## Interface FixedOvernightSwapConvention

• All Superinterfaces:
Named, SingleCurrencySwapConvention, TradeConvention
All Known Implementing Classes:
ImmutableFixedOvernightSwapConvention

public interface FixedOvernightSwapConvention
extends SingleCurrencySwapConvention, Named
A market convention for Fixed-Overnight swap trades.

This defines the market convention for a Fixed-Overnight single currency swap. This is often known as an OIS swap, although Fed Fund swaps are also covered. The convention is formed by combining two swap leg conventions in the same currency.

To manually create a convention, see ImmutableFixedOvernightSwapConvention. To register a specific convention, see FixedOvernightSwapConvention.ini.

• ### Method Summary

All Methods
Modifier and Type Method Description
default SwapTrade createTrade​(LocalDate tradeDate, Tenor tenor, BuySell buySell, double notional, double fixedRate, ReferenceData refData)
Creates a spot-starting trade based on this convention.
default SwapTrade createTrade​(LocalDate tradeDate, Period periodToStart, Tenor tenor, BuySell buySell, double notional, double fixedRate, ReferenceData refData)
Creates a forward-starting trade based on this convention.
static ExtendedEnum<FixedOvernightSwapConvention> extendedEnum()
Gets the extended enum helper.
FixedRateSwapLegConvention getFixedLeg()
Gets the market convention of the fixed leg.
OvernightRateSwapLegConvention getFloatingLeg()
Gets the market convention of the floating leg.
String getName()
Gets the name that uniquely identifies this convention.
static FixedOvernightSwapConvention of​(String uniqueName)
Obtains an instance from the specified unique name.
SwapTrade toTrade​(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate)
Creates a trade based on this convention.
default SwapTrade toTrade​(LocalDate tradeDate, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate)
Creates a trade based on this convention.
• ### Methods inherited from interface com.opengamma.strata.product.swap.type.SingleCurrencySwapConvention

calculateSpotDateFromTradeDate, getSpotDateOffset
• ### Method Detail

• #### of

static FixedOvernightSwapConvention of​(String uniqueName)
Obtains an instance from the specified unique name.
Parameters:
uniqueName - the unique name
Returns:
the convention
Throws:
IllegalArgumentException - if the name is not known
• #### extendedEnum

static ExtendedEnum<FixedOvernightSwapConvention> extendedEnum()
Gets the extended enum helper.

This helper allows instances of the convention to be looked up. It also provides the complete set of available instances.

Returns:
the extended enum helper
• #### getFixedLeg

FixedRateSwapLegConvention getFixedLeg()
Gets the market convention of the fixed leg.
Returns:
the fixed leg convention
• #### getFloatingLeg

OvernightRateSwapLegConvention getFloatingLeg()
Gets the market convention of the floating leg.
Returns:
the floating leg convention

default SwapTrade createTrade​(LocalDate tradeDate,
Tenor tenor,
double notional,
double fixedRate,
ReferenceData refData)
Creates a spot-starting trade based on this convention.

This returns a trade based on the specified tenor. For example, a tenor of 5 years creates a swap starting on the spot date and maturing 5 years later.

The notional is unsigned, with buy/sell determining the direction of the trade. If buying the swap, the floating rate is received from the counterparty, with the fixed rate being paid. If selling the swap, the floating rate is paid to the counterparty, with the fixed rate being received.

Specified by:
createTrade in interface SingleCurrencySwapConvention
Parameters:
tradeDate - the date of the trade
tenor - the tenor of the swap
buySell - the buy/sell flag
notional - the notional amount
fixedRate - the fixed rate, typically derived from the market
refData - the reference data, used to resolve the trade dates
Returns:
Throws:
ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data

default SwapTrade createTrade​(LocalDate tradeDate,
Period periodToStart,
Tenor tenor,
double notional,
double fixedRate,
ReferenceData refData)
Creates a forward-starting trade based on this convention.

This returns a trade based on the specified period and tenor. For example, a period of 3 months and a tenor of 5 years creates a swap starting three months after the spot date and maturing 5 years later.

The notional is unsigned, with buy/sell determining the direction of the trade. If buying the swap, the floating rate is received from the counterparty, with the fixed rate being paid. If selling the swap, the floating rate is paid to the counterparty, with the fixed rate being received.

Specified by:
createTrade in interface SingleCurrencySwapConvention
Parameters:
tradeDate - the date of the trade
periodToStart - the period between the spot date and the start date
tenor - the tenor of the swap
buySell - the buy/sell flag
notional - the notional amount
fixedRate - the fixed rate, typically derived from the market
refData - the reference data, used to resolve the trade dates
Returns:
Throws:
ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data

default SwapTrade toTrade​(LocalDate tradeDate,
LocalDate startDate,
LocalDate endDate,
double notional,
double fixedRate)
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 swap, the floating rate is received from the counterparty, with the fixed rate being paid. If selling the swap, the floating rate is paid to the counterparty, with the fixed rate being received.

Specified by:
toTrade in interface SingleCurrencySwapConvention
Parameters:
tradeDate - the date of the trade
startDate - the start date
endDate - the end date
buySell - the buy/sell flag
notional - the notional amount
fixedRate - the fixed rate, typically derived from the market
Returns:

SwapTrade toTrade​(TradeInfo tradeInfo,
LocalDate startDate,
LocalDate endDate,
double notional,
double fixedRate)
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 swap, the floating rate is received from the counterparty, with the fixed rate being paid. If selling the swap, the floating rate is paid to the counterparty, with the fixed rate being received.

Specified by:
toTrade in interface SingleCurrencySwapConvention
Parameters:
tradeInfo - additional information about the trade
startDate - the start date
endDate - the end date
buySell - the buy/sell flag
notional - the notional amount
fixedRate - the fixed rate, typically derived from the market
Returns:
String getName()
This name is used in serialization and can be parsed using of(String).
getName in interface Named
getName in interface SingleCurrencySwapConvention