com.opengamma.strata.product.credit.type

Interface CdsTemplate

All Superinterfaces:

TradeTemplate

All Known Implementing Classes:

DatesCdsTemplate, TenorCdsTemplate

public interface CdsTemplate
extends TradeTemplate

A template for creating credit default swap trades.

Method Summary

Modifier and Type	Method and Description
CdsTrade	createTrade(StandardId legalEntityId, LocalDate tradeDate, BuySell buySell, double notional, double fixedRate, AdjustablePayment upFrontFee, ReferenceData refData) Creates a trade based on this template.
CdsTrade	createTrade(StandardId legalEntityId, LocalDate tradeDate, BuySell buySell, double notional, double fixedRate, ReferenceData refData) Creates a trade based on this template.
CdsConvention	getConvention() Gets the market convention of the credit default swap.

Method Detail

getConvention

CdsConvention getConvention()

Gets the market convention of the credit default swap.

Returns:

the convention

createTrade

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

Creates a trade based on this template.

This returns a trade based on the specified trade date.

The notional is unsigned, with buy/sell determining the direction of the trade. If buying the CDS, the protection is received from the counterparty on default, with the fixed coupon being paid. If selling the CDS, the protection is paid to the counterparty on default, with the fixed coupon being received.

Parameters:

legalEntityId - the legal entity ID

tradeDate - the date of the trade

buySell - the buy/sell flag

notional - the notional amount, in the payment currency of the template

fixedRate - the fixed rate, 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

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

Creates a trade based on this template.

This returns a trade based on the specified trade date and upfront fee.

The notional is unsigned, with buy/sell determining the direction of the trade. If buying the CDS, the protection is received from the counterparty on default, with the fixed coupon being paid. If selling the CDS, the protection is paid to the counterparty on default, with the fixed coupon being received.

Parameters:

legalEntityId - the legal entity ID

tradeDate - the date of the trade

buySell - the buy/sell flag

notional - the notional amount, in the payment currency of the template

fixedRate - the fixed rate, typically derived from the market

upFrontFee - the reference data

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