Interface FixedFloatSwapTemplate

  • 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.

    • Method Detail

      • getConvention

        FixedFloatSwapConvention getConvention()
        The market convention of the associated swap.
        Returns:
        the swap convention
      • getTenor

        Tenor getTenor()
        The associated swap tenor.
        Returns:
        the tenor
      • 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 trade
        buySell - the buy/sell flag
        notional - the notional amount, in the payment currency of the template
        fixedRate - the fixed rate, typically derived from the market
        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