Package com.opengamma.strata.product.swap.type

Class FixedOvernightSwapTemplate

java.lang.Object

com.opengamma.strata.product.swap.type.FixedOvernightSwapTemplate

All Implemented Interfaces:

FixedFloatSwapTemplate, TradeTemplate, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class FixedOvernightSwapTemplate
extends Object
implements FixedFloatSwapTemplate, org.joda.beans.ImmutableBean, Serializable

A template for creating Fixed-Overnight swap trades.

This defines almost all the data necessary to create a Fixed-Overnight 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.

The template references four dates.

• Trade date, the date that the trade is agreed
• Spot date, the base for date calculations, typically 2 business days after the trade date
• Start date, the date on which accrual starts
• End date, the date on which accrual ends

Some of these dates are specified by the convention embedded within this template.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	FixedOvernightSwapTemplate.Builder	The bean-builder for FixedOvernightSwapTemplate.
static class	FixedOvernightSwapTemplate.Meta	The meta-bean for FixedOvernightSwapTemplate.

Method Summary

Modifier and Type	Method	Description
static FixedOvernightSwapTemplate.Builder	builder()	Returns a builder used to create an instance of the bean.
SwapTrade	createTrade(LocalDate tradeDate, BuySell buySell, double notional, double fixedRate, ReferenceData refData)	Creates a trade based on this template.
boolean	equals(Object obj)
FixedOvernightSwapConvention	getConvention()	Gets the market convention of the swap.
Period	getPeriodToStart()	Gets the period between the spot value date and the start date.
Tenor	getTenor()	Gets the tenor of the swap.
int	hashCode()
static FixedOvernightSwapTemplate.Meta	meta()	The meta-bean for FixedOvernightSwapTemplate.
FixedOvernightSwapTemplate.Meta	metaBean()
static FixedOvernightSwapTemplate	of(Tenor tenor, FixedOvernightSwapConvention convention)	Obtains a template based on the specified tenor and convention.
static FixedOvernightSwapTemplate	of(Period periodToStart, Tenor tenor, FixedOvernightSwapConvention convention)	Obtains a template based on the specified period, tenor and convention.
FixedOvernightSwapTemplate.Builder	toBuilder()	Returns a builder that allows this bean to be mutated.
String	toString()

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static FixedOvernightSwapTemplate of(Tenor tenor,
                                            FixedOvernightSwapConvention convention)

Obtains a template based on the specified tenor and convention.

The swap will start on the spot date.

Parameters:

tenor - the tenor of the swap

convention - the market convention

Returns:

the template

of

public static FixedOvernightSwapTemplate of(Period periodToStart,
                                            Tenor tenor,
                                            FixedOvernightSwapConvention convention)

Obtains a template based on the specified period, tenor and convention.

The period from the spot date to the start date is specified.

Parameters:

periodToStart - the period between the spot date and the start date

tenor - the tenor of the swap

convention - the market convention

Returns:

the template

createTrade

public 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.

Specified by:

createTrade in interface FixedFloatSwapTemplate

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

meta

public static FixedOvernightSwapTemplate.Meta meta()

The meta-bean for FixedOvernightSwapTemplate.

Returns:

the meta-bean, not null

builder

public static FixedOvernightSwapTemplate.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public FixedOvernightSwapTemplate.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getPeriodToStart

public Period getPeriodToStart()

Gets the period between the spot value date and the start date.

This is often zero, but can be greater if the swap if forward starting. This must not be negative.

Returns:

the value of the property, not null

getTenor

public Tenor getTenor()

Gets the tenor of the swap.

This is the period from the first accrual date to the last accrual date.

Specified by:

getTenor in interface FixedFloatSwapTemplate

Returns:

the value of the property, not null

getConvention

public FixedOvernightSwapConvention getConvention()

Gets the market convention of the swap.

Specified by:

getConvention in interface FixedFloatSwapTemplate

Returns:

the value of the property, not null

toBuilder

public FixedOvernightSwapTemplate.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object