A Term Deposit is a financial instrument that provides a fixed rate of interest on an amount for a specific term. For example, investing GBP 1,000 for 3 months at a 1% interest rate.
The instrument has two payments, one at the start date and one at the end date. For example, investing GBP 1,000 for 3 months implies an initial payment to the counterparty of GBP 1,000 and a final payment from the counterparty of GBP 1,000 plus interest.
TermDeposit can be created using a builder as follows:
TermDeposit td = TermDeposit.builder() .buySell(BuySell.BUY) .currency(Currency.USD) .notional(10_000_000) .startDate(LocalDate.of(2014, 9, 12)) .endDate(LocalDate.of(2014, 12, 12)) .dayCount(DayCounts.THIRTY_360_ISDA) .rate(0.013) .build();
strata-measure module provides high-level risk measures for Term Deposits.
The main entry point is
The following measures are available:
- present value, and associated sensitivity
- par rate
- par spread
- currency exposure
- current cash
These measures are also available using the calculation API.
strata-pricer module provides lower-level pricing support for Term Deposits:
The following table summarizes the fields on
TermDeposit that can be used to control the product.
For more detail on the meaning of each field, see the
|buySell||Whether the deposit is buy or sell||Required|
|currency||The primary currency||Required|
|notional||The notional amount||Required|
|startDate||The start date||Required|
|endDate||The end date||Required|
|businessDayAdjustment||The holiday adjustment to the start/end date||Optional|
|dayCount||The day count||Required|
|rate||The fixed rate of interest||Required|
The fixed interest rate must be specified in decimal form. A 5% rate is specified as 0.05.