Class FixedOvernightSwapTemplate

  • All Implemented Interfaces:
    FixedFloatSwapTemplate, TradeTemplate, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

    public final class FixedOvernightSwapTemplate
    extends Object
    implements FixedFloatSwapTemplate, org.joda.beans.ImmutableBean, Serializable
    A template for creating Fixed-Overnight swap trades.

    This defines almost all the data necessary to create a Fixed-Overnight single currency SwapTrade. The trade date, notional and fixed rate are required to complete the template and create the trade. As such, it is often possible to get a market price for a trade based on the template. The market price is typically quoted as a bid/ask on the fixed rate.

    The template references four dates.

    • Trade date, the date that the trade is agreed
    • Spot date, the base for date calculations, typically 2 business days after the trade date
    • Start date, the date on which accrual starts
    • End date, the date on which accrual ends
    Some of these dates are specified by the convention embedded within this template.
    See Also:
    Serialized Form
    • Method Detail

      • of

        public static FixedOvernightSwapTemplate of​(Tenor tenor,
                                                    FixedOvernightSwapConvention convention)
        Obtains a template based on the specified tenor and convention.

        The swap will start on the spot date.

        Parameters:
        tenor - the tenor of the swap
        convention - the market convention
        Returns:
        the template
      • of

        public static FixedOvernightSwapTemplate of​(Period periodToStart,
                                                    Tenor tenor,
                                                    FixedOvernightSwapConvention convention)
        Obtains a template based on the specified period, tenor and convention.

        The period from the spot date to the start date is specified.

        Parameters:
        periodToStart - the period between the spot date and the start date
        tenor - the tenor of the swap
        convention - the market convention
        Returns:
        the template
      • createTrade

        public SwapTrade createTrade​(LocalDate tradeDate,
                                     BuySell buySell,
                                     double notional,
                                     double fixedRate,
                                     ReferenceData refData)
        Creates a trade based on this template.

        This returns a trade based on the specified trade date.

        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 FixedFloatSwapTemplate
        Parameters:
        tradeDate - the date of the trade
        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
        Throws:
        ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data
      • getPeriodToStart

        public Period getPeriodToStart()
        Gets the period between the spot value date and the start date.

        This is often zero, but can be greater if the swap if forward starting. This must not be negative.

        Returns:
        the value of the property, not null
      • getTenor

        public Tenor getTenor()
        Gets the tenor of the swap.

        This is the period from the first accrual date to the last accrual date.

        Specified by:
        getTenor in interface FixedFloatSwapTemplate
        Returns:
        the value of the property, not null
      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class Object