Package com.opengamma.strata.product.cms

Class ResolvedCmsLeg

  • All Implemented Interfaces:
    Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
    public final class ResolvedCmsLeg
extends Object
implements org.joda.beans.ImmutableBean, Serializable
    A CMS leg of a constant maturity swap (CMS) product, resolved for pricing.

    This is the resolved form of CmsLeg and is an input to the pricers. Applications will typically create a ResolvedCmLegs from a CmsLeg using CmsLeg.resolve(ReferenceData).

    This defines a single leg for a CMS product and is formed from a number of periods. Each period may be a CMS coupon, caplet or floorlet.

    A ResolvedCmsLeg is 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.

    See Also:
    Serialized Form

    • Method Detail

      • getStartDate

        public LocalDate getStartDate()
        Gets the start date of the leg.

        This is the first accrual date in the leg, often known as the effective date. This date has been adjusted to be a valid business day.

        Returns:
        the start date of the leg

      • getEndDate

        public LocalDate getEndDate()
        Gets the end date of the leg.

        This is the last accrual date in the leg, often known as the maturity date. This date has been adjusted to be a valid business day.

        Returns:
        the end date of the leg

      • getCurrency

        public Currency getCurrency()
        Gets the currency of the leg.

        All periods in the leg will have this currency.

        Returns:
        the currency

      • getIndex

        public SwapIndex getIndex()
        Gets the swap index of the leg.

        All periods in the leg will have this index.

        Returns:
        the index

      • getUnderlyingIndex

        public RateIndex getUnderlyingIndex()
        Gets the underlying Rate index that the leg is based on.

        All periods in the leg will have this index.

        Returns:
        the index

      • meta

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

      • builder

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

      • metaBean

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

      • getPayReceive

        public PayReceive getPayReceive()
        Gets 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.

        The value of this flag should match the signs of the payment period notionals.

        Returns:
        the value of the property, not null

      • getCmsPeriods

        public ImmutableList<CmsPeriod> getCmsPeriods()
        Gets the periodic payments based on the successive observed values of a swap index.

        Each payment period represents part of the life-time of the leg. In most cases, the periods do not overlap. However, since each payment period is essentially independent the data model allows overlapping periods.

        Returns:
        the value of the property, not empty

      • toBuilder

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

      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class Object