Package com.opengamma.strata.product.bond

Class FixedCouponBondSecurity.Builder

    • Method Detail

      • info

        public FixedCouponBondSecurity.Builder info​(SecurityInfo info)
        Sets the standard security information.

        This includes the security identifier.

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

      • currency

        public FixedCouponBondSecurity.Builder currency​(Currency currency)
        Sets the currency that the bond is traded in.
        Parameters:
        currency - the new value, not null
        Returns:
        this, for chaining, not null

      • notional

        public FixedCouponBondSecurity.Builder notional​(double notional)
        Sets the notional amount, must be positive.

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

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

      • accrualSchedule

        public FixedCouponBondSecurity.Builder accrualSchedule​(PeriodicSchedule accrualSchedule)
        Sets the accrual schedule.

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

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

      • fixedRate

        public FixedCouponBondSecurity.Builder fixedRate​(double fixedRate)
        Sets the fixed coupon rate.

        The periodic payments are based on this fixed coupon rate.

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

      • dayCount

        public FixedCouponBondSecurity.Builder dayCount​(DayCount dayCount)
        Sets 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.

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

      • yieldConvention

        public FixedCouponBondSecurity.Builder yieldConvention​(FixedCouponBondYieldConvention yieldConvention)
        Sets yield convention.

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

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

      • legalEntityId

        public FixedCouponBondSecurity.Builder legalEntityId​(LegalEntityId legalEntityId)
        Sets the legal entity identifier.

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

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

      • settlementDateOffset

        public FixedCouponBondSecurity.Builder settlementDateOffset​(DaysAdjustment settlementDateOffset)
        Sets 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.

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

      • exCouponPeriod

        public FixedCouponBondSecurity.Builder exCouponPeriod​(DaysAdjustment exCouponPeriod)
        Sets 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.

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