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

Class ImmutableIborFixingDepositConvention

java.lang.Object

com.opengamma.strata.product.deposit.type.ImmutableIborFixingDepositConvention

All Implemented Interfaces:

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

public final class ImmutableIborFixingDepositConvention
extends Object
implements IborFixingDepositConvention, org.joda.beans.ImmutableBean, Serializable

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, no other fields need to be specified when creating an instance. The name of the convention is the same as the name of the index by default. The getters will default any missing information on the fly, avoiding both null and Optional.

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

The period between the start date and end date is specified by IborFixingDepositTemplate, not by this convention. However, the period is typically equal to the tenor of the index.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
static ImmutableIborFixingDepositConvention.Builder	builder()	Returns a builder used to create an instance of the bean.
IborFixingDepositTrade	createTrade(LocalDate tradeDate, Period depositPeriod, BuySell buySell, double notional, double fixedRate, ReferenceData refData)	Creates a trade based on this convention.
boolean	equals(Object obj)
BusinessDayAdjustment	getBusinessDayAdjustment()	Gets the business day adjustment to apply to the start and end date, providing a default result if no override specified.
Currency	getCurrency()	Gets the primary currency, providing a default result if no override specified.
DayCount	getDayCount()	Gets the day count convention applicable, providing a default result if no override specified.
DaysAdjustment	getFixingDateOffset()	Gets the offset of the fixing date from the start date, providing a default result if no override specified.
IborIndex	getIndex()	Gets the Ibor index.
String	getName()	Gets the convention name, such as 'GBP-LIBOR-3M'.
DaysAdjustment	getSpotDateOffset()	Gets the offset of the spot value date from the trade date, providing a default result if no override specified.
int	hashCode()
static ImmutableIborFixingDepositConvention.Meta	meta()	The meta-bean for ImmutableIborFixingDepositConvention.
ImmutableIborFixingDepositConvention.Meta	metaBean()
static ImmutableIborFixingDepositConvention	of(IborIndex index)	Obtains a convention based on the specified index.
ImmutableIborFixingDepositConvention.Builder	toBuilder()	Returns a builder that allows this bean to be mutated.
String	toString()
IborFixingDepositTrade	toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate)	Creates a trade based on this convention.

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.deposit.type.IborFixingDepositConvention

calculateSpotDateFromTradeDate, toTrade

Method Detail

of

public static ImmutableIborFixingDepositConvention of(IborIndex index)

Obtains a convention based on the specified index.

The standard convention for an Ibor fixing deposit is based exclusively on the index. This creates an instance that contains the index. The instance is not dereferenced using the FraConvention name, as such the result of this method and IborFixingDepositConvention.of(IborIndex) can differ.

Use the builder for unusual conventions.

Parameters:

index - the index, the convention values are extracted from the index

Returns:

the convention

getName

public String getName()

Gets the convention name, such as 'GBP-LIBOR-3M'.

This will default to the name of the index if not specified.

Specified by:

getName in interface IborFixingDepositConvention

Specified by:

getName in interface Named

Returns:

the convention name

getCurrency

public Currency getCurrency()

Gets the primary currency, providing a default result if no override specified.

This is the currency of the Ibor fixing 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.

This will default to the currency of the index if not specified.

Returns:

the currency, not null

getDayCount

public DayCount getDayCount()

Gets the day count convention applicable, providing a default result if no override specified.

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.

This will default to the day count of the index if not specified.

Returns:

the day count, not null

getSpotDateOffset

public DaysAdjustment getSpotDateOffset()

Gets the offset of the spot value date from the trade date, providing a default result if no override specified.

The offset is applied to the trade date and is typically plus 2 business days. The start and end date of the term are relative to the spot date.

This will default to the effective date offset of the index if not specified.

Specified by:

getSpotDateOffset in interface IborFixingDepositConvention

Returns:

the spot date offset, not null

getBusinessDayAdjustment

public BusinessDayAdjustment getBusinessDayAdjustment()

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

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.

This will default to 'ModifiedFollowing' using the index fixing calendar if not specified.

Returns:

the business day adjustment, not null

getFixingDateOffset

public DaysAdjustment getFixingDateOffset()

Gets the offset of the fixing date from the start date, providing a default result if no override specified.

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.

This will default to the fixing date offset of the index if not specified.

Returns:

the fixing date offset, not null

createTrade

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

Description copied from interface: IborFixingDepositConvention

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.

Specified by:

createTrade in interface IborFixingDepositConvention

Parameters:

tradeDate - the date of the trade

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

buySell - the buy/sell flag

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

toTrade

public IborFixingDepositTrade toTrade(TradeInfo tradeInfo,
                                      LocalDate startDate,
                                      LocalDate endDate,
                                      BuySell buySell,
                                      double notional,
                                      double fixedRate)

Description copied from interface: IborFixingDepositConvention

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.

Specified by:

toTrade in interface IborFixingDepositConvention

Parameters:

tradeInfo - additional information about the trade

startDate - the start date

endDate - the end date

buySell - the buy/sell flag

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

fixedRate - the fixed rate, typically derived from the market

Returns:

the trade

toString

public String toString()

Overrides:

toString in class Object

meta

public static ImmutableIborFixingDepositConvention.Meta meta()

The meta-bean for ImmutableIborFixingDepositConvention.

Returns:

the meta-bean, not null

builder

public static ImmutableIborFixingDepositConvention.Builder builder()

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

Returns:

the builder, not null

metaBean

public ImmutableIborFixingDepositConvention.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

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'.

Specified by:

getIndex in interface IborFixingDepositConvention

Returns:

the value of the property, not null

toBuilder

public ImmutableIborFixingDepositConvention.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