Interface IborFixingDepositConvention
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- All Superinterfaces:
Named
,TradeConvention
- All Known Implementing Classes:
ImmutableIborFixingDepositConvention
public interface IborFixingDepositConvention extends TradeConvention, Named
A convention for Ibor fixing deposit trades.This defines the convention for an Ibor fixing deposit against a particular index. In most cases, the index contains sufficient information to fully define the convention. As such, the convention is set to be created on the fly based on the index.
To manually create a convention, see
ImmutableIborFixingDepositConvention
. To register a specific convention, seeIborFixingDepositConvention.ini
.
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Method Summary
All Methods Static Methods Instance Methods Abstract Methods Default Methods Modifier and Type Method Description default LocalDate
calculateSpotDateFromTradeDate(LocalDate tradeDate, ReferenceData refData)
Calculates the spot date from the trade date.IborFixingDepositTrade
createTrade(LocalDate tradeDate, Period depositPeriod, BuySell buySell, double notional, double fixedRate, ReferenceData refData)
Creates a trade based on this convention.static ExtendedEnum<IborFixingDepositConvention>
extendedEnum()
Gets the extended enum helper.IborIndex
getIndex()
Gets the Ibor index.String
getName()
Gets the name that uniquely identifies this convention.DaysAdjustment
getSpotDateOffset()
Gets the offset of the spot value date from the trade date.static IborFixingDepositConvention
of(IborIndex index)
Obtains a convention based on the specified index.static IborFixingDepositConvention
of(String uniqueName)
Obtains an instance from the specified unique name.IborFixingDepositTrade
toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate)
Creates a trade based on this convention.default IborFixingDepositTrade
toTrade(LocalDate tradeDate, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate)
Creates a trade based on this convention.
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Method Detail
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of
static IborFixingDepositConvention of(String uniqueName)
Obtains an instance from the specified unique name.- Parameters:
uniqueName
- the unique name- Returns:
- the convention
- Throws:
IllegalArgumentException
- if the name is not known
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of
static IborFixingDepositConvention of(IborIndex index)
Obtains a convention based on the specified index.This uses the index name to find the matching convention. By default, this will always return a convention, however configuration may be added to restrict the conventions that are registered.
- Parameters:
index
- the index, from which the index name is used to find the matching convention- Returns:
- the convention
- Throws:
IllegalArgumentException
- if no convention is registered for the index
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extendedEnum
static ExtendedEnum<IborFixingDepositConvention> extendedEnum()
Gets the extended enum helper.This helper allows instances of the convention to be looked up. It also provides the complete set of available instances.
- Returns:
- the extended enum helper
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getIndex
IborIndex getIndex()
Gets the Ibor index.The floating rate to be paid is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'.
- Returns:
- the index
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getSpotDateOffset
DaysAdjustment getSpotDateOffset()
Gets the offset of the spot value date from the trade date.The offset is applied to the trade date to find the start date. A typical value is "plus 2 business days".
- Returns:
- the spot date offset, not null
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createTrade
IborFixingDepositTrade createTrade(LocalDate tradeDate, Period depositPeriod, BuySell buySell, double notional, double fixedRate, ReferenceData refData)
Creates a trade based on this convention.This returns a trade based on the specified deposit period.
The notional is unsigned, with buy/sell determining the direction of the trade. If buying the Ibor fixing deposit, the floating rate is paid to the counterparty, with the fixed rate being received. If selling the Ibor fixing deposit, the floating rate is received from the counterparty, with the fixed rate being paid.
- Parameters:
tradeDate
- the date of the tradedepositPeriod
- the period between the start date and the end datebuySell
- 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
- Throws:
ReferenceDataNotFoundException
- if an identifier cannot be resolved in the reference data
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toTrade
default IborFixingDepositTrade toTrade(LocalDate tradeDate, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate)
Creates a trade based on this convention.This returns a trade based on the specified dates. The notional is unsigned, with buy/sell determining the direction of the trade. If buying the Ibor fixing deposit, the floating rate is paid to the counterparty, with the fixed rate being received. If selling the Ibor fixing deposit, the floating rate is received from the counterparty, with the fixed rate being paid.
- Parameters:
tradeDate
- the date of the tradestartDate
- the start dateendDate
- the end datebuySell
- the buy/sell flagnotional
- the notional amount, in the payment currency of the templatefixedRate
- the fixed rate, typically derived from the market- Returns:
- the trade
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toTrade
IborFixingDepositTrade toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate)
Creates a trade based on this convention.This returns a trade based on the specified dates. The notional is unsigned, with buy/sell determining the direction of the trade. If buying the Ibor fixing deposit, the floating rate is paid to the counterparty, with the fixed rate being received. If selling the Ibor fixing deposit, the floating rate is received from the counterparty, with the fixed rate being paid.
- Parameters:
tradeInfo
- additional information about the tradestartDate
- the start dateendDate
- the end datebuySell
- the buy/sell flagnotional
- the notional amount, in the payment currency of the templatefixedRate
- the fixed rate, typically derived from the market- Returns:
- the trade
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calculateSpotDateFromTradeDate
default LocalDate calculateSpotDateFromTradeDate(LocalDate tradeDate, ReferenceData refData)
Calculates the spot date from the trade date.- Parameters:
tradeDate
- the trade daterefData
- the reference data, used to resolve the date- Returns:
- the spot date
- Throws:
ReferenceDataNotFoundException
- if an identifier cannot be resolved in the reference data
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getName
String getName()
Gets the name that uniquely identifies this convention.This name is used in serialization and can be parsed using
of(String)
.
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