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

Class ImmutableIborIborSwapConvention

java.lang.Object

com.opengamma.strata.product.swap.type.ImmutableIborIborSwapConvention

All Implemented Interfaces:

Named, IborIborSwapConvention, SingleCurrencySwapConvention, TradeConvention, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class ImmutableIborIborSwapConvention
extends Object
implements IborIborSwapConvention, org.joda.beans.ImmutableBean, Serializable

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.

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	ImmutableIborIborSwapConvention.Builder	The bean-builder for ImmutableIborIborSwapConvention.
static class	ImmutableIborIborSwapConvention.Meta	The meta-bean for ImmutableIborIborSwapConvention.

Method Summary

Modifier and Type	Method	Description
static ImmutableIborIborSwapConvention.Builder	builder()	Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
IborRateSwapLegConvention	getFlatLeg()	Gets the market convention of the floating leg that does not have the spread applied.
String	getName()	Gets the convention name, such as 'USD-LIBOR-3M-LIBOR-6M'.
DaysAdjustment	getSpotDateOffset()	Gets the offset of the spot value date from the trade date.
IborRateSwapLegConvention	getSpreadLeg()	Gets the market convention of the floating leg that has the spread applied.
int	hashCode()
static ImmutableIborIborSwapConvention.Meta	meta()	The meta-bean for ImmutableIborIborSwapConvention.
ImmutableIborIborSwapConvention.Meta	metaBean()
static ImmutableIborIborSwapConvention	of(String name, IborRateSwapLegConvention spreadLeg, IborRateSwapLegConvention flatLeg)	Obtains a convention based on the specified name and leg conventions.
static ImmutableIborIborSwapConvention	of(String name, IborRateSwapLegConvention spreadLeg, IborRateSwapLegConvention flatLeg, DaysAdjustment spotDateOffset)	Obtains a convention based on the specified name and leg conventions.
ImmutableIborIborSwapConvention.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 spread)	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.IborIborSwapConvention

createTrade, createTrade, toTrade

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

calculateSpotDateFromTradeDate

Method Detail

of

public static ImmutableIborIborSwapConvention of(String name,
                                                 IborRateSwapLegConvention spreadLeg,
                                                 IborRateSwapLegConvention flatLeg)

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

The two leg conventions must be in the same currency. The spot date offset is set to be the effective date offset of the index of the spread leg.

Parameters:

name - the unique name of the convention

spreadLeg - the market convention for the leg that the spread is added to

flatLeg - the market convention for the other leg, known as the flat leg

Returns:

the convention

of

public static ImmutableIborIborSwapConvention of(String name,
                                                 IborRateSwapLegConvention spreadLeg,
                                                 IborRateSwapLegConvention flatLeg,
                                                 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

spreadLeg - the market convention for the leg that the spread is added to

flatLeg - the market convention for the other leg, known as the flat 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 spread)

Description copied from interface: IborIborSwapConvention

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 IborIborSwapConvention

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

toString

public String toString()

Overrides:

toString in class Object

meta

public static ImmutableIborIborSwapConvention.Meta meta()

The meta-bean for ImmutableIborIborSwapConvention.

Returns:

the meta-bean, not null

builder

public static ImmutableIborIborSwapConvention.Builder builder()

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

Returns:

the builder, not null

metaBean

public ImmutableIborIborSwapConvention.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getName

public String getName()

Gets the convention name, such as 'USD-LIBOR-3M-LIBOR-6M'.

Specified by:

getName in interface IborIborSwapConvention

Specified by:

getName in interface Named

Specified by:

getName in interface SingleCurrencySwapConvention

Returns:

the value of the property, not null

getSpreadLeg

public 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.

Specified by:

getSpreadLeg in interface IborIborSwapConvention

Returns:

the value of the property, not null

getFlatLeg

public IborRateSwapLegConvention getFlatLeg()

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

Specified by:

getFlatLeg in interface IborIborSwapConvention

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 ImmutableIborIborSwapConvention.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