Package com.opengamma.strata.product.swap

Entity objects describing a swap.

A swap takes place between two counterparties who agree to exchange streams of payments. In the simplest vanilla interest rate swap, there are two legs, one with a fixed rate and the other a floating rate. Many other more complex swaps can also be represented.

Interface Summary

Interface	Description
NotionalPaymentPeriod	A period over which interest is accrued with a single payment calculated using a notional.
RateCalculation	The accrual calculation part of an interest rate swap leg.
ScheduledSwapLeg	A swap leg that defines dates using a schedule.
SwapIndex	A swap index.
SwapLeg	A single leg of a swap.
SwapPaymentEvent	A payment event, where a single payment is made between two counterparties.
SwapPaymentPeriod	A period over which interest is accrued with a single payment.

Class Summary

Class	Description
FixedRateCalculation	Defines the calculation of a fixed rate swap leg.
FixedRateCalculation.Builder	The bean-builder for FixedRateCalculation.
FixedRateCalculation.Meta	The meta-bean for FixedRateCalculation.
FixedRateStubCalculation	Defines the rate applicable in the initial or final stub of a fixed swap leg.
FixedRateStubCalculation.Meta	The meta-bean for FixedRateStubCalculation.
FutureValueNotional	A future value notional amount for a fixed swap leg.
FutureValueNotional.Builder	The bean-builder for FutureValueNotional.
FutureValueNotional.Meta	The meta-bean for FutureValueNotional.
FxReset	An FX rate conversion for the notional amount of a swap leg.
FxReset.Meta	The meta-bean for FxReset.
FxResetCalculation	Defines the calculation of an FX rate conversion for the notional amount of a swap leg.
FxResetCalculation.Builder	The bean-builder for FxResetCalculation.
FxResetCalculation.Meta	The meta-bean for FxResetCalculation.
FxResetNotionalExchange	An exchange of notionals between two counterparties where FX reset applies.
FxResetNotionalExchange.Meta	The meta-bean for FxResetNotionalExchange.
IborRateCalculation	Defines the calculation of a floating rate swap leg based on an Ibor index.
IborRateCalculation.Builder	The bean-builder for IborRateCalculation.
IborRateCalculation.Meta	The meta-bean for IborRateCalculation.
IborRateStubCalculation	Defines the rates applicable in the initial or final stub of an Ibor swap leg.
IborRateStubCalculation.Builder	The bean-builder for IborRateStubCalculation.
IborRateStubCalculation.Meta	The meta-bean for IborRateStubCalculation.
ImmutableSwapIndex	A swap index implementation based on an immutable set of rules.
ImmutableSwapIndex.Builder	The bean-builder for ImmutableSwapIndex.
ImmutableSwapIndex.Meta	The meta-bean for ImmutableSwapIndex.
InflationRateCalculation	Defines the calculation of a swap leg of a zero-coupon inflation coupon based on a price index.
InflationRateCalculation.Builder	The bean-builder for InflationRateCalculation.
InflationRateCalculation.Meta	The meta-bean for InflationRateCalculation.
KnownAmountNotionalSwapPaymentPeriod	A period within a swap that results in a known amount.
KnownAmountNotionalSwapPaymentPeriod.Builder	The bean-builder for KnownAmountNotionalSwapPaymentPeriod.
KnownAmountNotionalSwapPaymentPeriod.Meta	The meta-bean for KnownAmountNotionalSwapPaymentPeriod.
KnownAmountSwapLeg	A fixed swap leg defined in terms of known amounts.
KnownAmountSwapLeg.Builder	The bean-builder for KnownAmountSwapLeg.
KnownAmountSwapLeg.Meta	The meta-bean for KnownAmountSwapLeg.
KnownAmountSwapPaymentPeriod	A period within a swap that results in a known amount.
KnownAmountSwapPaymentPeriod.Builder	The bean-builder for KnownAmountSwapPaymentPeriod.
KnownAmountSwapPaymentPeriod.Meta	The meta-bean for KnownAmountSwapPaymentPeriod.
NotionalExchange	An exchange of notionals between two counterparties.
NotionalExchange.Meta	The meta-bean for NotionalExchange.
NotionalSchedule	Defines the schedule of notional amounts.
NotionalSchedule.Builder	The bean-builder for NotionalSchedule.
NotionalSchedule.Meta	The meta-bean for NotionalSchedule.
OvernightRateCalculation	Defines the calculation of a floating rate swap leg based on an Overnight index.
OvernightRateCalculation.Builder	The bean-builder for OvernightRateCalculation.
OvernightRateCalculation.Meta	The meta-bean for OvernightRateCalculation.
PaymentSchedule	Defines the schedule of payment dates relative to the accrual periods.
PaymentSchedule.Builder	The bean-builder for PaymentSchedule.
PaymentSchedule.Meta	The meta-bean for PaymentSchedule.
RateAccrualPeriod	A period over which a fixed or floating rate is accrued.
RateAccrualPeriod.Builder	The bean-builder for RateAccrualPeriod.
RateAccrualPeriod.Meta	The meta-bean for RateAccrualPeriod.
RateCalculationSwapLeg	A rate swap leg defined using a parameterized schedule and calculation.
RateCalculationSwapLeg.Builder	The bean-builder for RateCalculationSwapLeg.
RateCalculationSwapLeg.Meta	The meta-bean for RateCalculationSwapLeg.
RatePaymentPeriod	A period over which a rate of interest is paid.
RatePaymentPeriod.Builder	The bean-builder for RatePaymentPeriod.
RatePaymentPeriod.Meta	The meta-bean for RatePaymentPeriod.
RatePeriodSwapLeg	A rate swap leg defined using payment and accrual periods.
RatePeriodSwapLeg.Builder	The bean-builder for RatePeriodSwapLeg.
RatePeriodSwapLeg.Meta	The meta-bean for RatePeriodSwapLeg.
ResetSchedule	Defines the schedule of fixing dates relative to the accrual periods.
ResetSchedule.Builder	The bean-builder for ResetSchedule.
ResetSchedule.Meta	The meta-bean for ResetSchedule.
ResolvedSwap	A rate swap, resolved for pricing.
ResolvedSwap.Builder	The bean-builder for ResolvedSwap.
ResolvedSwap.Meta	The meta-bean for ResolvedSwap.
ResolvedSwapLeg	A resolved swap leg, with dates calculated ready for pricing.
ResolvedSwapLeg.Builder	The bean-builder for ResolvedSwapLeg.
ResolvedSwapLeg.Meta	The meta-bean for ResolvedSwapLeg.
ResolvedSwapTrade	A trade in a rate swap, resolved for pricing.
ResolvedSwapTrade.Builder	The bean-builder for ResolvedSwapTrade.
ResolvedSwapTrade.Meta	The meta-bean for ResolvedSwapTrade.
Swap	A rate swap.
Swap.Builder	The bean-builder for Swap.
Swap.Meta	The meta-bean for Swap.
SwapIndices	Constants and implementations for standard swap indices.
SwapTrade	A trade in a rate swap.
SwapTrade.Builder	The bean-builder for SwapTrade.
SwapTrade.Meta	The meta-bean for SwapTrade.

Enum Summary

Enum	Description
CompoundingMethod	A convention defining how to compound interest.
FixedAccrualMethod	The method of accruing interest on a notional amount using a fixed rate.
FixingRelativeTo	The base date that each rate fixing is made relative to.
FxResetFixingRelativeTo	The base date that each FX reset fixing is made relative to.
IborRateResetMethod	A convention defining how to process a floating rate reset schedule.
NegativeRateMethod	A convention defining how to handle a negative interest rate.
OvernightAccrualMethod	The method of accruing interest based on an Overnight index.
PaymentRelativeTo	The base date that each payment is made relative to.
PriceIndexCalculationMethod	Reference price index calculation method.
SwapLegType	The type of a swap leg.