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

Class InflationRateSwapLegConvention

java.lang.Object

com.opengamma.strata.product.swap.type.InflationRateSwapLegConvention

All Implemented Interfaces:

SwapLegConvention, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class InflationRateSwapLegConvention
extends Object
implements SwapLegConvention, org.joda.beans.ImmutableBean, Serializable

A market convention for the floating leg of rate swap trades based on a price index.

This defines the market convention for a floating leg based on the observed value of a Price index such as 'GB-HICP' or 'US-CPI-U'.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method	Description
static InflationRateSwapLegConvention.Builder	builder()	Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
Currency	getCurrency()	Gets the currency of the leg from the index.
PriceIndex	getIndex()	Gets the Price index.
PriceIndexCalculationMethod	getIndexCalculationMethod()	Gets reference price index calculation method.
Period	getLag()	Gets the positive period between the price index and the accrual date, typically a number of months.
int	hashCode()
boolean	isNotionalExchange()	Gets the flag indicating whether to exchange the notional.
static InflationRateSwapLegConvention.Meta	meta()	The meta-bean for InflationRateSwapLegConvention.
InflationRateSwapLegConvention.Meta	metaBean()
static InflationRateSwapLegConvention	of(PriceIndex index, Period lag, PriceIndexCalculationMethod priceIndexCalculationMethod, BusinessDayAdjustment businessDayAdjustment)	Obtains a convention based on the specified index.
InflationRateSwapLegConvention.Builder	toBuilder()	Returns a builder that allows this bean to be mutated.
RateCalculationSwapLeg	toLeg(LocalDate startDate, LocalDate endDate, PayReceive payReceive, double notional)	Creates a leg based on this convention.
String	toString()

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

Method Detail

of

public static InflationRateSwapLegConvention of(PriceIndex index,
                                                Period lag,
                                                PriceIndexCalculationMethod priceIndexCalculationMethod,
                                                BusinessDayAdjustment businessDayAdjustment)

Obtains a convention based on the specified index.

The standard market convention for an Inflation rate leg is based on the index. Use the builder for unusual conventions.

Parameters:

index - the index, the market convention values are extracted from the index

lag - the lag between the price index and the accrual date, typically a number of months

priceIndexCalculationMethod - the price index calculation method, typically interpolated or monthly

businessDayAdjustment - the business day

Returns:

the convention

getCurrency

public Currency getCurrency()

Gets the currency of the leg from the index.

Returns:

the currency

toLeg

public RateCalculationSwapLeg toLeg(LocalDate startDate,
                                    LocalDate endDate,
                                    PayReceive payReceive,
                                    double notional)

Creates a leg based on this convention.

This returns a leg based on the specified date. The notional is unsigned, with pay/receive determining the direction of the leg. If the leg is 'Pay', the fixed rate is paid to the counterparty. If the leg is 'Receive', the fixed rate is received from the counterparty.

Parameters:

startDate - the start date

endDate - the end date

payReceive - determines if the leg is to be paid or received

notional - the business day adjustment to apply to accrual schedule dates

Returns:

the leg

meta

public static InflationRateSwapLegConvention.Meta meta()

The meta-bean for InflationRateSwapLegConvention.

Returns:

the meta-bean, not null

builder

public static InflationRateSwapLegConvention.Builder builder()

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

Returns:

the builder, not null

metaBean

public InflationRateSwapLegConvention.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getIndex

public PriceIndex getIndex()

Gets the Price index.

The floating rate to be paid is based on this price index It will be a well known price index such as 'GB-HICP'.

Returns:

the value of the property, not null

getLag

public Period getLag()

Gets the positive period between the price index and the accrual date, typically a number of months.

A price index is typically published monthly and has a delay before publication. The lag is subtracted from the accrual start and end date to locate the month of the data to be observed.

For example, the September data may be published in October or November. A 3 month lag will cause an accrual date in December to be based on the observed data for September, which should be available by then.

Returns:

the value of the property, not null

getIndexCalculationMethod

public PriceIndexCalculationMethod getIndexCalculationMethod()

Gets reference price index calculation method.

This specifies how the reference index calculation occurs.

This will default to 'Monthly' if not specified.

Returns:

the value of the property, not null

isNotionalExchange

public boolean isNotionalExchange()

Gets the flag indicating whether to exchange the notional.

If 'true', the notional there is both an initial exchange and a final exchange of notional.

This will default to 'false' if not specified.

Returns:

the value of the property

toBuilder

public InflationRateSwapLegConvention.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

toString

public String toString()

Overrides:

toString in class Object