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

Class ImmutableFixedOvernightSwapConvention

java.lang.Object

com.opengamma.strata.product.swap.type.ImmutableFixedOvernightSwapConvention

All Implemented Interfaces:

Named, FixedFloatSwapConvention, FixedOvernightSwapConvention, SingleCurrencySwapConvention, TradeConvention, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class ImmutableFixedOvernightSwapConvention
extends Object
implements FixedOvernightSwapConvention, org.joda.beans.ImmutableBean, Serializable

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.

The convention is defined by four key 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 the interest calculation starts, often the same as the spot date
• End date, the date on which the interest calculation ends, typically a number of years after the start date

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	ImmutableFixedOvernightSwapConvention.Builder	The bean-builder for ImmutableFixedOvernightSwapConvention.
static class	ImmutableFixedOvernightSwapConvention.Meta	The meta-bean for ImmutableFixedOvernightSwapConvention.

Method Summary

Modifier and Type	Method	Description
static ImmutableFixedOvernightSwapConvention.Builder	builder()	Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
FixedRateSwapLegConvention	getFixedLeg()	Gets the market convention of the fixed leg.
OvernightRateSwapLegConvention	getFloatingLeg()	Gets the market convention of the floating leg.
String	getName()	Gets the convention name, such as 'USD-FIXED-TERM-FED-FUND-OIS'.
DaysAdjustment	getSpotDateOffset()	Gets the offset of the spot value date from the trade date.
int	hashCode()
static ImmutableFixedOvernightSwapConvention.Meta	meta()	The meta-bean for ImmutableFixedOvernightSwapConvention.
ImmutableFixedOvernightSwapConvention.Meta	metaBean()
static ImmutableFixedOvernightSwapConvention	of(String name, FixedRateSwapLegConvention fixedLeg, OvernightRateSwapLegConvention floatingLeg, DaysAdjustment spotDateOffset)	Obtains a convention based on the specified name and leg conventions.
ImmutableFixedOvernightSwapConvention.Builder	toBuilder()	Returns a builder that allows this bean to be mutated.
String	toString()
SwapTrade	toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate)	Creates a trade based on this convention.

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

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

createTrade, createTrade, toTemplate, toTrade

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

calculateSpotDateFromTradeDate

Method Detail

of

public static ImmutableFixedOvernightSwapConvention of(String name,
                                                       FixedRateSwapLegConvention fixedLeg,
                                                       OvernightRateSwapLegConvention floatingLeg,
                                                       DaysAdjustment spotDateOffset)

Obtains a convention based on the specified name and leg conventions.

The two leg conventions must be in the same currency.

Parameters:

name - the unique name of the convention

fixedLeg - the market convention for the fixed leg

floatingLeg - the market convention for the floating leg

spotDateOffset - the offset of the spot value date from the trade date

Returns:

the convention

toTrade

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

Description copied from interface: FixedOvernightSwapConvention

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 FixedOvernightSwapConvention

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:

the trade

toString

public String toString()

Overrides:

toString in class Object

meta

public static ImmutableFixedOvernightSwapConvention.Meta meta()

The meta-bean for ImmutableFixedOvernightSwapConvention.

Returns:

the meta-bean, not null

builder

public static ImmutableFixedOvernightSwapConvention.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public ImmutableFixedOvernightSwapConvention.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getName

public String getName()

Gets the convention name, such as 'USD-FIXED-TERM-FED-FUND-OIS'.

Specified by:

getName in interface FixedFloatSwapConvention

Specified by:

getName in interface FixedOvernightSwapConvention

Specified by:

getName in interface Named

Specified by:

getName in interface SingleCurrencySwapConvention

Returns:

the value of the property, not null

getFixedLeg

public FixedRateSwapLegConvention getFixedLeg()

Gets the market convention of the fixed leg.

Specified by:

getFixedLeg in interface FixedFloatSwapConvention

Returns:

the value of the property, not null

getFloatingLeg

public OvernightRateSwapLegConvention getFloatingLeg()

Gets the market convention of the floating leg.

Specified by:

getFloatingLeg in interface FixedFloatSwapConvention

Specified by:

getFloatingLeg in interface FixedOvernightSwapConvention

Returns:

the value of the property, not null

getSpotDateOffset

public DaysAdjustment getSpotDateOffset()

Gets the offset of the spot value date from the trade date.

The offset is applied to the trade date to find the start date. A typical value is "plus 2 business days".

Specified by:

getSpotDateOffset in interface SingleCurrencySwapConvention

Returns:

the value of the property, not null

toBuilder

public ImmutableFixedOvernightSwapConvention.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object