Package com.opengamma.strata.product.deposit.type

Class IborFixingDepositTemplate

java.lang.Object

com.opengamma.strata.product.deposit.type.IborFixingDepositTemplate

All Implemented Interfaces:

TradeTemplate, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class IborFixingDepositTemplate
extends Object
implements TradeTemplate, org.joda.beans.ImmutableBean, Serializable

A template for creating an Ibor fixing deposit trade.

This defines almost all the data necessary to create a IborFixingDepositTrade. The 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 price for a trade based on the template.

The convention is defined by four dates.

• Trade date, the date that the trade is agreed
• Start date or spot date, the date on which the deposit starts, typically 2 business days after the trade date
• End date, the date on which deposit ends, typically a number of months after the start date
• Fixing date, the date on which the index is to be observed, typically 2 business days before the start date

Some of these dates are specified by the convention embedded within this template.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
static IborFixingDepositTemplate.Builder	builder()	Returns a builder used to create an instance of the bean.
IborFixingDepositTrade	createTrade(LocalDate tradeDate, BuySell buySell, double notional, double fixedRate, ReferenceData refData)	Creates a trade based on this template.
boolean	equals(Object obj)
IborFixingDepositConvention	getConvention()	Gets the underlying Ibor fixing deposit convention.
Period	getDepositPeriod()	Gets the period between the start date and the end date.
int	hashCode()
static IborFixingDepositTemplate.Meta	meta()	The meta-bean for IborFixingDepositTemplate.
IborFixingDepositTemplate.Meta	metaBean()
static IborFixingDepositTemplate	of(IborIndex index)	Obtains a template based on the specified index.
static IborFixingDepositTemplate	of(Period depositPeriod, IborIndex index)	Obtains a template based on the specified period and index.
static IborFixingDepositTemplate	of(Period depositPeriod, IborFixingDepositConvention convention)	Obtains a template based on the specified periods and convention.
IborFixingDepositTemplate.Builder	toBuilder()	Returns a builder that allows this bean to be mutated.
String	toString()

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

Method Detail

of

public static IborFixingDepositTemplate of(IborIndex index)

Obtains a template based on the specified index.

The period from the start date to the end date will be the tenor of the index. The convention will be created based on the index.

Parameters:

index - the index that defines the market convention

Returns:

the template

of

public static IborFixingDepositTemplate of(Period depositPeriod,
                                           IborIndex index)

Obtains a template based on the specified period and index.

The period from the start date to the end is specified. The convention will be created based on the index.

Parameters:

depositPeriod - the period between the start date and the end date

index - the index that defines the market convention

Returns:

the template

of

public static IborFixingDepositTemplate of(Period depositPeriod,
                                           IborFixingDepositConvention convention)

Obtains a template based on the specified periods and convention.

Parameters:

depositPeriod - the period between the start date and the end date

convention - the market convention

Returns:

the template

createTrade

public IborFixingDepositTrade createTrade(LocalDate tradeDate,
                                          BuySell buySell,
                                          double notional,
                                          double fixedRate,
                                          ReferenceData refData)

Creates a trade based on this template.

This returns a trade based on the specified date. The notional is unsigned, with buy/sell determining the direction of the trade. If buying the Ibor fixing deposit, the floating rate is paid from the counterparty, with the fixed rate being received. If selling the Ibor fixing deposit, the floating received is paid to the counterparty, with the fixed rate being paid.

Parameters:

tradeDate - the date of the trade

buySell - the buy/sell flag, see IborFixingDeposit.getBuySell()

notional - the notional amount, in the payment currency of the template

fixedRate - the fixed rate, typically derived from the market

refData - the reference data, used to resolve the trade dates

Returns:

the trade

Throws:

ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data

meta

public static IborFixingDepositTemplate.Meta meta()

The meta-bean for IborFixingDepositTemplate.

Returns:

the meta-bean, not null

builder

public static IborFixingDepositTemplate.Builder builder()

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

Returns:

the builder, not null

metaBean

public IborFixingDepositTemplate.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getDepositPeriod

public Period getDepositPeriod()

Gets the period between the start date and the end date.

The difference between the start date and the end date typically matches the tenor of the index, however this is not validated.

Returns:

the value of the property, not null

getConvention

public IborFixingDepositConvention getConvention()

Gets the underlying Ibor fixing deposit convention.

This specifies the standard convention of the Ibor fixing deposit to be created.

Returns:

the value of the property, not null

toBuilder

public IborFixingDepositTemplate.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

toString

public String toString()

Overrides:

toString in class Object