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

Class ImmutableThreeLegBasisSwapConvention

java.lang.Object

com.opengamma.strata.product.swap.type.ImmutableThreeLegBasisSwapConvention

All Implemented Interfaces:

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

public final class ImmutableThreeLegBasisSwapConvention
extends Object
implements ThreeLegBasisSwapConvention, org.joda.beans.ImmutableBean, Serializable

A market convention for three leg basis swap trades.

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

The market price is for the difference (spread) between the values of the two floating legs. This convention has three legs, the "spread leg", the "spread floating leg" and the "flat floating leg". The "spread leg" represented by the fixed leg will be added to the "spread floating leg" which is typically the leg with the shorter underlying tenor. Thus the "spread leg" and "spread floating leg" will have the same pay/receive direction.

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

Method Summary

Modifier and Type	Method	Description
static ImmutableThreeLegBasisSwapConvention.Builder	builder()	Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
IborRateSwapLegConvention	getFlatFloatingLeg()	Gets the market convention of the floating leg that does not have the spread applied.
String	getName()	Gets the convention name.
DaysAdjustment	getSpotDateOffset()	Gets the offset of the spot value date from the trade date.
IborRateSwapLegConvention	getSpreadFloatingLeg()	Gets the market convention of the floating leg to which the spread leg is added.
FixedRateSwapLegConvention	getSpreadLeg()	Gets the market convention of the fixed leg for the spread.
int	hashCode()
static ImmutableThreeLegBasisSwapConvention.Meta	meta()	The meta-bean for ImmutableThreeLegBasisSwapConvention.
ImmutableThreeLegBasisSwapConvention.Meta	metaBean()
static ImmutableThreeLegBasisSwapConvention	of(String name, FixedRateSwapLegConvention spreadLeg, IborRateSwapLegConvention spreadFloatingLeg, IborRateSwapLegConvention flatFloatingLeg)	Obtains a convention based on the specified name and leg conventions.
static ImmutableThreeLegBasisSwapConvention	of(String name, FixedRateSwapLegConvention spreadLeg, IborRateSwapLegConvention spreadFloatingLeg, IborRateSwapLegConvention flatFloatingLeg, DaysAdjustment spotDateOffset)	Obtains a convention based on the specified name and leg conventions.
ImmutableThreeLegBasisSwapConvention.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.SingleCurrencySwapConvention

calculateSpotDateFromTradeDate

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

createTrade, createTrade, toTrade

Method Detail

of

public static ImmutableThreeLegBasisSwapConvention of(String name,
                                                      FixedRateSwapLegConvention spreadLeg,
                                                      IborRateSwapLegConvention spreadFloatingLeg,
                                                      IborRateSwapLegConvention flatFloatingLeg)

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 floating leg.

The spread is represented by FixedRateSwapLegConvention and to be applied to floatingSpreadLeg.

Parameters:

name - the unique name of the convention

spreadLeg - the market convention for the spread leg added to one of the floating leg

spreadFloatingLeg - the market convention for the spread floating leg

flatFloatingLeg - the market convention for the flat floating leg

Returns:

the convention

of

public static ImmutableThreeLegBasisSwapConvention of(String name,
                                                      FixedRateSwapLegConvention spreadLeg,
                                                      IborRateSwapLegConvention spreadFloatingLeg,
                                                      IborRateSwapLegConvention flatFloatingLeg,
                                                      DaysAdjustment spotDateOffset)

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

The two leg conventions must be in the same currency.

The spread is represented by FixedRateSwapLegConvention and to be applied to floatingSpreadLeg.

Parameters:

name - the unique name of the convention

spreadLeg - the market convention for the spread leg added to one of the floating leg

spreadFloatingLeg - the market convention for the spread floating leg

flatFloatingLeg - the market convention for the flat 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 spread)

Description copied from interface: ThreeLegBasisSwapConvention

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

Specified by:

toTrade in interface SingleCurrencySwapConvention

Specified by:

toTrade in interface ThreeLegBasisSwapConvention

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 ImmutableThreeLegBasisSwapConvention.Meta meta()

The meta-bean for ImmutableThreeLegBasisSwapConvention.

Returns:

the meta-bean, not null

builder

public static ImmutableThreeLegBasisSwapConvention.Builder builder()

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

Returns:

the builder, not null

metaBean

public ImmutableThreeLegBasisSwapConvention.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getName

public String getName()

Gets the convention name.

Specified by:

getName in interface Named

Specified by:

getName in interface SingleCurrencySwapConvention

Specified by:

getName in interface ThreeLegBasisSwapConvention

Returns:

the value of the property, not null

getSpreadLeg

public FixedRateSwapLegConvention getSpreadLeg()

Gets the market convention of the fixed leg for the spread.

This is to be applied to floatingSpreadLeg.

Specified by:

getSpreadLeg in interface ThreeLegBasisSwapConvention

Returns:

the value of the property, not null

getSpreadFloatingLeg

public IborRateSwapLegConvention getSpreadFloatingLeg()

Gets the market convention of the floating leg to which the spread leg is added.

Specified by:

getSpreadFloatingLeg in interface ThreeLegBasisSwapConvention

Returns:

the value of the property, not null

getFlatFloatingLeg

public IborRateSwapLegConvention getFlatFloatingLeg()

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

Specified by:

getFlatFloatingLeg in interface ThreeLegBasisSwapConvention

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 ImmutableThreeLegBasisSwapConvention.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