Class IborFixingDeposit
- java.lang.Object
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- com.opengamma.strata.product.deposit.IborFixingDeposit
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- All Implemented Interfaces:
Resolvable<ResolvedIborFixingDeposit>
,Product
,Serializable
,org.joda.beans.Bean
,org.joda.beans.ImmutableBean
public final class IborFixingDeposit extends Object implements Product, Resolvable<ResolvedIborFixingDeposit>, org.joda.beans.ImmutableBean, Serializable
An Ibor fixing deposit.An Ibor fixing deposit is a fictitious financial instrument that provides a floating rate of interest on notional amount for a specific term, which is effectively an exchange of a fixed rate and a floating rate based on an Ibor index on the term end date.
For example, an Ibor fixing deposit involves the exchange of the difference between the fixed rate of 1% and the 'GBP-LIBOR-3M' rate for the principal in 3 months time.
- See Also:
- Serialized Form
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Nested Class Summary
Nested Classes Modifier and Type Class Description static class
IborFixingDeposit.Builder
The bean-builder forIborFixingDeposit
.static class
IborFixingDeposit.Meta
The meta-bean forIborFixingDeposit
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Method Summary
All Methods Static Methods Instance Methods Concrete Methods Modifier and Type Method Description ImmutableSet<Currency>
allCurrencies()
Returns the set of currencies the product refers to.static IborFixingDeposit.Builder
builder()
Returns a builder used to create an instance of the bean.boolean
equals(Object obj)
Optional<BusinessDayAdjustment>
getBusinessDayAdjustment()
Gets the business day adjustment to apply to the start and end date, optional.BuySell
getBuySell()
Gets whether the Ibor fixing deposit is 'Buy' or 'Sell'.Currency
getCurrency()
Gets the primary currency, defaulted to the currency of the index.DayCount
getDayCount()
Gets the day count convention applicable, defaulted to the day count of the index.LocalDate
getEndDate()
Gets the end date of the deposit.double
getFixedRate()
Gets the fixed interest rate to be paid.DaysAdjustment
getFixingDateOffset()
Gets the offset of the fixing date from the start date.IborIndex
getIndex()
Gets the Ibor index.double
getNotional()
Gets the notional amount.LocalDate
getStartDate()
Gets the start date of the deposit.int
hashCode()
static IborFixingDeposit.Meta
meta()
The meta-bean forIborFixingDeposit
.IborFixingDeposit.Meta
metaBean()
ResolvedIborFixingDeposit
resolve(ReferenceData refData)
Resolves this object using the specified reference data.IborFixingDeposit.Builder
toBuilder()
Returns a builder that allows this bean to be mutated.String
toString()
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Methods inherited from class java.lang.Object
clone, finalize, getClass, notify, notifyAll, wait, wait, wait
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Methods inherited from interface com.opengamma.strata.product.Product
allPaymentCurrencies, isCrossCurrency
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Method Detail
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allCurrencies
public ImmutableSet<Currency> allCurrencies()
Description copied from interface:Product
Returns the set of currencies the product refers to.This returns the complete set of currencies, not just the payment currencies. For example, the sets will differ when one of the currencies is non-deliverable.
- Specified by:
allCurrencies
in interfaceProduct
- Returns:
- the set of currencies the product refers to
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resolve
public ResolvedIborFixingDeposit resolve(ReferenceData refData)
Description copied from interface:Resolvable
Resolves this object using the specified reference data.This converts the object implementing this interface to the equivalent resolved form. All
ReferenceDataId
identifiers in this instance will be resolved. The resolved form will typically be a type that is optimized for pricing.Resolved objects may be 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.
- Specified by:
resolve
in interfaceResolvable<ResolvedIborFixingDeposit>
- Parameters:
refData
- the reference data to use when resolving- Returns:
- the resolved instance
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meta
public static IborFixingDeposit.Meta meta()
The meta-bean forIborFixingDeposit
.- Returns:
- the meta-bean, not null
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builder
public static IborFixingDeposit.Builder builder()
Returns a builder used to create an instance of the bean.- Returns:
- the builder, not null
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metaBean
public IborFixingDeposit.Meta metaBean()
- Specified by:
metaBean
in interfaceorg.joda.beans.Bean
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getBuySell
public BuySell getBuySell()
Gets whether the Ibor fixing deposit is 'Buy' or 'Sell'.A value of 'Buy' implies that the floating rate is paid to the counterparty, with the fixed rate being received. A value of 'Sell' implies that the floating rate is received from the counterparty, with the fixed rate being paid.
- Returns:
- the value of the property, not null
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getCurrency
public Currency getCurrency()
Gets the primary currency, defaulted to the currency of the index.This is the currency of the deposit and the currency that payment is made in. The data model permits this currency to differ from that of the index, however the two are typically the same.
When building, this will default to the currency of the index if not specified.
- Returns:
- the value of the property, not null
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getNotional
public double getNotional()
Gets the notional amount.The notional expressed here must be non-negative. The currency of the notional is specified by
currency
.- Returns:
- the value of the property
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getStartDate
public LocalDate getStartDate()
Gets the start date of the deposit.Interest accrues from this date. This date is typically set to be a valid business day. Optionally, the
businessDayAdjustment
property may be set to provide a rule for adjustment.- Returns:
- the value of the property, not null
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getEndDate
public LocalDate getEndDate()
Gets the end date of the deposit.Interest accrues until this date. This date is typically set to be a valid business day. Optionally, the
businessDayAdjustment
property may be set to provide a rule for adjustment. This date must be after the start date.- Returns:
- the value of the property, not null
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getBusinessDayAdjustment
public Optional<BusinessDayAdjustment> getBusinessDayAdjustment()
Gets the business day adjustment to apply to the start and end date, optional.The start and end date are typically defined as valid business days and thus do not need to be adjusted. If this optional property is present, then the start and end date will be adjusted as defined here.
- Returns:
- the optional value of the property, not null
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getIndex
public IborIndex getIndex()
Gets the Ibor index.The floating rate to be paid or received is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'.
See
buySell
to determine whether this rate is paid or received.- Returns:
- the value of the property, not null
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getFixingDateOffset
public DaysAdjustment getFixingDateOffset()
Gets the offset of the fixing date from the start date.The offset is applied to the start date and is typically minus 2 business days. The data model permits the offset to differ from that of the index, however the two are typically the same.
When building, this will default to the fixing date offset of the index if not specified.
- Returns:
- the value of the property, not null
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getDayCount
public DayCount getDayCount()
Gets the day count convention applicable, defaulted to the day count of the index.This is used to convert dates to a numerical value. The data model permits the day count to differ from that of the index, however the two are typically the same.
When building, this will default to the day count of the index if not specified.
- Returns:
- the value of the property, not null
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getFixedRate
public double getFixedRate()
Gets the fixed interest rate to be paid. A 5% rate will be expressed as 0.05.- Returns:
- the value of the property
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toBuilder
public IborFixingDeposit.Builder toBuilder()
Returns a builder that allows this bean to be mutated.- Returns:
- the mutable builder, not null
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