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

Class IborRateSwapLegConvention

java.lang.Object

com.opengamma.strata.product.swap.type.IborRateSwapLegConvention

All Implemented Interfaces:

FloatRateSwapLegConvention, SwapLegConvention, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class IborRateSwapLegConvention
extends Object
implements FloatRateSwapLegConvention, org.joda.beans.ImmutableBean, Serializable

A market convention for the floating leg of rate swap trades based on an Ibor index.

This defines the market convention for a floating leg based on the observed value of an Ibor index such as 'GBP-LIBOR-3M' or 'EUR-EURIBOR-1M'. In most cases, the index contains sufficient information to fully define the convention. As such, no other fields need to be specified when creating an instance. The getters will default any missing information on the fly, avoiding both null and Optional.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
static IborRateSwapLegConvention.Builder	builder()	Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
BusinessDayAdjustment	getAccrualBusinessDayAdjustment()	Gets the business day adjustment to apply to accrual schedule dates, providing a default result if no override specified.
Frequency	getAccrualFrequency()	Gets the periodic frequency of accrual.
CompoundingMethod	getCompoundingMethod()	Gets the compounding method to use when there is more than one accrual period in each payment period, providing a default result if no override specified.
Currency	getCurrency()	Gets the leg currency, optional with defaulting getter.
DayCount	getDayCount()	Gets the day count convention applicable, providing a default result if no override specified.
BusinessDayAdjustment	getEndDateBusinessDayAdjustment()	Gets the business day adjustment to apply to the end date, providing a default result if no override specified.
DaysAdjustment	getFixingDateOffset()	The offset of the fixing date from each adjusted reset date, providing a default result if no override specified.
FixingRelativeTo	getFixingRelativeTo()	Gets the base date that each fixing is made relative to, optional with defaulting getter.
IborIndex	getIndex()	Gets the Ibor index.
DaysAdjustment	getPaymentDateOffset()	Gets the offset of payment from the base date, providing a default result if no override specified.
Frequency	getPaymentFrequency()	Gets the periodic frequency of payments, providing a default result if no override specified.
RollConvention	getRollConvention()	Gets the convention defining how to roll dates, providing a default result if no override specified.
BusinessDayAdjustment	getStartDateBusinessDayAdjustment()	Gets the business day adjustment to apply to the start date, providing a default result if no override specified.
StubConvention	getStubConvention()	Gets the convention defining how to handle stubs, providing a default result if no override specified.
int	hashCode()
boolean	isNotionalExchange()	Gets the flag indicating whether to exchange the notional.
static IborRateSwapLegConvention.Meta	meta()	The meta-bean for IborRateSwapLegConvention.
IborRateSwapLegConvention.Meta	metaBean()
static IborRateSwapLegConvention	of(IborIndex index)	Obtains a convention based on the specified index.
IborRateSwapLegConvention.Builder	toBuilder()	Returns a builder that allows this bean to be mutated.
RateCalculationSwapLeg	toLeg(LocalDate startDate, LocalDate endDate, PayReceive payReceive, double notional)	Creates a leg based on this convention.
RateCalculationSwapLeg	toLeg(LocalDate startDate, LocalDate endDate, PayReceive payReceive, double notional, double spread)	Creates a leg based on this convention.
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 IborRateSwapLegConvention of(IborIndex index)

Obtains a convention based on the specified index.

The standard market convention for an Ibor rate leg is based on the index, with the stub convention set to 'SmartInitial'. Use the builder for unusual conventions.

Parameters:

index - the index, the market convention values are extracted from the index

Returns:

the convention

getCurrency

public Currency getCurrency()

Gets the leg currency, optional with defaulting getter.

This is the currency of the swap leg and the currency that payment is made in. The data model permits this currency to differ from that of the index, however the two are typically the same.

This will default to the currency of the index if not specified.

Specified by:

getCurrency in interface FloatRateSwapLegConvention

Returns:

the start date business day adjustment, not null

getDayCount

public DayCount getDayCount()

Gets the day count convention applicable, providing a default result if no override specified.

This is used to convert dates to a numerical value. The data model permits the day count to differ from that of the index, however the two are typically the same.

This will default to the day count of the index if not specified.

Specified by:

getDayCount in interface FloatRateSwapLegConvention

Returns:

the day count, not null

getAccrualFrequency

public Frequency getAccrualFrequency()

Gets the periodic frequency of accrual.

Interest will be accrued over periods at the specified periodic frequency, such as every 3 months.

This will default to the tenor of the index if not specified.

Returns:

the accrual frequency, not null

getAccrualBusinessDayAdjustment

public BusinessDayAdjustment getAccrualBusinessDayAdjustment()

Gets the business day adjustment to apply to accrual schedule dates, providing a default result if no override specified.

Each date in the calculated schedule is determined without taking into account weekends and holidays. The adjustment specified here is used to convert those dates to valid business days. The start date and end date have their own business day adjustment rules.

This will default to 'ModifiedFollowing' using the index fixing calendar if not specified.

Specified by:

getAccrualBusinessDayAdjustment in interface FloatRateSwapLegConvention

Returns:

the business day adjustment, not null

getStartDateBusinessDayAdjustment

public BusinessDayAdjustment getStartDateBusinessDayAdjustment()

Gets the business day adjustment to apply to the start date, providing a default result if no override specified.

The start date property is an unadjusted date and as such might be a weekend or holiday. The adjustment specified here is used to convert the start date to a valid business day.

This will default to the accrualDatesBusinessDayAdjustment if not specified.

Specified by:

getStartDateBusinessDayAdjustment in interface FloatRateSwapLegConvention

Returns:

the start date business day adjustment, not null

getEndDateBusinessDayAdjustment

public BusinessDayAdjustment getEndDateBusinessDayAdjustment()

Gets the business day adjustment to apply to the end date, providing a default result if no override specified.

The end date property is an unadjusted date and as such might be a weekend or holiday. The adjustment specified here is used to convert the end date to a valid business day.

This will default to the accrualDatesBusinessDayAdjustment if not specified.

Specified by:

getEndDateBusinessDayAdjustment in interface FloatRateSwapLegConvention

Returns:

the end date business day adjustment, not null

getStubConvention

public StubConvention getStubConvention()

Gets the convention defining how to handle stubs, providing a default result if no override specified.

The stub convention is used during schedule construction to determine whether the irregular remaining period occurs at the start or end of the schedule. It also determines whether the irregular period is shorter or longer than the regular period.

This will default to 'SmartInitial' if not specified.

Returns:

the stub convention, not null

getRollConvention

public RollConvention getRollConvention()

Gets the convention defining how to roll dates, providing a default result if no override specified.

The schedule periods are determined at the high level by repeatedly adding the frequency to the start date, or subtracting it from the end date. The roll convention provides the detailed rule to adjust the day-of-month or day-of-week.

This will default to 'EOM' if not specified.

Returns:

the roll convention, not null

getFixingRelativeTo

public FixingRelativeTo getFixingRelativeTo()

Gets the base date that each fixing is made relative to, optional with defaulting getter.

The fixing date is relative to either the start or end of each reset period.

Note that in most cases, the reset frequency matches the accrual frequency and thus there is only one fixing for the accrual period.

This will default to 'PeriodStart' if not specified.

Returns:

the fixing relative to, not null

getFixingDateOffset

public DaysAdjustment getFixingDateOffset()

The offset of the fixing date from each adjusted reset date, providing a default result if no override specified.

The offset is applied to the base date specified by fixingRelativeTo. The offset is typically a negative number of business days. The data model permits the offset to differ from that of the index, however the two are typically the same.

This will default to the fixing date offset of the index if not specified.

Returns:

the fixing date offset, not null

getPaymentFrequency

public Frequency getPaymentFrequency()

Gets the periodic frequency of payments, providing a default result if no override specified.

Regular payments will be made at the specified periodic frequency. The frequency must be the same as, or a multiple of, the accrual periodic frequency.

Compounding applies if the payment frequency does not equal the accrual frequency.

This will default to the accrual frequency if not specified.

Returns:

the payment frequency, not null

getPaymentDateOffset

public DaysAdjustment getPaymentDateOffset()

Gets the offset of payment from the base date, providing a default result if no override specified.

The offset is applied to the unadjusted date specified by paymentRelativeTo. Offset can be based on calendar days or business days.

Specified by:

getPaymentDateOffset in interface FloatRateSwapLegConvention

Returns:

the payment date offset, not null

getCompoundingMethod

public CompoundingMethod getCompoundingMethod()

Gets the compounding method to use when there is more than one accrual period in each payment period, providing a default result if no override specified.

Compounding is used when combining accrual periods.

Returns:

the compounding method, not null

toLeg

public RateCalculationSwapLeg toLeg(LocalDate startDate,
                                    LocalDate endDate,
                                    PayReceive payReceive,
                                    double notional)

Creates a leg based on this convention.

This returns a leg based on the specified date. The notional is unsigned, with pay/receive determining the direction of the leg. If the leg is 'Pay', the fixed rate is paid to the counterparty. If the leg is 'Receive', the fixed rate is received from the counterparty.

Parameters:

startDate - the start date

endDate - the end date

payReceive - determines if the leg is to be paid or received

notional - the notional

Returns:

the leg

toLeg

public RateCalculationSwapLeg toLeg(LocalDate startDate,
                                    LocalDate endDate,
                                    PayReceive payReceive,
                                    double notional,
                                    double spread)

Creates a leg based on this convention.

This returns a leg based on the specified date. The notional is unsigned, with pay/receive determining the direction of the leg. If the leg is 'Pay', the fixed rate is paid to the counterparty. If the leg is 'Receive', the fixed rate is received from the counterparty.

Parameters:

startDate - the start date

endDate - the end date

payReceive - determines if the leg is to be paid or received

notional - the notional

spread - the spread to apply

Returns:

the leg

meta

public static IborRateSwapLegConvention.Meta meta()

The meta-bean for IborRateSwapLegConvention.

Returns:

the meta-bean, not null

builder

public static IborRateSwapLegConvention.Builder builder()

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

Returns:

the builder, not null

metaBean

public IborRateSwapLegConvention.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getIndex

public IborIndex getIndex()

Gets the Ibor index.

The floating rate to be paid is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'.

Specified by:

getIndex in interface FloatRateSwapLegConvention

Returns:

the value of the property, not null

isNotionalExchange

public boolean isNotionalExchange()

Gets the flag indicating whether to exchange the notional.

If 'true', the notional there is both an initial exchange and a final exchange of notional.

This will default to 'false' if not specified.

Returns:

the value of the property

toBuilder

public IborRateSwapLegConvention.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