ImmutableFraConvention (OpenGamma Strata Product)

java.lang.Object
- com.opengamma.strata.product.fra.type.ImmutableFraConvention

All Implemented Interfaces:

Named, FraConvention, TradeConvention, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class ImmutableFraConvention
extends Object
implements FraConvention, org.joda.beans.ImmutableBean, Serializable
```
A market convention for forward rate agreement (FRA) trades.
This defines the market convention for a FRA against a particular index. In most cases, the index contains sufficient information to fully define the convention. As such, no other fields need to be specified when creating an instance. The name of the convention is the same as the name of the index by default. The getters will default any missing information on the fly, avoiding both null and Optional.
The convention is defined by six dates.
- Trade date, the date that the trade is agreed
- Spot date, the base for date calculations, typically 2 business days after the trade date
- Start date, the date on which the implied deposit starts, typically a number of months after the spot date
- End date, the date on which the implied deposit ends, typically a number of months after the spot date
- Fixing date, the date on which the index is to be observed, typically 2 business days before the start date
- Payment date, the date on which payment is made, typically the same as the start date
The period between the spot date and the start/end date is specified by FraTemplate, not by this convention.
See Also:

Serialized Form

Nested Class Summary

Nested Classes
Modifier and Type	Class and Description
`static class`	`ImmutableFraConvention.Builder` The bean-builder for `ImmutableFraConvention`.
`static class`	`ImmutableFraConvention.Meta` The meta-bean for `ImmutableFraConvention`.

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`static ImmutableFraConvention.Builder`	`builder()` Returns a builder used to create an instance of the bean.
`FraTrade`	`createTrade(LocalDate tradeDate, Period periodToStart, Period periodToEnd, BuySell buySell, double notional, double fixedRate, ReferenceData refData)` Creates a trade based on this convention, specifying the end of the FRA.
`boolean`	`equals(Object obj)`
`BusinessDayAdjustment`	`getBusinessDayAdjustment()` Gets the business day adjustment to apply to the start and end date, providing a default result if no override specified.
`Currency`	`getCurrency()` Gets the primary currency, providing a default result if no override specified.
`DayCount`	`getDayCount()` Gets the day count convention applicable, providing a default result if no override specified.
`FraDiscountingMethod`	`getDiscounting()` Gets the method to use for discounting, providing a default result if no override specified.
`DaysAdjustment`	`getFixingDateOffset()` Gets the offset of the fixing date from the start date, providing a default result if no override specified.
`IborIndex`	`getIndex()` Gets the Ibor index.
`String`	`getName()` Gets the convention name, such as 'GBP-LIBOR-3M'.
`DaysAdjustment`	`getPaymentDateOffset()` Gets the offset of the payment date from the start date, providing a default result if no override specified.
`DaysAdjustment`	`getSpotDateOffset()` Gets the offset of the spot value date from the trade date, providing a default result if no override specified.
`int`	`hashCode()`
`static ImmutableFraConvention.Meta`	`meta()` The meta-bean for `ImmutableFraConvention`.
`ImmutableFraConvention.Meta`	`metaBean()`
`static ImmutableFraConvention`	`of(IborIndex index)` Obtains a convention based on the specified index.
`ImmutableFraConvention.Builder`	`toBuilder()` Returns a builder that allows this bean to be mutated.
`String`	`toString()`
`FraTrade`	`toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, LocalDate paymentDate, BuySell buySell, double notional, double fixedRate)` Creates a trade based on this convention.

Methods inherited from class java.lang.Object
clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.opengamma.strata.product.fra.type.FraConvention
calculateSpotDateFromTradeDate, createTrade, extendedEnum, of, toTrade

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

Methods inherited from interface org.joda.beans.Bean
property, propertyNames

- Method Detail
  - of
```
public static ImmutableFraConvention of(IborIndex index)
```
    Obtains a convention based on the specified index.
    The standard market convention for a FRA is based exclusively on the index. This creates an instance that contains the index. The instance is not dereferenced using the FraConvention name, as such the result of this method and FraConvention.of(IborIndex) can differ.
    Use the builder for unusual conventions.
    
    Specified by:
    
    of in interface FraConvention
    
    Parameters:
    
    index - the index, the market convention values are extracted from the index
    
    Returns:
    
    the convention
  - getName
```
public String getName()
```
    Gets the convention name, such as 'GBP-LIBOR-3M'. This is the same as the name of the index by default.
    This will default to the name of the index if not specified.
    
    Specified by:
    
    getName in interface Named
    
    Specified by:
    
    getName in interface FraConvention
    
    Returns:
    
    the convention name
  - getCurrency
```
public Currency getCurrency()
```
    Gets the primary currency, providing a default result if no override specified.
    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.
    
    Returns:
    
    the currency, not null
  - getDayCount
```
public DayCount getDayCount()
```
    Gets the day count convention applicable, providing a default result if no override specified.
    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.
    
    Returns:
    
    the day count, not null
  - getSpotDateOffset
```
public DaysAdjustment getSpotDateOffset()
```
    Gets the offset of the spot value date from the trade date, providing a default result if no override specified.
    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.
    
    Specified by:
    
    getSpotDateOffset in interface FraConvention
    
    Returns:
    
    the spot date offset, not null
  - getBusinessDayAdjustment
```
public BusinessDayAdjustment getBusinessDayAdjustment()
```
    Gets the business day adjustment to apply to the start and end date, providing a default result if no override specified.
    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.
    
    Returns:
    
    the business day adjustment, not null
  - getFixingDateOffset
```
public DaysAdjustment getFixingDateOffset()
```
    Gets the offset of the fixing date from the start date, providing a default result if no override specified.
    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.
    
    Returns:
    
    the fixing date offset, not null
  - getPaymentDateOffset
```
public DaysAdjustment getPaymentDateOffset()
```
    Gets the offset of the payment date from the start date, providing a default result if no override specified.
    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.
    
    Returns:
    
    the payment date offset, not null
  - getDiscounting
```
public FraDiscountingMethod getDiscounting()
```
    Gets the method to use for discounting, providing a default result if no override specified.
    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.
    
    Returns:
    
    the discounting method, not null
  - createTrade
```
public FraTrade createTrade(LocalDate tradeDate,
                            Period periodToStart,
                            Period periodToEnd,
                            BuySell buySell,
                            double notional,
                            double fixedRate,
                            ReferenceData refData)
```
    Description copied from interface: FraConvention
    
    Creates a trade based on this convention, specifying the end of the FRA.
    This returns a trade based on the specified periods. For example, a '2 x 5' FRA has a period to the start date of 2 months and a period to the end date of 5 months.
    The notional is unsigned, with buy/sell determining the direction of the trade. If buying the FRA, the floating rate is received from the counterparty, with the fixed rate being paid. If selling the FRA, the floating rate is paid to the counterparty, with the fixed rate being received.
    The start date will be the trade date, plus spot offset, plus period to start, adjusted to a valid business day. The end date will be the trade date, plus spot offset, plus period to end, adjusted to a valid business day. The adjustment of the start and end date occurs at trade creation. The payment date offset is also applied at trade creation. When the Fra is resolved, the start and end date are not adjusted again but the payment date is.
    
    Specified by:
    
    createTrade in interface FraConvention
    
    Parameters:
    
    tradeDate - the date of the trade
    
    periodToStart - the period between the spot date and the start date
    
    periodToEnd - the period between the spot 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
  - toTrade
```
public FraTrade toTrade(TradeInfo tradeInfo,
                        LocalDate startDate,
                        LocalDate endDate,
                        LocalDate paymentDate,
                        BuySell buySell,
                        double notional,
                        double fixedRate)
```
    Description copied from interface: FraConvention
    
    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 FRA, the floating rate is received from the counterparty, with the fixed rate being paid. If selling the FRA, the floating rate is paid to the counterparty, with the fixed rate being received.
    
    Specified by:
    
    toTrade in interface FraConvention
    
    Parameters:
    
    tradeInfo - additional information about the trade
    
    startDate - the start date, which should be adjusted to be a valid business day
    
    endDate - the end date, which should be adjusted to be a valid business day
    
    paymentDate - the payment date, which should be adjusted to be a valid business day
    
    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
  - toString
```
public String toString()
```
    Overrides:
    
    toString in class Object
  - meta
```
public static ImmutableFraConvention.Meta meta()
```
    The meta-bean for ImmutableFraConvention.
    
    Returns:
    
    the meta-bean, not null
  - builder
```
public static ImmutableFraConvention.Builder builder()
```
    Returns a builder used to create an instance of the bean.
    
    Returns:
    
    the builder, not null
  - metaBean
```
public ImmutableFraConvention.Meta metaBean()
```
    Specified by:
    
    metaBean in interface org.joda.beans.Bean
  - getIndex
```
public 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'.
    
    Specified by:
    
    getIndex in interface FraConvention
    
    Returns:
    
    the value of the property, not null
  - toBuilder
```
public ImmutableFraConvention.Builder toBuilder()
```
    Returns a builder that allows this bean to be mutated.
    
    Returns:
    
    the mutable builder, not null
  - equals
```
public boolean equals(Object obj)
```
    Overrides:
    
    equals in class Object
  - hashCode
```
public int hashCode()
```
    Overrides:
    
    hashCode in class Object

Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.

Class ImmutableFraConvention

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

Methods inherited from interface com.opengamma.strata.product.fra.type.FraConvention

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

Methods inherited from interface org.joda.beans.Bean

Method Detail

of

getName

getCurrency

getDayCount

getSpotDateOffset

getBusinessDayAdjustment

getFixingDateOffset

getPaymentDateOffset

getDiscounting

createTrade

toTrade

toString

meta

builder

metaBean

getIndex

toBuilder

equals

hashCode