public static final class ImmutableFraConvention.Builder extends org.joda.beans.impl.direct.DirectFieldsBeanBuilder<ImmutableFraConvention>
ImmutableFraConvention.| Modifier and Type | Method and Description |
|---|---|
ImmutableFraConvention |
build() |
ImmutableFraConvention.Builder |
businessDayAdjustment(BusinessDayAdjustment businessDayAdjustment)
Sets the business day adjustment to apply to the start and end date, optional with defaulting getter.
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ImmutableFraConvention.Builder |
currency(Currency currency)
Sets the primary currency, optional with defaulting getter.
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ImmutableFraConvention.Builder |
dayCount(DayCount dayCount)
Sets the day count convention applicable, optional with defaulting getter.
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ImmutableFraConvention.Builder |
discounting(FraDiscountingMethod discounting)
Sets the method to use for discounting, optional with defaulting getter.
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ImmutableFraConvention.Builder |
fixingDateOffset(DaysAdjustment fixingDateOffset)
Sets the offset of the fixing date from the start date, optional with defaulting getter.
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Object |
get(String propertyName) |
ImmutableFraConvention.Builder |
index(IborIndex index)
Sets the Ibor index.
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ImmutableFraConvention.Builder |
name(String name)
Sets the convention name, such as 'GBP-LIBOR-3M', optional with defaulting getter.
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ImmutableFraConvention.Builder |
paymentDateOffset(DaysAdjustment paymentDateOffset)
Sets the offset of the payment date from the start date, optional with defaulting getter.
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ImmutableFraConvention.Builder |
set(org.joda.beans.MetaProperty<?> property,
Object value) |
ImmutableFraConvention.Builder |
set(String propertyName,
Object newValue) |
ImmutableFraConvention.Builder |
spotDateOffset(DaysAdjustment spotDateOffset)
Sets the offset of the spot value date from the trade date, optional with defaulting getter.
|
String |
toString() |
public Object get(String propertyName)
get in interface org.joda.beans.BeanBuilder<ImmutableFraConvention>get in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<ImmutableFraConvention>public ImmutableFraConvention.Builder set(String propertyName, Object newValue)
public ImmutableFraConvention.Builder set(org.joda.beans.MetaProperty<?> property, Object value)
set in interface org.joda.beans.BeanBuilder<ImmutableFraConvention>set in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<ImmutableFraConvention>public ImmutableFraConvention build()
public ImmutableFraConvention.Builder index(IborIndex 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'.
index - the new value, not nullpublic ImmutableFraConvention.Builder name(String name)
This will default to the name of the index if not specified.
name - the new valuepublic ImmutableFraConvention.Builder currency(Currency currency)
This is the currency of the FRA and the currency that payment is made in. The data model permits this currency to differ from that of the index, however the two are typically the same.
This will default to the currency of the index if not specified.
currency - the new valuepublic ImmutableFraConvention.Builder dayCount(DayCount dayCount)
This is used to convert dates to a numerical value. The data model permits the day count to differ from that of the index, however the two are typically the same.
This will default to the day count of the index if not specified.
dayCount - the new valuepublic ImmutableFraConvention.Builder spotDateOffset(DaysAdjustment spotDateOffset)
The offset is applied to the trade date and is typically plus 2 business days. The start and end date of the FRA term are relative to the spot date.
This will default to the effective date offset of the index if not specified.
spotDateOffset - the new valuepublic ImmutableFraConvention.Builder businessDayAdjustment(BusinessDayAdjustment businessDayAdjustment)
The start and end date are typically defined as valid business days and thus do not need to be adjusted. If this optional property is present, then the start and end date will be adjusted as defined here.
This will default to 'ModifiedFollowing' using the index fixing calendar if not specified.
businessDayAdjustment - the new valuepublic ImmutableFraConvention.Builder fixingDateOffset(DaysAdjustment fixingDateOffset)
The offset is applied to the start date and is typically minus 2 business days. The data model permits the offset to differ from that of the index, however the two are typically the same.
This will default to the fixing date offset of the index if not specified.
fixingDateOffset - the new valuepublic ImmutableFraConvention.Builder paymentDateOffset(DaysAdjustment paymentDateOffset)
Defines the offset from the start date to the payment date. In most cases, the payment date is the same as the start date, so the default of zero is appropriate.
This will default to zero if not specified.
paymentDateOffset - the new valuepublic ImmutableFraConvention.Builder discounting(FraDiscountingMethod discounting)
There are different approaches FRA pricing in the area of discounting. This method specifies the approach for this FRA.
This will default 'AFMA' if the index has the currency 'AUD' or 'NZD' and to 'ISDA' otherwise.
discounting - the new valuepublic String toString()
toString in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<ImmutableFraConvention>Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.