Package com.opengamma.strata.product.swaption

Class SwaptionExercise

  • All Implemented Interfaces:
    Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
    public final class SwaptionExercise
extends Object
implements org.joda.beans.ImmutableBean, Serializable
    Details as to when a swaption can be exercised.

    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.

    See Also:
    Serialized Form

    • Method Detail

      • ofEuropean

        public static SwaptionExercise ofEuropean​(AdjustableDate exerciseDate,
                                          DaysAdjustment swapStartDateOffset)
        Obtains an instance for a European swaption.
        Parameters:
        exerciseDate - the exercise date
        swapStartDateOffset - the swap start date offset
        Returns:
        the exercise

      • ofAmerican

        public static SwaptionExercise ofAmerican​(LocalDate earliestExerciseDate,
                                          LocalDate latestExerciseDate,
                                          BusinessDayAdjustment dateAdjustment,
                                          DaysAdjustment swapStartDateOffset)
        Obtains an instance for an American swaption.
        Parameters:
        earliestExerciseDate - the earliest exercise date
        latestExerciseDate - the latest exercise date
        dateAdjustment - the date adjustment
        swapStartDateOffset - the swap start date offset
        Returns:
        the exercise

      • ofBermudan

        public static SwaptionExercise ofBermudan​(AdjustableDates exerciseDates,
                                          DaysAdjustment swapStartDateOffset)
        Obtains an instance for a Bermudan swaption.
        Parameters:
        exerciseDates - the exercise dates
        swapStartDateOffset - the swap start date offset
        Returns:
        the exercise

      • ofBermudan

        public static SwaptionExercise ofBermudan​(LocalDate earliestExerciseDate,
                                          LocalDate latestExerciseDate,
                                          BusinessDayAdjustment dateAdjustment,
                                          Frequency frequency,
                                          DaysAdjustment swapStartDateOffset)
        Obtains an instance for a Bermudan swaption where the dates are calculated.

        For example, if the dates represent a 5 year period and the frequency is yearly then the Bermudan swaption can be exercised each year in the period. The exact dates are calculated by adding multiples of the frequency to the earliest date.

        Parameters:
        earliestExerciseDate - the earliest exercise date
        latestExerciseDate - the latest exercise date
        dateAdjustment - the date adjustment
        frequency - the frequency
        swapStartDateOffset - the swap start date offset
        Returns:
        the exercise

      • isEuropean

        public boolean isEuropean()
        Checks if the exercise is European.
        Returns:
        true if European exercise on a single date

      • isAmerican

        public boolean isAmerican()
        Checks if the exercise is American.
        Returns:
        true if American exercise on any date

      • isBermudan

        public boolean isBermudan()
        Checks if the exercise is Bermudan.
        Returns:
        true if Bermudan exercise on a specific set of dates

      • calculateDates

        public AdjustableDates calculateDates()
        Gets the calculated list of exercise dates.

        This could be a large list in the case of an American exercise.

        Returns:
        the exercise dates

      • selectDate

        public AdjustableDate selectDate​(LocalDate proposedExerciseDate,
                                 ReferenceData refData)
        Selects a single exercise date based on the proposed date.

        This validates the proposed exercise date and returns it.

        The date is matched as an adjusted date first, then as an unadjusted date. If the date can only be an adjusted date, the result will use BusinessDayAdjustment.NONE.

        Parameters:
        proposedExerciseDate - the proposed exercise date
        refData - the reference data
        Returns:
        the exercise dates
        Throws:
        IllegalArgumentException - if the proposed exercise date is not valid

      • meta

        public static SwaptionExercise.Meta meta()
        The meta-bean for SwaptionExercise.
        Returns:
        the meta-bean, not null

      • metaBean

        public SwaptionExercise.Meta metaBean()
        Specified by:
        metaBean in interface org.joda.beans.Bean

      • getDateDefinition

        public AdjustableDates getDateDefinition()
        Gets an explicit list of exercise dates.

        A European swaption has one date in the list. A Bermudan swaption has at least two dates in the list. An American swaption has at exactly two dates in the list, the earliest and latest dates.

        Returns:
        the value of the property, not null

      • getFrequency

        public Optional<Frequency> getFrequency()
        Gets the frequency of exercise between the earliest and latest dates.

        An American swaption must set this to one day.

        A Bermudan swaption might set this to a specific frequency instead of pre-calculating the dates. If it does this, there must only be two dates in the list. The intermediate dates will be calculated by adding multiples of the frequency to the earliest date.

        Returns:
        the optional value of the property, not null

      • getSwapStartDateOffset

        public DaysAdjustment getSwapStartDateOffset()
        Gets the offset to the swap start date.

        Each adjusted exercise date has this offset applied to get the start date of the underlying swap.

        Returns:
        the value of the property, not null

      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class Object