com.opengamma.strata.product.credit.type

Interface CdsConvention

All Superinterfaces:

Named, TradeConvention

All Known Implementing Classes:

ImmutableCdsConvention

public interface CdsConvention
extends TradeConvention, Named

A market convention for credit default swap trades.

Method Summary

Modifier and Type	Method and Description
default CdsTrade	createTrade(StandardId legalEntityId, LocalDate tradeDate, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate, AdjustablePayment upFrontFee, ReferenceData refData) Creates a CDS trade with upfront fee from trade date, start date and end date.
default CdsTrade	createTrade(StandardId legalEntityId, LocalDate tradeDate, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate, ReferenceData refData) Creates a CDS trade from trade date, start date and end date.
default CdsTrade	createTrade(StandardId legalEntityId, LocalDate tradeDate, LocalDate startDate, Tenor tenor, BuySell buySell, double notional, double fixedRate, AdjustablePayment upFrontFee, ReferenceData refData) Creates a CDS trade with upfront fee based on the trade date, start date and the IMM date logic.
default CdsTrade	createTrade(StandardId legalEntityId, LocalDate tradeDate, LocalDate startDate, Tenor tenor, BuySell buySell, double notional, double fixedRate, ReferenceData refData) Creates a CDS trade based on the trade date, start date and the IMM date logic.
default CdsTrade	createTrade(StandardId legalEntityId, LocalDate tradeDate, Tenor tenor, BuySell buySell, double notional, double fixedRate, AdjustablePayment upFrontFee, ReferenceData refData) Creates a CDS trade with upfront fee based on the trade date and the IMM date logic.
default CdsTrade	createTrade(StandardId legalEntityId, LocalDate tradeDate, Tenor tenor, BuySell buySell, double notional, double fixedRate, ReferenceData refData) Creates a CDS trade based on the trade date and the IMM date logic.
static ExtendedEnum<CdsConvention>	extendedEnum() Gets the extended enum helper.
Currency	getCurrency() Get the currency of the CDS.
String	getName() Gets the name that uniquely identifies this convention.
DaysAdjustment	getSettlementDateOffset() Get the number of days between valuation date and settlement date.
static CdsConvention	of(String uniqueName) Obtains an instance from the specified unique name.
CdsTrade	toTrade(StandardId legalEntityId, TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate) Creates a CDS trade with TradeInfo.
CdsTrade	toTrade(StandardId legalEntityId, TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate, AdjustablePayment upFrontFee) Creates a CDS trade with upfront fee and TradeInfo.

Methods inherited from interface com.opengamma.strata.collect.named.Named

of

Method Detail

of

static CdsConvention 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<CdsConvention> 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

getSettlementDateOffset

DaysAdjustment getSettlementDateOffset()

Get the number of days between valuation date and settlement date.

It is usually 3 business days for standardised CDS contracts.

Returns:

days adjustment

getCurrency

Currency getCurrency()

Get the currency of the CDS.

The amounts of the notional are expressed in terms of this currency.

Returns:

the currency

createTrade

default CdsTrade createTrade(StandardId legalEntityId,
                             LocalDate tradeDate,
                             Tenor tenor,
                             BuySell buySell,
                             double notional,
                             double fixedRate,
                             ReferenceData refData)

Creates a CDS trade based on the trade date and the IMM date logic.

The start date and end date are computed from trade date with the standard semi-annual roll convention.

Parameters:

legalEntityId - the legal entity ID

tradeDate - the trade date

tenor - the tenor

buySell - buy or sell

notional - the notional

fixedRate - the fixed rate

refData - the reference data

Returns:

the CDS trade

createTrade

default CdsTrade createTrade(StandardId legalEntityId,
                             LocalDate tradeDate,
                             LocalDate startDate,
                             Tenor tenor,
                             BuySell buySell,
                             double notional,
                             double fixedRate,
                             ReferenceData refData)

Creates a CDS trade based on the trade date, start date and the IMM date logic.

The end date is computed from the start date with the standard semi-annual roll convention.

Parameters:

legalEntityId - the legal entity ID

tradeDate - the trade date

startDate - the start date

tenor - the tenor

buySell - buy or sell

notional - the notional

fixedRate - the fixed rate

refData - the reference data

Returns:

the CDS trade

createTrade

default CdsTrade createTrade(StandardId legalEntityId,
                             LocalDate tradeDate,
                             LocalDate startDate,
                             LocalDate endDate,
                             BuySell buySell,
                             double notional,
                             double fixedRate,
                             ReferenceData refData)

Creates a CDS trade from trade date, start date and end date.

The settlement date is computed from the trade date using settlementDateOffset defined in the convention.

Parameters:

legalEntityId - the legal entity ID

tradeDate - the trade date

startDate - the start date

endDate - the end date

buySell - buy or sell

notional - the notional

fixedRate - the fixed rate

refData - the reference data

Returns:

the CDS trade

toTrade

CdsTrade toTrade(StandardId legalEntityId,
                 TradeInfo tradeInfo,
                 LocalDate startDate,
                 LocalDate endDate,
                 BuySell buySell,
                 double notional,
                 double fixedRate)

Creates a CDS trade with TradeInfo.

Parameters:

legalEntityId - the legal entity ID

tradeInfo - the trade info

startDate - the start date

endDate - the end date

buySell - buy or sell

notional - the notional

fixedRate - the fixed rate

Returns:

the CDS trade

createTrade

default CdsTrade createTrade(StandardId legalEntityId,
                             LocalDate tradeDate,
                             Tenor tenor,
                             BuySell buySell,
                             double notional,
                             double fixedRate,
                             AdjustablePayment upFrontFee,
                             ReferenceData refData)

Creates a CDS trade with upfront fee based on the trade date and the IMM date logic.

The start date and end date are computed from trade date with the standard semi-annual roll convention.

Parameters:

legalEntityId - the legal entity ID

tradeDate - the trade date

tenor - the tenor

buySell - buy or sell

notional - the notional

fixedRate - the fixed rate

upFrontFee - the upFront fee

refData - the reference data

Returns:

the CDS trade

createTrade

default CdsTrade createTrade(StandardId legalEntityId,
                             LocalDate tradeDate,
                             LocalDate startDate,
                             Tenor tenor,
                             BuySell buySell,
                             double notional,
                             double fixedRate,
                             AdjustablePayment upFrontFee,
                             ReferenceData refData)

Creates a CDS trade with upfront fee based on the trade date, start date and the IMM date logic.

The end date is computed from the start date with the standard semi-annual roll convention.

Parameters:

legalEntityId - the legal entity ID

tradeDate - the trade date

startDate - the start date

tenor - the tenor

buySell - buy or sell

notional - the notional

fixedRate - the fixed rate

upFrontFee - the upFront fee

refData - the reference data

Returns:

the CDS trade

createTrade

default CdsTrade createTrade(StandardId legalEntityId,
                             LocalDate tradeDate,
                             LocalDate startDate,
                             LocalDate endDate,
                             BuySell buySell,
                             double notional,
                             double fixedRate,
                             AdjustablePayment upFrontFee,
                             ReferenceData refData)

Creates a CDS trade with upfront fee from trade date, start date and end date.

The settlement date is computed from the trade date using settlementDateOffset defined in the convention.

Parameters:

legalEntityId - the legal entity ID

tradeDate - the trade date

startDate - the start date

endDate - the end date

buySell - buy or sell

notional - the notional

fixedRate - the fixed rate

upFrontFee - the upFront fee

refData - the reference data

Returns:

the CDS trade

toTrade

CdsTrade toTrade(StandardId legalEntityId,
                 TradeInfo tradeInfo,
                 LocalDate startDate,
                 LocalDate endDate,
                 BuySell buySell,
                 double notional,
                 double fixedRate,
                 AdjustablePayment upFrontFee)

Creates a CDS trade with upfront fee and TradeInfo.

Parameters:

legalEntityId - the legal entity ID

tradeInfo - the trade info

startDate - the start date

endDate - the end date

buySell - buy or sell

notional - the notional

fixedRate - the fixed rate

upFrontFee - the upFront fee

Returns:

the CDS 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

Returns:

the unique name