Package com.opengamma.strata.product.capfloor

Class IborCapFloor

  • All Implemented Interfaces:
    Resolvable<ResolvedIborCapFloor>, Product, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
    public final class IborCapFloor
extends Object
implements Product, Resolvable<ResolvedIborCapFloor>, org.joda.beans.ImmutableBean, Serializable
    An Ibor cap/floor product.

    The Ibor cap/floor product consists of two legs, a cap/floor leg and a pay leg. The cap/floor leg involves a set of call/put options on successive Ibor index rates, known as Ibor caplets/floorlets. The pay leg is any swap leg from a standard interest rate swap. The pay leg is absent for typical Ibor cap/floor products, with the premium paid upfront instead, as defined in IborCapFloorTrade.

    See Also:
    Serialized Form

    • Method Detail

      • of

        public static IborCapFloor of​(IborCapFloorLeg capFloorLeg)
        Obtains an instance from a cap/floor leg with no pay leg.

        The pay leg is absent in the resulting cap/floor.

        Parameters:
        capFloorLeg - the cap/floor leg
        Returns:
        the cap/floor

      • of

        public static IborCapFloor of​(IborCapFloorLeg capFloorLeg,
                              SwapLeg payLeg)
        Obtains an instance from a cap/floor leg and a pay leg.
        Parameters:
        capFloorLeg - the cap/floor leg
        payLeg - the pay leg
        Returns:
        the cap/floor

      • allPaymentCurrencies

        public ImmutableSet<Currency> allPaymentCurrencies()
        Description copied from interface: Product
        Returns the set of currencies that the product pays in.

        This returns the complete set of payment currencies. This will typically return one or two currencies.

        Specified by:
        allPaymentCurrencies in interface Product
        Returns:
        the set of payment currencies

      • allCurrencies

        public ImmutableSet<Currency> allCurrencies()
        Description copied from interface: Product
        Returns the set of currencies the product refers to.

        This returns the complete set of currencies, not just the payment currencies. For example, the sets will differ when one of the currencies is non-deliverable.

        Specified by:
        allCurrencies in interface Product
        Returns:
        the set of currencies the product refers to

      • allIndices

        public ImmutableSet<Index> allIndices()
        Returns the set of indices referred to by the cap/floor.

        A cap/floor will typically refer to one index, such as 'GBP-LIBOR-3M'. Calling this method will return the complete list of indices.

        Returns:
        the set of indices referred to by this cap/floor

      • resolve

        public ResolvedIborCapFloor 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<ResolvedIborCapFloor>
        Parameters:
        refData - the reference data to use when resolving
        Returns:
        the resolved instance

      • meta

        public static IborCapFloor.Meta meta()
        The meta-bean for IborCapFloor.
        Returns:
        the meta-bean, not null

      • metaBean

        public IborCapFloor.Meta metaBean()
        Specified by:
        metaBean in interface org.joda.beans.Bean

      • getCapFloorLeg

        public IborCapFloorLeg getCapFloorLeg()
        Gets the Ibor cap/floor leg of the product.

        This is associated with periodic payments based on Ibor rate. The payments are Ibor caplets or Ibor floorlets.

        Returns:
        the value of the property, not null

      • getPayLeg

        public Optional<SwapLeg> getPayLeg()
        Gets the optional pay leg of the product.

        These periodic payments are not made for typical cap/floor products. Instead the premium is paid upfront.

        Returns:
        the optional value of the property, not null

      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class Object