Package com.opengamma.strata.product.fra

Class ResolvedFra

  • All Implemented Interfaces:
    ResolvedProduct, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
    public final class ResolvedFra
extends Object
implements ResolvedProduct, org.joda.beans.ImmutableBean, Serializable
    A forward rate agreement (FRA), resolved for pricing.

    This is the resolved form of Fra and is an input to the pricers. Applications will typically create a ResolvedFra from a Fra using Fra.resolve(ReferenceData).

    A ResolvedFra is 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.

    See Also:
    Serialized Form

    • Method Detail

      • allIndices

        public Set<IborIndex> allIndices()
        Returns the set of indices referred to by the FRA.

        A swap will typically refer to one index, such as 'GBP-LIBOR-3M'. Occasionally, it will refer to two indices.

        Returns:
        the set of indices referred to by this FRA

      • meta

        public static ResolvedFra.Meta meta()
        The meta-bean for ResolvedFra.
        Returns:
        the meta-bean, not null

      • builder

        public static ResolvedFra.Builder builder()
        Returns a builder used to create an instance of the bean.
        Returns:
        the builder, not null

      • metaBean

        public ResolvedFra.Meta metaBean()
        Specified by:
        metaBean in interface org.joda.beans.Bean

      • getCurrency

        public Currency getCurrency()
        Gets the primary currency.

        This is the currency of the FRA 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.

        Returns:
        the value of the property, not null

      • getNotional

        public double getNotional()
        Gets the notional amount.

        The notional, which is a positive signed amount if the FRA is 'buy', and a negative signed amount if the FRA is 'sell'.

        The currency of the notional is specified by currency.

        Returns:
        the value of the property

      • getPaymentDate

        public LocalDate getPaymentDate()
        Gets the date that payment occurs.

        This is an adjusted date, which should be a valid business day

        Returns:
        the value of the property, not null

      • getStartDate

        public LocalDate getStartDate()
        Gets the start date, which is the effective date of the FRA.

        This is the first date that interest accrues.

        This is an adjusted date, which should be a valid business day

        Returns:
        the value of the property, not null

      • getEndDate

        public LocalDate getEndDate()
        Gets the end date, which is the termination date of the FRA.

        This is the last day that interest accrues. This date must be after the start date.

        This is an adjusted date, which should be a valid business day

        Returns:
        the value of the property, not null

      • getYearFraction

        public double getYearFraction()
        Gets the year fraction between the start and end date.

        The value is usually calculated using a DayCount. Typically the value will be close to 1 for one year and close to 0.5 for six months. The fraction may be greater than 1, but not less than 0.

        Returns:
        the value of the property

      • getFixedRate

        public double getFixedRate()
        Gets the fixed rate of interest. A 5% rate will be expressed as 0.05.
        Returns:
        the value of the property

      • getFloatingRate

        public RateComputation getFloatingRate()
        Gets the floating rate of interest.

        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 value of the property, not null

      • getDiscounting

        public FraDiscountingMethod getDiscounting()
        Gets the method to use for discounting.

        There are different approaches to FRA pricing in the area of discounting. This method specifies the approach for this FRA.

        Returns:
        the value of the property, not null

      • toBuilder

        public ResolvedFra.Builder toBuilder()
        Returns a builder that allows this bean to be mutated.
        Returns:
        the mutable builder, not null

      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class Object