Package com.opengamma.strata.product.swap.type

Interface IborIborSwapConvention

All Superinterfaces:

Named, SingleCurrencySwapConvention, TradeConvention

All Known Implementing Classes:

ImmutableIborIborSwapConvention

public interface IborIborSwapConvention
extends SingleCurrencySwapConvention, Named

A market convention for Ibor-Ibor swap trades.

This defines the market convention for a Ibor-Ibor single currency swap. The convention is formed by combining two swap leg conventions in the same currency.

The market price is for the difference (spread) between the values of the two legs. This convention has two legs, the "spread leg" and the "flat leg". The spread will be added to the "spread leg", which is typically the leg with the shorter underlying tenor. The payment frequency is typically determined by the longer underlying tenor, with compounding applied.

For example, a 'USD 3s1s' basis swap has 'USD-LIBOR-1M' as the spread leg and 'USD-LIBOR-3M' as the flat leg. Payment is every 3 months, with the one month leg compounded.

To manually create a convention, see ImmutableIborIborSwapConvention. To register a specific convention, see IborIborSwapConvention.ini.

Method Summary

Modifier and Type	Method	Description
default SwapTrade	createTrade(LocalDate tradeDate, Tenor tenor, BuySell buySell, double notional, double spread, 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 spread, ReferenceData refData)	Creates a forward-starting trade based on this convention.
static ExtendedEnum<IborIborSwapConvention>	extendedEnum()	Gets the extended enum helper.
IborRateSwapLegConvention	getFlatLeg()	Gets the market convention of the floating leg that does not have the spread applied.
String	getName()	Gets the name that uniquely identifies this convention.
IborRateSwapLegConvention	getSpreadLeg()	Gets the market convention of the floating leg that has the spread applied.
static IborIborSwapConvention	of(String uniqueName)	Obtains an instance from the specified unique name.
SwapTrade	toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double spread)	Creates a trade based on this convention.
default SwapTrade	toTrade(LocalDate tradeDate, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double spread)	Creates a trade based on this convention.

Methods inherited from interface com.opengamma.strata.product.swap.type.SingleCurrencySwapConvention

calculateSpotDateFromTradeDate, getSpotDateOffset

Method Detail

of

static IborIborSwapConvention 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<IborIborSwapConvention> 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

getSpreadLeg

IborRateSwapLegConvention getSpreadLeg()

Gets the market convention of the floating leg that has the spread applied.

The spread is the market price of the instrument. It is added to the observed interest rate.

Returns:

the spread leg convention

getFlatLeg

IborRateSwapLegConvention getFlatLeg()

Gets the market convention of the floating leg that does not have the spread applied.

Returns:

the flat leg convention

createTrade

default SwapTrade createTrade(LocalDate tradeDate,
                              Tenor tenor,
                              BuySell buySell,
                              double notional,
                              double spread,
                              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 rate of the flat leg is received from the counterparty, with the rate of the spread leg being paid. If selling the swap, the opposite occurs.

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

spread - the spread, 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

createTrade

default SwapTrade createTrade(LocalDate tradeDate,
                              Period periodToStart,
                              Tenor tenor,
                              BuySell buySell,
                              double notional,
                              double spread,
                              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 rate of the flat leg is received from the counterparty, with the rate of the spread leg being paid. If selling the swap, the opposite occurs.

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

spread - the spread, 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

toTrade

default SwapTrade toTrade(LocalDate tradeDate,
                          LocalDate startDate,
                          LocalDate endDate,
                          BuySell buySell,
                          double notional,
                          double spread)

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 rate of the flat leg is received from the counterparty, with the rate of the spread leg being paid. If selling the swap, the opposite occurs.

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

spread - the spread, typically derived from the market

Returns:

the trade

toTrade

SwapTrade toTrade(TradeInfo tradeInfo,
                  LocalDate startDate,
                  LocalDate endDate,
                  BuySell buySell,
                  double notional,
                  double spread)

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 rate of the flat leg is received from the counterparty, with the rate of the spread leg being paid. If selling the swap, the opposite occurs.

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

spread - the spread, typically derived from the market

Returns:

the trade

getName

String getName()

Gets the name that uniquely identifies this convention.

This name is used in serialization and can be parsed using of(String).

Specified by:

getName in interface Named

Specified by:

getName in interface SingleCurrencySwapConvention

Returns:

the unique name