Interface FixedFloatSwapTemplate
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- All Superinterfaces:
TradeTemplate
- All Known Implementing Classes:
FixedIborSwapTemplate
,FixedOvernightSwapTemplate
public interface FixedFloatSwapTemplate extends TradeTemplate
A template for creating Fixed-Float swap trades.This defines almost all the data necessary to create a Fixed-Float single currency
SwapTrade
. The trade date, notional and fixed rate are required to complete the template and create the trade. As such, it is often possible to get a market price for a trade based on the template. The market price is typically quoted as a bid/ask on the fixed rate.
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Method Summary
All Methods Instance Methods Abstract Methods Modifier and Type Method Description SwapTrade
createTrade(LocalDate tradeDate, BuySell buySell, double notional, double fixedRate, ReferenceData refData)
Creates a trade based on this template.FixedFloatSwapConvention
getConvention()
The market convention of the associated swap.Tenor
getTenor()
The associated swap tenor.
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Method Detail
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getConvention
FixedFloatSwapConvention getConvention()
The market convention of the associated swap.- Returns:
- the swap convention
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getTenor
Tenor getTenor()
The associated swap tenor.- Returns:
- the tenor
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createTrade
SwapTrade createTrade(LocalDate tradeDate, BuySell buySell, double notional, double fixedRate, ReferenceData refData)
Creates a trade based on this template.This returns a trade based on the specified trade date.
The notional is unsigned, with buy/sell determining the direction of the trade. If buying the swap, the floating rate is received from the counterparty, with the fixed rate being paid. If selling the swap, the floating rate is paid to the counterparty, with the fixed rate being received.
- Parameters:
tradeDate
- the date of the tradebuySell
- the buy/sell flagnotional
- the notional amount, in the payment currency of the templatefixedRate
- the fixed rate, typically derived from the marketrefData
- the reference data, used to resolve the trade dates- Returns:
- the trade
- Throws:
ReferenceDataNotFoundException
- if an identifier cannot be resolved in the reference data
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