Class DatesCdsTemplate
- java.lang.Object
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- com.opengamma.strata.product.credit.type.DatesCdsTemplate
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- All Implemented Interfaces:
CdsTemplate
,TradeTemplate
,Serializable
,org.joda.beans.Bean
,org.joda.beans.ImmutableBean
public final class DatesCdsTemplate extends Object implements CdsTemplate, org.joda.beans.ImmutableBean, Serializable
A template for creating credit default swap trades.This defines almost all the data necessary to create a credit default swap
CdsTrade
. The start and end of the trade are specified byLocalDate
. UseTenorCdsTemplate
for standard CDS trades.The legal entity ID, trade date, notional and fixed rate are required to complete the template and create the trade. As such, it is often possible to get a market quote for a trade based on the template.
A CDS is quoted in points upfront, par spread, or quoted spread. For the latter two cases, the market quotes are passed as the fixed rate.
- See Also:
- Serialized Form
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Nested Class Summary
Nested Classes Modifier and Type Class Description static class
DatesCdsTemplate.Meta
The meta-bean forDatesCdsTemplate
.
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Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description CdsTrade
createTrade(StandardId legalEntityId, LocalDate tradeDate, BuySell buySell, double notional, double fixedRate, AdjustablePayment upFrontFee, ReferenceData refData)
Creates a trade based on this template.CdsTrade
createTrade(StandardId legalEntityId, LocalDate tradeDate, BuySell buySell, double notional, double fixedRate, ReferenceData refData)
Creates a trade based on this template.boolean
equals(Object obj)
CdsConvention
getConvention()
Gets the market convention of the credit default swap.LocalDate
getEndDate()
Gets the end date.LocalDate
getStartDate()
Gets the start date.int
hashCode()
static DatesCdsTemplate.Meta
meta()
The meta-bean forDatesCdsTemplate
.DatesCdsTemplate.Meta
metaBean()
static DatesCdsTemplate
of(LocalDate startDate, LocalDate endDate, CdsConvention convention)
Obtains a template based on the specified dates and convention.String
toString()
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Method Detail
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of
public static DatesCdsTemplate of(LocalDate startDate, LocalDate endDate, CdsConvention convention)
Obtains a template based on the specified dates and convention.- Parameters:
startDate
- the start dateendDate
- the end dateconvention
- the convention- Returns:
- the template
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createTrade
public CdsTrade createTrade(StandardId legalEntityId, LocalDate tradeDate, BuySell buySell, double notional, double fixedRate, ReferenceData refData)
Description copied from interface:CdsTemplate
Creates a trade based on this template.This returns a trade based on the specified trade date.
The notional is unsigned, with buy/sell determining the direction of the trade. If buying the CDS, the protection is received from the counterparty on default, with the fixed coupon being paid. If selling the CDS, the protection is paid to the counterparty on default, with the fixed coupon being received.
- Specified by:
createTrade
in interfaceCdsTemplate
- Parameters:
legalEntityId
- the legal entity IDtradeDate
- the date of the tradebuySell
- the buy/sell flagnotional
- the notional amount, in the payment currency of the templatefixedRate
- the fixed rate, typically derived from the marketrefData
- the reference data, used to resolve the trade dates- Returns:
- the trade
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createTrade
public CdsTrade createTrade(StandardId legalEntityId, LocalDate tradeDate, BuySell buySell, double notional, double fixedRate, AdjustablePayment upFrontFee, ReferenceData refData)
Description copied from interface:CdsTemplate
Creates a trade based on this template.This returns a trade based on the specified trade date and upfront fee.
The notional is unsigned, with buy/sell determining the direction of the trade. If buying the CDS, the protection is received from the counterparty on default, with the fixed coupon being paid. If selling the CDS, the protection is paid to the counterparty on default, with the fixed coupon being received.
- Specified by:
createTrade
in interfaceCdsTemplate
- Parameters:
legalEntityId
- the legal entity IDtradeDate
- the date of the tradebuySell
- the buy/sell flagnotional
- the notional amount, in the payment currency of the templatefixedRate
- the fixed rate, typically derived from the marketupFrontFee
- the reference datarefData
- the reference data, used to resolve the trade dates- Returns:
- the trade
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meta
public static DatesCdsTemplate.Meta meta()
The meta-bean forDatesCdsTemplate
.- Returns:
- the meta-bean, not null
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metaBean
public DatesCdsTemplate.Meta metaBean()
- Specified by:
metaBean
in interfaceorg.joda.beans.Bean
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getStartDate
public LocalDate getStartDate()
Gets the start date.The start date of the underling CDS product. This date can be modified following the rule in
convention
.- Returns:
- the value of the property, not null
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getEndDate
public LocalDate getEndDate()
Gets the end date.The end date of the underling CDS product. This date can be modified following the rule in
convention
.- Returns:
- the value of the property, not null
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getConvention
public CdsConvention getConvention()
Gets the market convention of the credit default swap.- Specified by:
getConvention
in interfaceCdsTemplate
- Returns:
- the value of the property, not null
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