com.opengamma.strata.product.deposit.type

Interface IborFixingDepositConvention

All Superinterfaces:

Named, TradeConvention

All Known Implementing Classes:

ImmutableIborFixingDepositConvention

public interface IborFixingDepositConvention
extends TradeConvention, Named

A convention for Ibor fixing deposit trades.

This defines the convention for an Ibor fixing deposit against a particular index. In most cases, the index contains sufficient information to fully define the convention. As such, the convention is set to be created on the fly based on the index.

To manually create a convention, see ImmutableIborFixingDepositConvention. To register a specific convention, see IborFixingDepositConvention.ini.

Method Summary

Modifier and Type	Method and Description
default LocalDate	calculateSpotDateFromTradeDate(LocalDate tradeDate, ReferenceData refData) Calculates the spot date from the trade date.
IborFixingDepositTrade	createTrade(LocalDate tradeDate, Period depositPeriod, BuySell buySell, double notional, double fixedRate, ReferenceData refData) Creates a trade based on this convention.
static ExtendedEnum<IborFixingDepositConvention>	extendedEnum() Gets the extended enum helper.
IborIndex	getIndex() Gets the Ibor index.
String	getName() Gets the name that uniquely identifies this convention.
DaysAdjustment	getSpotDateOffset() Gets the offset of the spot value date from the trade date.
static IborFixingDepositConvention	of(IborIndex index) Obtains a convention based on the specified index.
static IborFixingDepositConvention	of(String uniqueName) Obtains an instance from the specified unique name.
default IborFixingDepositTrade	toTrade(LocalDate tradeDate, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate) Creates a trade based on this convention.
IborFixingDepositTrade	toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate) Creates a trade based on this convention.

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

of

Method Detail

of

static IborFixingDepositConvention 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

of

static IborFixingDepositConvention of(IborIndex index)

Obtains a convention based on the specified index.

This uses the index name to find the matching convention. By default, this will always return a convention, however configuration may be added to restrict the conventions that are registered.

Parameters:

index - the index, from which the index name is used to find the matching convention

Returns:

the convention

Throws:

IllegalArgumentException - if no convention is registered for the index

extendedEnum

static ExtendedEnum<IborFixingDepositConvention> 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

getIndex

IborIndex getIndex()

Gets the Ibor index.

The floating rate to be paid is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'.

Returns:

the index

getSpotDateOffset

DaysAdjustment getSpotDateOffset()

Gets the offset of the spot value date from the trade date.

The offset is applied to the trade date to find the start date. A typical value is "plus 2 business days".

Returns:

the spot date offset, not null

createTrade

IborFixingDepositTrade createTrade(LocalDate tradeDate,
                                   Period depositPeriod,
                                   BuySell buySell,
                                   double notional,
                                   double fixedRate,
                                   ReferenceData refData)

Creates a trade based on this convention.

This returns a trade based on the specified deposit period.

The notional is unsigned, with buy/sell determining the direction of the trade. If buying the Ibor fixing deposit, the floating rate is paid to the counterparty, with the fixed rate being received. If selling the Ibor fixing deposit, the floating rate is received from the counterparty, with the fixed rate being paid.

Parameters:

tradeDate - the date of the trade

depositPeriod - the period between the start date and the end date

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

toTrade

default IborFixingDepositTrade toTrade(LocalDate tradeDate,
                                       LocalDate startDate,
                                       LocalDate endDate,
                                       BuySell buySell,
                                       double notional,
                                       double fixedRate)

Creates a trade based on this convention.

This returns a trade based on the specified dates. The notional is unsigned, with buy/sell determining the direction of the trade. If buying the Ibor fixing deposit, the floating rate is paid to the counterparty, with the fixed rate being received. If selling the Ibor fixing deposit, the floating rate is received from the counterparty, with the fixed rate being paid.

Parameters:

tradeDate - the date of the trade

startDate - the start date

endDate - the end date

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

Returns:

the trade

toTrade

IborFixingDepositTrade toTrade(TradeInfo tradeInfo,
                               LocalDate startDate,
                               LocalDate endDate,
                               BuySell buySell,
                               double notional,
                               double fixedRate)

Creates a trade based on this convention.

This returns a trade based on the specified dates. The notional is unsigned, with buy/sell determining the direction of the trade. If buying the Ibor fixing deposit, the floating rate is paid to the counterparty, with the fixed rate being received. If selling the Ibor fixing deposit, the floating rate is received from the counterparty, with the fixed rate being paid.

Parameters:

tradeInfo - additional information about the trade

startDate - the start date

endDate - the end date

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

Returns:

the trade

calculateSpotDateFromTradeDate

default LocalDate calculateSpotDateFromTradeDate(LocalDate tradeDate,
                                                 ReferenceData refData)

Calculates the spot date from the trade date.

Parameters:

tradeDate - the trade date

refData - the reference data, used to resolve the date

Returns:

the spot date

Throws:

ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data

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