Interface XCcyIborIborSwapConvention
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- All Superinterfaces:
Named
,TradeConvention
- All Known Implementing Classes:
ImmutableXCcyIborIborSwapConvention
public interface XCcyIborIborSwapConvention extends TradeConvention, Named
A market convention for cross-currency Ibor-Ibor swap trades without FX reset.This defines the market convention for a cross-currency Ibor-Ibor swap. The convention is formed by combining two swap leg conventions in different currencies.
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".
For example, a 'EUR/USD' basis swap has 'EUR-EURIBOR-3M' as the spread leg and 'USD-LIBOR-3M' as the flat leg.
To manually create a convention, see
ImmutableXCcyIborIborSwapConvention
. To register a specific convention, seeXCcyIborIborSwapConvention.ini
.
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Method Summary
All Methods Static Methods Instance Methods Abstract Methods Default Methods Modifier and Type Method Description default LocalDate
calculateSpotDateFromTradeDate(LocalDate tradeDate, ReferenceData refData)
Calculates the spot date from the trade date.default SwapTrade
createTrade(LocalDate tradeDate, Tenor tenor, BuySell buySell, double notionalSpreadLeg, double notionalFlatLeg, 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 notionalSpreadLeg, double notionalFlatLeg, double spread, ReferenceData refData)
Creates a forward-starting trade based on this convention.static ExtendedEnum<XCcyIborIborSwapConvention>
extendedEnum()
Gets the extended enum helper.default CurrencyPair
getCurrencyPair()
Gets the currency pair of the convention.IborRateSwapLegConvention
getFlatLeg()
Gets the market convention of the floating leg that does not have the spread applied.String
getName()
Gets the name that uniquely identifies this convention.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.static XCcyIborIborSwapConvention
of(String uniqueName)
Obtains an instance from the specified unique name.SwapTrade
toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notionalSpreadLeg, double notionalFlatLeg, double spread)
Creates a trade based on this convention.default SwapTrade
toTrade(LocalDate tradeDate, LocalDate startDate, LocalDate endDate, BuySell buySell, double notionalSpreadLeg, double notionalFlatLeg, double spread)
Creates a trade based on this convention.
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Method Detail
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of
static XCcyIborIborSwapConvention 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
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extendedEnum
static ExtendedEnum<XCcyIborIborSwapConvention> 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
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getSpreadLeg
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.
- Returns:
- the spread leg convention
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getFlatLeg
IborRateSwapLegConvention getFlatLeg()
Gets the market convention of the floating leg that does not have the spread applied.- Returns:
- the flat leg convention
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getSpotDateOffset
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".
- Returns:
- the spot date offset, not null
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getCurrencyPair
default CurrencyPair getCurrencyPair()
Gets the currency pair of the convention.- Returns:
- the currency pair
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createTrade
default SwapTrade createTrade(LocalDate tradeDate, Tenor tenor, BuySell buySell, double notionalSpreadLeg, double notionalFlatLeg, 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 notionals are unsigned, with buy/sell determining the direction of the trade. If buying the swap, the rate of the flat leg is received, with the rate of the spread leg being paid. If selling the swap, the opposite occurs.
- Parameters:
tradeDate
- the date of the tradetenor
- the tenor of the swapbuySell
- the buy/sell flagnotionalSpreadLeg
- the notional amount for the spread legnotionalFlatLeg
- the notional amount for the flat legspread
- the spread, typically derived from the marketrefData
- the reference data, used to resolve the trade dates- Returns:
- the trade
- Throws:
ReferenceDataNotFoundException
- if an identifier cannot be resolved in the reference data
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createTrade
default SwapTrade createTrade(LocalDate tradeDate, Period periodToStart, Tenor tenor, BuySell buySell, double notionalSpreadLeg, double notionalFlatLeg, 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 rate of the flat leg is received, with the rate of the spread leg being paid. If selling the swap, the opposite occurs.
- Parameters:
tradeDate
- the date of the tradeperiodToStart
- the period between the spot date and the start datetenor
- the tenor of the swapbuySell
- the buy/sell flagnotionalSpreadLeg
- the notional amount for the spread legnotionalFlatLeg
- the notional amount for the flat legspread
- the spread, typically derived from the marketrefData
- the reference data, used to resolve the trade dates- Returns:
- the trade
- Throws:
ReferenceDataNotFoundException
- if an identifier cannot be resolved in the reference data
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toTrade
default SwapTrade toTrade(LocalDate tradeDate, LocalDate startDate, LocalDate endDate, BuySell buySell, double notionalSpreadLeg, double notionalFlatLeg, 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 rate of the flat leg is received, with the rate of the spread leg being paid. If selling the swap, the opposite occurs.
- Parameters:
tradeDate
- the date of the tradestartDate
- the start dateendDate
- the end datebuySell
- the buy/sell flagnotionalSpreadLeg
- the notional amount for the spread legnotionalFlatLeg
- the notional amount for the flat legspread
- the spread, typically derived from the market- Returns:
- the trade
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toTrade
SwapTrade toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notionalSpreadLeg, double notionalFlatLeg, 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 rate of the flat leg is received, with the rate of the spread leg being paid. If selling the swap, the opposite occurs.
- Parameters:
tradeInfo
- additional information about the trade.startDate
- the start dateendDate
- the end datebuySell
- the buy/sell flagnotionalSpreadLeg
- the notional amount for the spread legnotionalFlatLeg
- the notional amount for the flat legspread
- the spread, typically derived from the market- Returns:
- the trade
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calculateSpotDateFromTradeDate
default LocalDate calculateSpotDateFromTradeDate(LocalDate tradeDate, ReferenceData refData)
Calculates the spot date from the trade date.- Parameters:
tradeDate
- the trade daterefData
- the reference data, used to resolve the date- Returns:
- the spot date
- Throws:
ReferenceDataNotFoundException
- if an identifier cannot be resolved in the reference data
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getName
String getName()
Gets the name that uniquely identifies this convention.This name is used in serialization and can be parsed using
of(String)
.
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