Package com.opengamma.strata.product.capfloor

Class IborCapletFloorletBinaryPeriod.Builder

    • Method Detail

      • currency

        public IborCapletFloorletBinaryPeriod.Builder currency​(Currency currency)
        Sets the primary currency of the payment period.

        The amounts of the notional are usually expressed in terms of this currency, however they can be converted from amounts in a different currency.

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

      • amount

        public IborCapletFloorletBinaryPeriod.Builder amount​(double amount)
        Sets the fixed amount when the option is in-the-money, positive if receiving (long), negative if paying (short).

        The currency of the notional is specified by currency.

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

      • startDate

        public IborCapletFloorletBinaryPeriod.Builder startDate​(LocalDate startDate)
        Sets the start date of the payment period.

        This is the first date in the period. If the schedule adjusts for business days, then this is the adjusted date.

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

      • endDate

        public IborCapletFloorletBinaryPeriod.Builder endDate​(LocalDate endDate)
        Sets the end date of the payment period.

        This is the last date in the period. If the schedule adjusts for business days, then this is the adjusted date.

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

      • unadjustedStartDate

        public IborCapletFloorletBinaryPeriod.Builder unadjustedStartDate​(LocalDate unadjustedStartDate)
        Sets the unadjusted start date.

        The start date before any business day adjustment is applied.

        When building, this will default to the start date if not specified.

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

      • unadjustedEndDate

        public IborCapletFloorletBinaryPeriod.Builder unadjustedEndDate​(LocalDate unadjustedEndDate)
        Sets the unadjusted end date.

        The end date before any business day adjustment is applied.

        When building, this will default to the end date if not specified.

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

      • yearFraction

        public IborCapletFloorletBinaryPeriod.Builder yearFraction​(double yearFraction)
        Sets the year fraction that the accrual period represents.

        The value is usually calculated using a DayCount which may be different to that of the index. Typically the value will be close to 1 for one year and close to 0.5 for six months. The fraction may be greater than 1, but not less than 0.

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

      • paymentDate

        public IborCapletFloorletBinaryPeriod.Builder paymentDate​(LocalDate paymentDate)
        Sets the date that payment occurs.

        If the schedule adjusts for business days, then this is the adjusted date.

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

      • caplet

        public IborCapletFloorletBinaryPeriod.Builder caplet​(Double caplet)
        Sets the optional caplet strike.

        This defines the strike value of a caplet.

        If the period is not a caplet, this field will be absent.

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

      • floorlet

        public IborCapletFloorletBinaryPeriod.Builder floorlet​(Double floorlet)
        Sets the optional floorlet strike.

        This defines the strike value of a floorlet.

        If the period is not a floorlet, this field will be absent.

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

      • iborRate

        public IborCapletFloorletBinaryPeriod.Builder iborRate​(IborRateComputation iborRate)
        Sets the rate to be observed.

        The value of the period is based on this Ibor rate. For example, it might be a well known market index such as 'GBP-LIBOR-3M'.

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