Interface TradeConvention
-
- All Known Subinterfaces:
CdsConvention
,FixedFloatSwapConvention
,FixedIborSwapConvention
,FixedInflationSwapConvention
,FixedOvernightSwapConvention
,FraConvention
,FxSwapConvention
,IborFixingDepositConvention
,IborFutureConvention
,IborIborSwapConvention
,OvernightIborSwapConvention
,SingleCurrencySwapConvention
,TermDepositConvention
,ThreeLegBasisSwapConvention
,XCcyIborIborSwapConvention
- All Known Implementing Classes:
ImmutableCdsConvention
,ImmutableFixedIborSwapConvention
,ImmutableFixedInflationSwapConvention
,ImmutableFixedOvernightSwapConvention
,ImmutableFraConvention
,ImmutableFxSwapConvention
,ImmutableIborFixingDepositConvention
,ImmutableIborFutureConvention
,ImmutableIborIborSwapConvention
,ImmutableOvernightIborSwapConvention
,ImmutableTermDepositConvention
,ImmutableThreeLegBasisSwapConvention
,ImmutableXCcyIborIborSwapConvention
public interface TradeConvention
A market convention for trades.A convention contains key information that is commonly used in the market. For example, a USD LIBOR forward rate agreement (FRA) will have a day count convention of 'Act/360', spot date offset of T+2 and ISDA discounting.
A convention is typically combined with additional information to form a
TradeTemplate
, however this is not required. It is often possible to get a market price for a trade based on the template, however it is not possible to obtain a market price for a convention.Each implementation should provide a method with the name
toTrade
with whatever arguments are necessary to complete the trade. If there is an associated template, implementations should consider providing a method with the nametoTemplate
to provide the conversion.Implementations must be immutable and thread-safe beans.