com.opengamma.strata.product.credit.type

Class DatesCdsTemplate

java.lang.Object

com.opengamma.strata.product.credit.type.DatesCdsTemplate

All Implemented Interfaces:

CdsTemplate, TradeTemplate, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class DatesCdsTemplate
extends Object
implements CdsTemplate, org.joda.beans.ImmutableBean, Serializable

A template for creating credit default swap trades.

This defines almost all the data necessary to create a credit default swap CdsTrade. The start and end of the trade are specified by LocalDate. Use TenorCdsTemplate for standard CDS trades.

The legal entity ID, trade date, notional and fixed rate are required to complete the template and create the trade. As such, it is often possible to get a market quote for a trade based on the template.

A CDS is quoted in points upfront, par spread, or quoted spread. For the latter two cases, the market quotes are passed as the fixed rate.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	DatesCdsTemplate.Meta The meta-bean for DatesCdsTemplate.

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.
boolean	equals(Object obj)
CdsConvention	getConvention() Gets the market convention of the credit default swap.
LocalDate	getEndDate() Gets the end date.
LocalDate	getStartDate() Gets the start date.
int	hashCode()
static DatesCdsTemplate.Meta	meta() The meta-bean for DatesCdsTemplate.
DatesCdsTemplate.Meta	metaBean()
static DatesCdsTemplate	of(LocalDate startDate, LocalDate endDate, CdsConvention convention) Obtains a template based on the specified dates and convention.
String	toString()

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static DatesCdsTemplate of(LocalDate startDate,
                                  LocalDate endDate,
                                  CdsConvention convention)

Obtains a template based on the specified dates and convention.

Parameters:

startDate - the start date

endDate - the end date

convention - the convention

Returns:

the template

createTrade

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

Description copied from interface: CdsTemplate

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.

Specified by:

createTrade in interface CdsTemplate

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

createTrade

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

Description copied from interface: CdsTemplate

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.

Specified by:

createTrade in interface CdsTemplate

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

meta

public static DatesCdsTemplate.Meta meta()

The meta-bean for DatesCdsTemplate.

Returns:

the meta-bean, not null

metaBean

public DatesCdsTemplate.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getStartDate

public LocalDate getStartDate()

Gets the start date.

The start date of the underling CDS product. This date can be modified following the rule in convention.

Returns:

the value of the property, not null

getEndDate

public LocalDate getEndDate()

Gets the end date.

The end date of the underling CDS product. This date can be modified following the rule in convention.

Returns:

the value of the property, not null

getConvention

public CdsConvention getConvention()

Gets the market convention of the credit default swap.

Specified by:

getConvention in interface CdsTemplate

Returns:

the value of the property, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object