Package com.opengamma.strata.product.credit.type

Class ImmutableCdsConvention

java.lang.Object

com.opengamma.strata.product.credit.type.ImmutableCdsConvention

All Implemented Interfaces:

Named, CdsConvention, TradeConvention, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class ImmutableCdsConvention
extends Object
implements CdsConvention, org.joda.beans.ImmutableBean, Serializable

A market convention for credit default swap trades.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	ImmutableCdsConvention.Builder	The bean-builder for ImmutableCdsConvention.
static class	ImmutableCdsConvention.Meta	The meta-bean for ImmutableCdsConvention.

Method Summary

Modifier and Type	Method	Description
static ImmutableCdsConvention.Builder	builder()	Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
BusinessDayAdjustment	getBusinessDayAdjustment()	Gets the business day adjustment to apply to payment schedule dates.
Currency	getCurrency()	Gets the currency of the CDS.
DayCount	getDayCount()	Gets the day count convention applicable.
BusinessDayAdjustment	getEndDateBusinessDayAdjustment()	Gets the business day adjustment to apply to the end date, providing a default result if no override specified.
String	getName()	Gets the convention name.
Frequency	getPaymentFrequency()	Gets the periodic frequency of payments.
PaymentOnDefault	getPaymentOnDefault()	Gets the payment on default.
ProtectionStartOfDay	getProtectionStart()	Gets the protection start of the day.
RollConvention	getRollConvention()	Gets the convention defining how to roll dates, optional with defaulting getter.
DaysAdjustment	getSettlementDateOffset()	Gets the number of days between valuation date and settlement date.
BusinessDayAdjustment	getStartDateBusinessDayAdjustment()	Gets the business day adjustment to apply to the start date, providing a default result if no override specified.
DaysAdjustment	getStepinDateOffset()	Gets the number of days between valuation date and step-in date.
StubConvention	getStubConvention()	Gets the convention defining how to handle stubs, optional with defaulting getter.
int	hashCode()
static ImmutableCdsConvention.Meta	meta()	The meta-bean for ImmutableCdsConvention.
ImmutableCdsConvention.Meta	metaBean()
static ImmutableCdsConvention	of(String name, Currency currency, DayCount dayCount, Frequency paymentFrequency, BusinessDayAdjustment businessDayAdjustment, DaysAdjustment settlementDateOffset)	Obtains a convention based on the specified parameters.
ImmutableCdsConvention.Builder	toBuilder()	Returns a builder that allows this bean to be mutated.
String	toString()
CdsTrade	toTrade(StandardId legalEntityId, TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate)	Creates a CDS trade with TradeInfo.
CdsTrade	toTrade(StandardId legalEntityId, TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate, AdjustablePayment upfrontFee)	Creates a CDS trade with upfront fee and TradeInfo.

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Methods inherited from interface com.opengamma.strata.product.credit.type.CdsConvention

createTrade, createTrade, createTrade, createTrade, createTrade, createTrade

Method Detail

of

public static ImmutableCdsConvention of(String name,
                                        Currency currency,
                                        DayCount dayCount,
                                        Frequency paymentFrequency,
                                        BusinessDayAdjustment businessDayAdjustment,
                                        DaysAdjustment settlementDateOffset)

Obtains a convention based on the specified parameters.

Parameters:

name - the name of the convention

currency - the currency

dayCount - the day count

paymentFrequency - the payment frequency

businessDayAdjustment - the business day adjustment

settlementDateOffset - the settlement date offset

Returns:

the CDS convention

getStartDateBusinessDayAdjustment

public BusinessDayAdjustment getStartDateBusinessDayAdjustment()

Gets the business day adjustment to apply to the start date, providing a default result if no override specified.

The start date property is an unadjusted date and as such might be a weekend or holiday. The adjustment specified here is used to convert the start date to a valid business day.

This will default to the businessDayAdjustment if not specified.

Returns:

the start date business day adjustment, not null

getEndDateBusinessDayAdjustment

public BusinessDayAdjustment getEndDateBusinessDayAdjustment()

Gets the business day adjustment to apply to the end date, providing a default result if no override specified.

The end date property is an unadjusted date and as such might be a weekend or holiday. The adjustment specified here is used to convert the end date to a valid business day.

This will default to the 'None' if not specified.

Returns:

the end date business day adjustment, not null

toTrade

public CdsTrade toTrade(StandardId legalEntityId,
                        TradeInfo tradeInfo,
                        LocalDate startDate,
                        LocalDate endDate,
                        BuySell buySell,
                        double notional,
                        double fixedRate)

Description copied from interface: CdsConvention

Creates a CDS trade with TradeInfo.

Specified by:

toTrade in interface CdsConvention

Parameters:

legalEntityId - the legal entity ID

tradeInfo - the trade info

startDate - the start date

endDate - the end date

buySell - buy or sell

notional - the notional

fixedRate - the fixed rate

Returns:

the CDS trade

toTrade

public CdsTrade toTrade(StandardId legalEntityId,
                        TradeInfo tradeInfo,
                        LocalDate startDate,
                        LocalDate endDate,
                        BuySell buySell,
                        double notional,
                        double fixedRate,
                        AdjustablePayment upfrontFee)

Description copied from interface: CdsConvention

Creates a CDS trade with upfront fee and TradeInfo.

Specified by:

toTrade in interface CdsConvention

Parameters:

legalEntityId - the legal entity ID

tradeInfo - the trade info

startDate - the start date

endDate - the end date

buySell - buy or sell

notional - the notional

fixedRate - the fixed rate

upfrontFee - the upFront fee

Returns:

the CDS trade

toString

public String toString()

Overrides:

toString in class Object

meta

public static ImmutableCdsConvention.Meta meta()

The meta-bean for ImmutableCdsConvention.

Returns:

the meta-bean, not null

builder

public static ImmutableCdsConvention.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public ImmutableCdsConvention.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getName

public String getName()

Gets the convention name.

Specified by:

getName in interface CdsConvention

Specified by:

getName in interface Named

Returns:

the value of the property, not null

getCurrency

public Currency getCurrency()

Gets the currency of the CDS.

The amounts of the notional are expressed in terms of this currency.

Specified by:

getCurrency in interface CdsConvention

Returns:

the value of the property, not null

getDayCount

public DayCount getDayCount()

Gets the day count convention applicable.

This is used to convert schedule period dates to a numerical value.

Returns:

the value of the property, not null

getPaymentFrequency

public Frequency getPaymentFrequency()

Gets the periodic frequency of payments.

Regular payments will be made at the specified periodic frequency. This also defines the accrual periodic frequency.

Returns:

the value of the property, not null

getBusinessDayAdjustment

public BusinessDayAdjustment getBusinessDayAdjustment()

Gets the business day adjustment to apply to payment schedule dates.

Each date in the calculated schedule is determined without taking into account weekends and holidays. The adjustment specified here is used to convert those dates to valid business days.

The start date and end date may have their own business day adjustment rules. If those are not present, then this adjustment is used instead.

Returns:

the value of the property, not null

getStubConvention

public StubConvention getStubConvention()

Gets the convention defining how to handle stubs, optional with defaulting getter.

The stub convention is used during schedule construction to determine whether the irregular remaining period occurs at the start or end of the schedule. It also determines whether the irregular period is shorter or longer than the regular period.

This will default to 'SmartInitial' if not specified.

Returns:

the value of the property, not null

getRollConvention

public RollConvention getRollConvention()

Gets the convention defining how to roll dates, optional with defaulting getter.

The schedule periods are determined at the high level by repeatedly adding the frequency to the start date, or subtracting it from the end date. The roll convention provides the detailed rule to adjust the day-of-month or day-of-week.

This will default to 'Day20' if not specified.

Returns:

the value of the property, not null

getPaymentOnDefault

public PaymentOnDefault getPaymentOnDefault()

Gets the payment on default.

Whether the accrued premium is paid in the event of a default.

This will default to 'accrued premium' if not specified.

Returns:

the value of the property, not null

getProtectionStart

public ProtectionStartOfDay getProtectionStart()

Gets the protection start of the day.

When the protection starts on the start date.

This will default to 'beginning of the start day' if not specified.

Returns:

the value of the property, not null

getStepinDateOffset

public DaysAdjustment getStepinDateOffset()

Gets the number of days between valuation date and step-in date.

The step-in date is also called protection effective date.

This will default to '1 calendar day' if not specified.

Returns:

the value of the property, not null

getSettlementDateOffset

public DaysAdjustment getSettlementDateOffset()

Gets the number of days between valuation date and settlement date.

It is usually 3 business days for standardised CDS contracts.

Specified by:

getSettlementDateOffset in interface CdsConvention

Returns:

the value of the property, not null

toBuilder

public ImmutableCdsConvention.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object