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

Interface OvernightIborSwapConvention

All Superinterfaces:

Named, SingleCurrencySwapConvention, TradeConvention

All Known Implementing Classes:

ImmutableOvernightIborSwapConvention

public interface OvernightIborSwapConvention
extends SingleCurrencySwapConvention, Named

A market convention for Overnight-Ibor swap trades.

This defines the market convention for a Overnight-Ibor single currency swap. In USD, this is often known as an Fed Fund Swap. The convention is formed by combining two swap leg conventions in the same currency.

To manually create a convention, see ImmutableOvernightIborSwapConvention. To register a specific convention, see OvernightIborSwapConvention.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<OvernightIborSwapConvention>	extendedEnum()	Gets the extended enum helper.
IborRateSwapLegConvention	getIborLeg()	Gets the market convention of the Ibor leg.
String	getName()	Gets the name that uniquely identifies this convention.
OvernightRateSwapLegConvention	getOvernightLeg()	Gets the market convention of the overnight leg.
static OvernightIborSwapConvention	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 OvernightIborSwapConvention 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<OvernightIborSwapConvention> 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

getOvernightLeg

OvernightRateSwapLegConvention getOvernightLeg()

Gets the market convention of the overnight leg.

Returns:

the overnight leg convention

getIborLeg

IborRateSwapLegConvention getIborLeg()

Gets the market convention of the Ibor leg.

Returns:

the Ibor 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 Ibor rate is received from the counterparty, with the overnight and spread being paid. If selling the swap, the Ibor rate is paid to the counterparty, with the overnight and spread being received.

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 of added the overnight rates, 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 Ibor rate is received from the counterparty, with the overnight and spread being paid. If selling the swap, the Ibor rate is paid to the counterparty, with the overnight and spread being received.

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 of added the overnight rates, 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 Ibor rate is received from the counterparty, with the overnight and spread being paid. If selling the swap, the Ibor rate is paid to the counterparty, with the overnight and spread being received.

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 of added the overnight rates, 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 Ibor rate is received from the counterparty, with the overnight and spread being paid. If selling the swap, the Ibor rate is paid to the counterparty, with the overnight and spread being received.

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 of added the overnight rates, 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