Package com.opengamma.strata.product.swap

Class KnownAmountSwapLeg

  • All Implemented Interfaces:
    Resolvable<ResolvedSwapLeg>, ScheduledSwapLeg, SwapLeg, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
    public final class KnownAmountSwapLeg
extends Object
implements ScheduledSwapLeg, org.joda.beans.ImmutableBean, Serializable
    A fixed swap leg defined in terms of known amounts.

    Most fixed swap legs are calculated based on a fixed rate of interest. By contrast, this leg defines a known payment amount for each period.

    Each payment occurs relative to a payment period. The payment periods are calculated relative to the accrual periods. While the model allows the frequency of the accrual and payment periods to differ, this will have no effect, as the amounts to be paid at each payment date are known. This design is intended to match FpML.

    See Also:
    RateCalculationSwapLeg, FixedRateCalculation, Serialized Form

    • Method Detail

      • getType

        public SwapLegType getType()
        Description copied from interface: SwapLeg
        Gets the type of the leg, such as Fixed or Ibor.

        This provides a high level categorization of the swap leg.

        Specified by:
        getType in interface SwapLeg
        Returns:
        the leg type

      • getStartDate

        public AdjustableDate getStartDate()
        Description copied from interface: SwapLeg
        Gets the accrual start date of the leg.

        This is the first accrual date in the leg, often known as the effective date.

        Defined as the effective date by the 2006 ISDA definitions article 3.2.

        Specified by:
        getStartDate in interface SwapLeg
        Returns:
        the start date of the leg

      • getEndDate

        public AdjustableDate getEndDate()
        Description copied from interface: SwapLeg
        Gets the accrual end date of the leg.

        This is the last accrual date in the leg, often known as the termination date.

        Defined as the termination date by the 2006 ISDA definitions article 3.3.

        Specified by:
        getEndDate in interface SwapLeg
        Returns:
        the end date of the leg

      • collectCurrencies

        public void collectCurrencies​(ImmutableSet.Builder<Currency> builder)
        Description copied from interface: SwapLeg
        Collects all the currencies referred to by this leg.

        This collects the complete set of currencies for the leg, not just the payment currencies.

        Specified by:
        collectCurrencies in interface SwapLeg
        Parameters:
        builder - the builder to populate

      • collectIndices

        public void collectIndices​(ImmutableSet.Builder<Index> builder)
        Description copied from interface: SwapLeg
        Collects all the indices referred to by this leg.

        A swap leg will typically refer to at least one index, such as 'GBP-LIBOR-3M'. Each index that is referred to must be added to the specified builder.

        Specified by:
        collectIndices in interface SwapLeg
        Parameters:
        builder - the builder to populate

      • meta

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

      • builder

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

      • getPayReceive

        public PayReceive getPayReceive()
        Gets whether the leg is pay or receive.

        A value of 'Pay' implies that the resulting amount is paid to the counterparty. A value of 'Receive' implies that the resulting amount is received from the counterparty. Note that negative interest rates can result in a payment in the opposite direction to that implied by this indicator.

        Specified by:
        getPayReceive in interface SwapLeg
        Returns:
        the value of the property, not null

      • getAccrualSchedule

        public PeriodicSchedule getAccrualSchedule()
        Gets the accrual period schedule.

        This is used to define the accrual periods. These are used directly or indirectly to determine other dates in the swap.

        Specified by:
        getAccrualSchedule in interface ScheduledSwapLeg
        Returns:
        the value of the property, not null

      • getPaymentSchedule

        public PaymentSchedule getPaymentSchedule()
        Gets the payment period schedule.

        This is used to define the payment periods, including any compounding. The payment period dates are based on the accrual schedule.

        Specified by:
        getPaymentSchedule in interface ScheduledSwapLeg
        Returns:
        the value of the property, not null

      • getAmount

        public ValueSchedule getAmount()
        Gets the known amount schedule.

        This defines the schedule of known amounts, relative to the payment schedule. The schedule is defined as an initial amount, with optional changes during the tenor of the swap. The amount is only permitted to change at payment period boundaries.

        Note that the date of the payment is implied by the payment schedule. Any dates in the known amount schedule refer to the payment schedule, not the payment date.

        For example, consider a two year swap where each payment period is 3 months long. This schedule could define two entries, one that defines the payment amounts as GBP 1000 for the first year and one that defines the amount as GBP 500 for the second year. In this case there will be eight payments in total, four payments of GBP 1000 in the first year and four payments of GBP 500 in the second year. Each payment will occur on the date specified using the offset in PaymentSchedule.

        Returns:
        the value of the property, not null

      • getCurrency

        public Currency getCurrency()
        Gets the currency of the swap leg.

        This is the currency of the known payments.

        Specified by:
        getCurrency in interface SwapLeg
        Returns:
        the value of the property, not null

      • toBuilder

        public KnownAmountSwapLeg.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