Class OvernightIborSwapTemplate
- java.lang.Object
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- com.opengamma.strata.product.swap.type.OvernightIborSwapTemplate
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- All Implemented Interfaces:
TradeTemplate
,Serializable
,org.joda.beans.Bean
,org.joda.beans.ImmutableBean
public final class OvernightIborSwapTemplate extends Object implements TradeTemplate, org.joda.beans.ImmutableBean, Serializable
A template for creating Overnight-Ibor swap trades.This defines almost all the data necessary to create an Overnight-Ibor single currency
SwapTrade
. The trade date, notional and spread 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 spread 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
- See Also:
- Serialized Form
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Nested Class Summary
Nested Classes Modifier and Type Class Description static class
OvernightIborSwapTemplate.Builder
The bean-builder forOvernightIborSwapTemplate
.static class
OvernightIborSwapTemplate.Meta
The meta-bean forOvernightIborSwapTemplate
.
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Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description static OvernightIborSwapTemplate.Builder
builder()
Returns a builder used to create an instance of the bean.SwapTrade
createTrade(LocalDate tradeDate, BuySell buySell, double notional, double spread, ReferenceData refData)
Creates a trade based on this template.boolean
equals(Object obj)
OvernightIborSwapConvention
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 OvernightIborSwapTemplate.Meta
meta()
The meta-bean forOvernightIborSwapTemplate
.OvernightIborSwapTemplate.Meta
metaBean()
static OvernightIborSwapTemplate
of(Tenor tenor, OvernightIborSwapConvention convention)
Obtains a template based on the specified tenor and convention.static OvernightIborSwapTemplate
of(Period periodToStart, Tenor tenor, OvernightIborSwapConvention convention)
Obtains a template based on the specified period, tenor and convention.OvernightIborSwapTemplate.Builder
toBuilder()
Returns a builder that allows this bean to be mutated.String
toString()
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Method Detail
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of
public static OvernightIborSwapTemplate of(Tenor tenor, OvernightIborSwapConvention 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 swapconvention
- the market convention- Returns:
- the template
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of
public static OvernightIborSwapTemplate of(Period periodToStart, Tenor tenor, OvernightIborSwapConvention 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 datetenor
- the tenor of the swapconvention
- the market convention- Returns:
- the template
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createTrade
public SwapTrade createTrade(LocalDate tradeDate, BuySell buySell, double notional, double spread, 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 Ibor rate is received from the counterparty, with the Overnight and spread being paid. If selling the swap, the Ibor rate is paid to the counterparty, with the Overnight and spread being received.
- Parameters:
tradeDate
- the date of the tradebuySell
- the buy/sell flagnotional
- the notional amount, in the payment currency of the templatespread
- the spread, applied to the Overnight legrefData
- 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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meta
public static OvernightIborSwapTemplate.Meta meta()
The meta-bean forOvernightIborSwapTemplate
.- Returns:
- the meta-bean, not null
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builder
public static OvernightIborSwapTemplate.Builder builder()
Returns a builder used to create an instance of the bean.- Returns:
- the builder, not null
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metaBean
public OvernightIborSwapTemplate.Meta metaBean()
- Specified by:
metaBean
in interfaceorg.joda.beans.Bean
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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
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getTenor
public Tenor getTenor()
Gets the tenor of the swap.This is the period from the first accrual date to the last accrual date.
- Returns:
- the value of the property, not null
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getConvention
public OvernightIborSwapConvention getConvention()
Gets the market convention of the swap.- Returns:
- the value of the property, not null
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toBuilder
public OvernightIborSwapTemplate.Builder toBuilder()
Returns a builder that allows this bean to be mutated.- Returns:
- the mutable builder, not null
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