of indices referred to by the swap.

        A swap will typically refer to at least one index, such as 'GBP-LIBOR-3M'. Calling this method will return the complete list of indices, including any associated with FX reset.

        Returns:
        the set of indices referred to by this swap
      • meta

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

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

        public com.google.common.collect.ImmutableList<ResolvedSwapLeg> getLegs()
        Gets the legs of the swap.

        A swap consists of one or more legs. The legs of a swap are essentially unordered, however it is more efficient and closer to user expectation to treat them as being ordered.

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

        public ResolvedSwap.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