Class OvernightRateSwapLegConvention.Builder

    • Method Detail

      • index

        public OvernightRateSwapLegConvention.Builder index​(OvernightIndex index)
        Sets the Overnight index.

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

        Parameters:
        index - the new value, not null
        Returns:
        this, for chaining, not null
      • accrualMethod

        public OvernightRateSwapLegConvention.Builder accrualMethod​(OvernightAccrualMethod accrualMethod)
        Sets the method of accruing overnight interest, defaulted to 'Compounded'.

        Two methods of accrual are supported - 'Compounded' and 'Averaged'. Averaging is primarily related to the 'USD-FED-FUND' index.

        Parameters:
        accrualMethod - the new value, not null
        Returns:
        this, for chaining, not null
      • rateCutOffDays

        public OvernightRateSwapLegConvention.Builder rateCutOffDays​(java.lang.Integer rateCutOffDays)
        Sets the number of business days before the end of the period that the rate is cut off.

        When a rate cut-off applies, the final daily rate is determined this number of days before the end of the period, with any subsequent days having the same rate.

        The amount must be zero or positive. A value of zero or one will have no effect on the standard calculation. The fixing holiday calendar of the index is used to determine business days.

        For example, a value of 3 means that the rate observed on (periodEndDate - 3 business days) is also to be used on (periodEndDate - 2 business days) and (periodEndDate - 1 business day).

        If there are multiple accrual periods in the payment period, then this will only apply to the last accrual period in the payment period.

        This will default to the zero if not specified.

        Parameters:
        rateCutOffDays - the new value
        Returns:
        this, for chaining, not null
      • currency

        public OvernightRateSwapLegConvention.Builder currency​(Currency currency)
        Sets 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.

        Parameters:
        currency - the new value
        Returns:
        this, for chaining, not null
      • dayCount

        public OvernightRateSwapLegConvention.Builder dayCount​(DayCount dayCount)
        Sets the day count convention applicable, optional with defaulting getter.

        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.

        Parameters:
        dayCount - the new value
        Returns:
        this, for chaining, not null
      • accrualFrequency

        public OvernightRateSwapLegConvention.Builder accrualFrequency​(Frequency accrualFrequency)
        Sets 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 term frequency if not specified.

        Parameters:
        accrualFrequency - the new value
        Returns:
        this, for chaining, not null
      • accrualBusinessDayAdjustment

        public OvernightRateSwapLegConvention.Builder accrualBusinessDayAdjustment​(BusinessDayAdjustment accrualBusinessDayAdjustment)
        Sets the business day adjustment to apply to accrual schedule dates.

        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 may have their own business day adjustment rules. If those are not present, then this adjustment is used instead.

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

        Parameters:
        accrualBusinessDayAdjustment - the new value
        Returns:
        this, for chaining, not null
      • startDateBusinessDayAdjustment

        public OvernightRateSwapLegConvention.Builder startDateBusinessDayAdjustment​(BusinessDayAdjustment startDateBusinessDayAdjustment)
        Sets the business day adjustment to apply to the start date, optional with defaulting getter.

        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.

        Parameters:
        startDateBusinessDayAdjustment - the new value
        Returns:
        this, for chaining, not null
      • endDateBusinessDayAdjustment

        public OvernightRateSwapLegConvention.Builder endDateBusinessDayAdjustment​(BusinessDayAdjustment endDateBusinessDayAdjustment)
        Sets the business day adjustment to apply to the end date, optional with defaulting getter.

        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.

        Parameters:
        endDateBusinessDayAdjustment - the new value
        Returns:
        this, for chaining, not null
      • stubConvention

        public OvernightRateSwapLegConvention.Builder stubConvention​(StubConvention stubConvention)
        Sets the convention defining how to handle stubs, optional with defaulting getter.

        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.

        Parameters:
        stubConvention - the new value
        Returns:
        this, for chaining, not null
      • rollConvention

        public OvernightRateSwapLegConvention.Builder rollConvention​(RollConvention rollConvention)
        Sets the convention defining how to roll dates, optional with defaulting getter.

        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 'None' if not specified.

        Parameters:
        rollConvention - the new value
        Returns:
        this, for chaining, not null
      • paymentFrequency

        public OvernightRateSwapLegConvention.Builder paymentFrequency​(Frequency paymentFrequency)
        Sets the periodic frequency of payments, optional with defaulting getter.

        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.

        Parameters:
        paymentFrequency - the new value
        Returns:
        this, for chaining, not null
      • paymentDateOffset

        public OvernightRateSwapLegConvention.Builder paymentDateOffset​(DaysAdjustment paymentDateOffset)
        Sets the offset of payment from the base date, optional with defaulting getter.

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

        This will default to 'None' if not specified.

        Parameters:
        paymentDateOffset - the new value
        Returns:
        this, for chaining, not null
      • compoundingMethod

        public OvernightRateSwapLegConvention.Builder compoundingMethod​(CompoundingMethod compoundingMethod)
        Sets the compounding method to use when there is more than one accrual period in each payment period, optional with defaulting getter.

        Compounding is used when combining accrual periods.

        This will default to 'None' if not specified.

        Parameters:
        compoundingMethod - the new value
        Returns:
        this, for chaining, not null