Class ThreeLegBasisSwapTemplate

  • All Implemented Interfaces:
    TradeTemplate, java.io.Serializable, Bean, ImmutableBean

    public final class ThreeLegBasisSwapTemplate
    extends java.lang.Object
    implements TradeTemplate, ImmutableBean, java.io.Serializable
    A template for creating Fixed-Ibor-Ibor swap trades.

    This defines almost all the data necessary to create a Fixed-Ibor-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 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
    • Method Detail

      • of

        public static ThreeLegBasisSwapTemplate of​(Tenor tenor,
                                                   ThreeLegBasisSwapConvention 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 ThreeLegBasisSwapTemplate of​(java.time.Period periodToStart,
                                                   Tenor tenor,
                                                   ThreeLegBasisSwapConvention convention)
        Creates 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​(java.time.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 rate of the floating flat leg is received from the counterparty, with the rate of the floating spread leg and the spread of the fixed leg being paid. If selling the swap, the opposite occurs.

        Parameters:
        tradeDate - the date of the trade
        buySell - the buy/sell flag
        notional - the notional amount, in the payment currency of the template
        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
      • getPeriodToStart

        public java.time.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.

        Returns:
        the value of the property, not null
      • getConvention

        public ThreeLegBasisSwapConvention getConvention()
        Gets the market convention of the swap.
        Returns:
        the value of the property, not null
      • equals

        public boolean equals​(java.lang.Object obj)
        Overrides:
        equals in class java.lang.Object
      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class java.lang.Object
      • toString

        public java.lang.String toString()
        Overrides:
        toString in class java.lang.Object