Package com.opengamma.strata.product.cms

Class CmsLeg.Builder

  • All Implemented Interfaces:
    org.joda.beans.BeanBuilder<CmsLeg>
    Enclosing class:
    CmsLeg
    public static final class CmsLeg.Builder
extends org.joda.beans.impl.direct.DirectFieldsBeanBuilder<CmsLeg>
    The bean-builder for CmsLeg.

    • Method Detail

      • get

        public Object get​(String propertyName)
        Specified by:
        get in interface org.joda.beans.BeanBuilder<CmsLeg>
        Overrides:
        get in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<CmsLeg>

      • set

        public CmsLeg.Builder set​(org.joda.beans.MetaProperty<?> property,
                          Object value)
        Specified by:
        set in interface org.joda.beans.BeanBuilder<CmsLeg>
        Overrides:
        set in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<CmsLeg>

      • build

        public CmsLeg build()

      • payReceive

        public CmsLeg.Builder payReceive​(PayReceive payReceive)
        Sets whether the leg is pay or receive.

        A value of 'Pay' implies that the resulting amount is paid to the counterparty. A value of 'Receive' implies that the resulting amount is received from the counterparty. Note that negative swap rates can result in a payment in the opposite direction to that implied by this indicator.

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

      • paymentSchedule

        public CmsLeg.Builder paymentSchedule​(PeriodicSchedule paymentSchedule)
        Sets the periodic payment schedule.

        This is used to define the periodic payment periods. These are used directly or indirectly to determine other dates in the leg.

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

      • paymentDateOffset

        public CmsLeg.Builder paymentDateOffset​(DaysAdjustment paymentDateOffset)
        Sets the offset of payment from the base calculation period date.

        The offset is applied to the adjusted end date of each payment period. Offset can be based on calendar days or business days.

        When building, this will default to the payment offset of the swap convention in the swap index if not specified.

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

      • currency

        public CmsLeg.Builder currency​(Currency currency)
        Sets the currency of the leg associated with the notional.

        This is the currency of the leg and the currency that swap rate calculation is made in. The amounts of the notional are expressed in terms of this currency.

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

      • notional

        public CmsLeg.Builder notional​(ValueSchedule notional)
        Sets the notional amount, must be non-negative.

        The notional amount applicable during the period. The currency of the notional is specified by currency.

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

      • index

        public CmsLeg.Builder index​(SwapIndex index)
        Sets the swap index.

        The swap rate to be paid is the observed value of this index.

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

      • fixingRelativeTo

        public CmsLeg.Builder fixingRelativeTo​(FixingRelativeTo fixingRelativeTo)
        Sets the base date that each fixing is made relative to, defaulted to 'PeriodStart'.

        The fixing date is relative to either the start or end of each period.

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

      • fixingDateOffset

        public CmsLeg.Builder fixingDateOffset​(DaysAdjustment fixingDateOffset)
        Sets the offset of the fixing date from each adjusted reset date.

        The offset is applied to the base date specified by fixingRelativeTo. The offset is typically a negative number of business days.

        When building, this will default to the fixing offset of the swap convention in the swap index if not specified.

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

      • dayCount

        public CmsLeg.Builder dayCount​(DayCount dayCount)
        Sets the day count convention.

        This is used to convert dates to a numerical value.

        When building, this will default to the day count of the swap convention in the swap index if not specified.

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

      • capSchedule

        public CmsLeg.Builder capSchedule​(ValueSchedule capSchedule)
        Sets the cap schedule, optional.

        This defines the strike value of a cap as an initial value and a list of adjustments. Thus individual caplets may have different strike values. The cap rate is only allowed to change at payment period boundaries.

        If the product is not a cap, the cap schedule will be absent.

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

      • floorSchedule

        public CmsLeg.Builder floorSchedule​(ValueSchedule floorSchedule)
        Sets the floor schedule, optional.

        This defines the strike value of a floor as an initial value and a list of adjustments. Thus individual floorlets may have different strike values. The floor rate is only allowed to change at payment period boundaries.

        If the product is not a floor, the floor schedule will be absent.

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

      • toString

        public String toString()
        Overrides:
        toString in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<CmsLeg>