Class ResolvedSwaption

  • All Implemented Interfaces:
    ResolvedProduct, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

    public final class ResolvedSwaption
    extends Object
    implements ResolvedProduct, org.joda.beans.ImmutableBean, Serializable
    A swaption, resolved for pricing.

    This is the resolved form of Swaption and is an input to the pricers. Applications will typically create a ResolvedSwaption from a Swaption using Swaption.resolve(ReferenceData).

    A ResolvedSwaption is bound to data that changes over time, such as holiday calendars. If the data changes, such as the addition of a new holiday, the resolved form will not be updated. Care must be taken when placing the resolved form in a cache or persistence layer.

    See Also:
    Serialized Form
    • Method Detail

      • getExpiryDate

        public LocalDate getExpiryDate()
        Gets the expiry date of the option.
        the expiry date
      • getCurrency

        public Currency getCurrency()
        Gets the currency of the swaption.

        This is the currency of the underlying swap, which is not allowed to be cross-currency.

        the currency
      • getIndex

        public RateIndex getIndex()
        Gets the index of the underlying swap.
        the index of the underlying swap
      • meta

        public static ResolvedSwaption.Meta meta()
        The meta-bean for ResolvedSwaption.
        the meta-bean, not null
      • builder

        public static ResolvedSwaption.Builder builder()
        Returns a builder used to create an instance of the bean.
        the builder, not null
      • metaBean

        public ResolvedSwaption.Meta metaBean()
        Specified by:
        metaBean in interface org.joda.beans.Bean
      • getLongShort

        public LongShort getLongShort()
        Gets whether the option is long or short.

        Long indicates that the owner wants the option to be in the money at expiry. Short indicates that the owner wants the option to be out of the money at expiry.

        the value of the property, not null
      • getSwaptionSettlement

        public SwaptionSettlement getSwaptionSettlement()
        Gets settlement method.

        The settlement of the option is specified by SwaptionSettlement.

        the value of the property, not null
      • getExerciseInfo

        public SwaptionExerciseDates getExerciseInfo()
        Gets the exercise information.

        A swaption can have three different kinds of exercise - European, American and Bermudan. A European swaption has one exercise date, an American can exercise on any date, and a Bermudan can exercise on a fixed set of dates.

        European swaptions will have matching information in this object, expiry date and swap start date. If this is not set in the builder, it will be defaulted to European from the expiry date and swap start date.

        the value of the property, not null
      • getExpiry

        public ZonedDateTime getExpiry()
        Gets the expiry date-time of the option.

        The option is European, and can only be exercised on the expiry date.

        the value of the property, not null
      • getUnderlying

        public ResolvedSwap getUnderlying()
        Gets the underlying swap.

        At expiry, if the option is exercised, this swap will be entered into. The swap description is the swap as viewed by the party long the option.

        the value of the property, not null
      • toBuilder

        public ResolvedSwaption.Builder toBuilder()
        Returns a builder that allows this bean to be mutated.
        the mutable builder, not null
      • hashCode

        public int hashCode()
        hashCode in class Object