Class FixedCouponBond

  • All Implemented Interfaces:
    Resolvable<ResolvedFixedCouponBond>, Product, SecuritizedProduct, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

    public final class FixedCouponBond
    extends Object
    implements SecuritizedProduct, Resolvable<ResolvedFixedCouponBond>, org.joda.beans.ImmutableBean, Serializable
    A fixed coupon bond.

    A fixed coupon bond is a financial instrument that represents a stream of fixed payments. The payments consist two types: periodic coupon payments and nominal payment. The periodic payments are made n times a year with a fixed coupon rate at individual coupon dates. The nominal payment is the unique payment at the final coupon date.

    The periodic coupon payment schedule is defined using PeriodicSchedule. The payment amount is computed with fixedRate and notionalAmount. The nominal payment is defined from the last period of the periodic coupon payment schedule and notionalAmount.

    The accrual factor between two dates is computed dayCount. The legal entity of this fixed coupon bond is identified by StandardId. The enum, FixedCouponBondYieldConvention, specifies the yield computation convention.


    Strata uses decimal prices for bonds in the trade model, pricers and market data. For example, a price of 99.32% is represented in Strata by 0.9932.
    See Also:
    Serialized Form
    • Method Detail

      • resolve

        public ResolvedFixedCouponBond resolve​(ReferenceData refData)
        Description copied from interface: Resolvable
        Resolves this object using the specified reference data.

        This converts the object implementing this interface to the equivalent resolved form. All ReferenceDataId identifiers in this instance will be resolved. The resolved form will typically be a type that is optimized for pricing.

        Resolved objects may be bound to data that changes over time, such as holiday calendars. If the data changes, such as the addition of a new holiday, the resolved form will not be updated. Care must be taken when placing the resolved form in a cache or persistence layer.

        Specified by:
        resolve in interface Resolvable<ResolvedFixedCouponBond>
        refData - the reference data to use when resolving
        the resolved instance
      • meta

        public static FixedCouponBond.Meta meta()
        The meta-bean for FixedCouponBond.
        the meta-bean, not null
      • builder

        public static FixedCouponBond.Builder builder()
        Returns a builder used to create an instance of the bean.
        the builder, not null
      • metaBean

        public FixedCouponBond.Meta metaBean()
        Specified by:
        metaBean in interface org.joda.beans.Bean
      • getSecurityId

        public SecurityId getSecurityId()
        Gets the security identifier.

        This identifier uniquely identifies the security within the system.

        Specified by:
        getSecurityId in interface SecuritizedProduct
        the value of the property, not null
      • getCurrency

        public Currency getCurrency()
        Gets the currency that the bond is traded in.
        Specified by:
        getCurrency in interface SecuritizedProduct
        the value of the property, not null
      • getNotional

        public double getNotional()
        Gets the notional amount, must be positive.

        The notional expressed here must be positive. The currency of the notional is specified by currency.

        the value of the property
      • getAccrualSchedule

        public PeriodicSchedule getAccrualSchedule()
        Gets the accrual schedule.

        This is used to define the accrual periods. These are used directly or indirectly to determine other dates in the product.

        the value of the property, not null
      • getFixedRate

        public double getFixedRate()
        Gets the fixed coupon rate.

        The periodic payments are based on this fixed coupon rate.

        the value of the property
      • getDayCount

        public DayCount getDayCount()
        Gets the day count convention applicable.

        The conversion from dates to a numerical value is made based on this day count. For the fixed bond, the day count convention is used to compute accrued interest.

        Note that the year fraction of a coupon payment is computed based on the unadjusted dates in the schedule.

        the value of the property, not null
      • getYieldConvention

        public FixedCouponBondYieldConvention getYieldConvention()
        Gets yield convention.

        The convention defines how to convert from yield to price and inversely.

        the value of the property, not null
      • getLegalEntityId

        public LegalEntityId getLegalEntityId()
        Gets the legal entity identifier.

        This identifier is used for the legal entity that issues the bond.

        the value of the property, not null
      • getSettlementDateOffset

        public DaysAdjustment getSettlementDateOffset()
        Gets the number of days between valuation date and settlement date.

        This is used to compute clean price. The clean price is the relative price to be paid at the standard settlement date in exchange for the bond.

        It is usually one business day for US treasuries and UK Gilts and three days for Euroland government bonds.

        the value of the property, not null
      • getExCouponPeriod

        public DaysAdjustment getExCouponPeriod()
        Gets ex-coupon period.

        Some bonds trade ex-coupons before the coupon payment. The coupon is paid not to the owner of the bond on the payment date but to the owner of the bond on the detachment date. The difference between the two is the ex-coupon period (measured in days).

        Because the detachment date is not after the coupon date, the number of days stored in this field should be zero or negative.

        the value of the property, not null
      • toBuilder

        public FixedCouponBond.Builder toBuilder()
        Returns a builder that allows this bean to be mutated.
        the mutable builder, not null
      • hashCode

        public int hashCode()
        hashCode in class Object