Interface IborIborSwapConvention

  • All Superinterfaces:
    Named, SingleCurrencySwapConvention, TradeConvention
    All Known Implementing Classes:
    ImmutableIborIborSwapConvention

    public interface IborIborSwapConvention
    extends SingleCurrencySwapConvention, Named
    A market convention for Ibor-Ibor swap trades.

    This defines the market convention for a Ibor-Ibor single currency swap. The convention is formed by combining two swap leg conventions in the same currency.

    The market price is for the difference (spread) between the values of the two legs. This convention has two legs, the "spread leg" and the "flat leg". The spread will be added to the "spread leg", which is typically the leg with the shorter underlying tenor. The payment frequency is typically determined by the longer underlying tenor, with compounding applied.

    For example, a 'USD 3s1s' basis swap has 'USD-LIBOR-1M' as the spread leg and 'USD-LIBOR-3M' as the flat leg. Payment is every 3 months, with the one month leg compounded.

    To manually create a convention, see ImmutableIborIborSwapConvention. To register a specific convention, see IborIborSwapConvention.ini.

    • Method Detail

      • of

        static IborIborSwapConvention of​(java.lang.String uniqueName)
        Obtains an instance from the specified unique name.
        Parameters:
        uniqueName - the unique name
        Returns:
        the convention
        Throws:
        java.lang.IllegalArgumentException - if the name is not known
      • extendedEnum

        static ExtendedEnum<IborIborSwapConvention> extendedEnum()
        Gets the extended enum helper.

        This helper allows instances of the convention to be looked up. It also provides the complete set of available instances.

        Returns:
        the extended enum helper
      • getSpreadLeg

        IborRateSwapLegConvention getSpreadLeg()
        Gets the market convention of the floating leg that has the spread applied.

        The spread is the market price of the instrument. It is added to the observed interest rate.

        Returns:
        the spread leg convention
      • getFlatLeg

        IborRateSwapLegConvention getFlatLeg()
        Gets the market convention of the floating leg that does not have the spread applied.
        Returns:
        the flat leg convention
      • createTrade

        default SwapTrade createTrade​(java.time.LocalDate tradeDate,
                                      Tenor tenor,
                                      BuySell buySell,
                                      double notional,
                                      double spread,
                                      ReferenceData refData)
        Creates a spot-starting trade based on this convention.

        This returns a trade based on the specified tenor. For example, a tenor of 5 years creates a swap starting on the spot date and maturing 5 years later.

        The notional is unsigned, with buy/sell determining the direction of the trade. If buying the swap, the rate of the flat leg is received from the counterparty, with the rate of the spread leg being paid. If selling the swap, the opposite occurs.

        Specified by:
        createTrade in interface SingleCurrencySwapConvention
        Parameters:
        tradeDate - the date of the trade
        tenor - the tenor of the swap
        buySell - the buy/sell flag
        notional - the notional amount
        spread - the spread, 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
      • createTrade

        default SwapTrade createTrade​(java.time.LocalDate tradeDate,
                                      java.time.Period periodToStart,
                                      Tenor tenor,
                                      BuySell buySell,
                                      double notional,
                                      double spread,
                                      ReferenceData refData)
        Creates a forward-starting trade based on this convention.

        This returns a trade based on the specified period and tenor. For example, a period of 3 months and a tenor of 5 years creates a swap starting three months after the spot date and maturing 5 years later.

        The notional is unsigned, with buy/sell determining the direction of the trade. If buying the swap, the rate of the flat leg is received from the counterparty, with the rate of the spread leg being paid. If selling the swap, the opposite occurs.

        Specified by:
        createTrade in interface SingleCurrencySwapConvention
        Parameters:
        tradeDate - the date of the trade
        periodToStart - the period between the spot date and the start date
        tenor - the tenor of the swap
        buySell - the buy/sell flag
        notional - the notional amount
        spread - the spread, 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
      • toTrade

        default SwapTrade toTrade​(java.time.LocalDate tradeDate,
                                  java.time.LocalDate startDate,
                                  java.time.LocalDate endDate,
                                  BuySell buySell,
                                  double notional,
                                  double spread)
        Creates a trade based on this convention.

        This returns a trade based on the specified dates.

        The notional is unsigned, with buy/sell determining the direction of the trade. If buying the swap, the rate of the flat leg is received from the counterparty, with the rate of the spread leg being paid. If selling the swap, the opposite occurs.

        Specified by:
        toTrade in interface SingleCurrencySwapConvention
        Parameters:
        tradeDate - the date of the trade
        startDate - the start date
        endDate - the end date
        buySell - the buy/sell flag
        notional - the notional amount
        spread - the spread, typically derived from the market
        Returns:
        the trade
      • toTrade

        SwapTrade toTrade​(TradeInfo tradeInfo,
                          java.time.LocalDate startDate,
                          java.time.LocalDate endDate,
                          BuySell buySell,
                          double notional,
                          double spread)
        Creates a trade based on this convention.

        This returns a trade based on the specified dates.

        The notional is unsigned, with buy/sell determining the direction of the trade. If buying the swap, the rate of the flat leg is received from the counterparty, with the rate of the spread leg being paid. If selling the swap, the opposite occurs.

        Specified by:
        toTrade in interface SingleCurrencySwapConvention
        Parameters:
        tradeInfo - additional information about the trade
        startDate - the start date
        endDate - the end date
        buySell - the buy/sell flag
        notional - the notional amount
        spread - the spread, typically derived from the market
        Returns:
        the trade
      • getName

        java.lang.String getName()
        Gets the name that uniquely identifies this convention.

        This name is used in serialization and can be parsed using of(String).

        Specified by:
        getName in interface Named
        Specified by:
        getName in interface SingleCurrencySwapConvention
        Returns:
        the unique name