com.opengamma.strata.product.fx.type

Class FxSwapTemplate

java.lang.Object

com.opengamma.strata.product.fx.type.FxSwapTemplate

All Implemented Interfaces:

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

public final class FxSwapTemplate
extends Object
implements TradeTemplate, org.joda.beans.ImmutableBean, Serializable

A template for creating an FX swap trade.

This defines almost all the data necessary to create a FxSwapTrade. The trade date, notional, FX rate and forward points are required to complete the template and create the trade. As such, it is often possible to get a market price for a trade based on the template.

The convention is defined by four dates.

• Trade date, the date that the trade is agreed
• Spot date, the base for date calculations, typically 2 business days in the joint calendar of both currencies after the trade date
• Near date, the date on which the near leg of the swap is exchanged, typically equal to the spot date
• Far date, the date on which the far leg of the swap is exchanged, typically a number of months or years after the spot date

Some of these dates are specified by the convention embedded within this template.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	FxSwapTemplate.Builder The bean-builder for FxSwapTemplate.
static class	FxSwapTemplate.Meta The meta-bean for FxSwapTemplate.

Method Summary

Modifier and Type	Method and Description
static FxSwapTemplate.Builder	builder() Returns a builder used to create an instance of the bean.
FxSwapTrade	createTrade(LocalDate tradeDate, BuySell buySell, Currency buySellCurrency, double buySellNotional, double nearFxRate, double forwardPoints, ReferenceData refData) Creates a trade based on this template.
FxSwapTrade	createTrade(LocalDate tradeDate, BuySell buySell, double notional, double nearFxRate, double forwardPoints, ReferenceData refData) Creates a trade based on this template.
boolean	equals(Object obj)
FxSwapConvention	getConvention() Gets the underlying FX Swap convention.
CurrencyPair	getCurrencyPair() Gets the currency pair of the template.
Period	getPeriodToFar() Gets the period between the spot value date and the far date.
Period	getPeriodToNear() Gets the period between the spot value date and the near date.
int	hashCode()
static FxSwapTemplate.Meta	meta() The meta-bean for FxSwapTemplate.
FxSwapTemplate.Meta	metaBean()
static FxSwapTemplate	of(Period periodToFar, FxSwapConvention convention) Obtains a template based on the specified period and convention.
static FxSwapTemplate	of(Period periodToNear, Period periodToFar, FxSwapConvention convention) Obtains a template based on the specified periods and convention.
FxSwapTemplate.Builder	toBuilder() Returns a builder that allows this bean to be mutated.
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 FxSwapTemplate of(Period periodToFar,
                                FxSwapConvention convention)

Obtains a template based on the specified period and convention.

The near date is equal to the spot date. The period from the spot date to the far date is specified

For example, a '6M' FX swap has a near leg on the spot date and a period from spot to the far date of 6 months

Parameters:

periodToFar - the period between the spot date and the far date

convention - the market convention

Returns:

the template

of

public static FxSwapTemplate of(Period periodToNear,
                                Period periodToFar,
                                FxSwapConvention convention)

Obtains a template based on the specified periods and convention.

Both the period from the spot date to the near date and far date are specified.

For example, a '3M x 6M' FX swap has a period from spot to the start date of 3 months and a period from spot to the far date of 6 months

Parameters:

periodToNear - the period between the spot date and the near date

periodToFar - the period between the spot date and the far date

convention - the market convention

Returns:

the template

getCurrencyPair

public CurrencyPair getCurrencyPair()

Gets the currency pair of the template.

Returns:

the currency pair

createTrade

public FxSwapTrade createTrade(LocalDate tradeDate,
                               BuySell buySell,
                               double notional,
                               double nearFxRate,
                               double forwardPoints,
                               ReferenceData refData)

Creates a trade based on this template.

This returns a trade based on the specified date. The notional is unsigned, with buy/sell determining the direction of the trade. If buying the FX Swap, the amount in the first currency of the pair is received in the near leg and paid in the far leg, while the second currency is paid in the near leg and received in the far leg.

Parameters:

tradeDate - the date of the trade

buySell - the buy/sell flag

notional - the notional amount, in the first currency of the currency pair

nearFxRate - the FX rate for the near leg

forwardPoints - the FX points to be added to the FX rate at the far leg

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

public FxSwapTrade createTrade(LocalDate tradeDate,
                               BuySell buySell,
                               Currency buySellCurrency,
                               double buySellNotional,
                               double nearFxRate,
                               double forwardPoints,
                               ReferenceData refData)

Creates a trade based on this template.

This returns a trade based on the specified date. The notional is unsigned, with buy/sell determining the direction of the trade. If buying the FX Swap, the amount in the specified currency is received in the near leg and paid in the far leg.

Parameters:

tradeDate - the date of the trade

buySell - the buy/sell flag

buySellCurrency - the currency being bought/sold

buySellNotional - the unsigned notional amount, in the buy/sell currency

nearFxRate - the FX rate for the near leg

forwardPoints - the FX points to be added to the FX rate at the far leg

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

meta

public static FxSwapTemplate.Meta meta()

The meta-bean for FxSwapTemplate.

Returns:

the meta-bean, not null

builder

public static FxSwapTemplate.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public FxSwapTemplate.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getPeriodToNear

public Period getPeriodToNear()

Gets the period between the spot value date and the near date.

For example, a '3M x 6M' FX swap has a period from spot to the near date of 3 months

Returns:

the value of the property, not null

getPeriodToFar

public Period getPeriodToFar()

Gets the period between the spot value date and the far date.

For example, a '3M x 6M' FX swap has a period from spot to the far date of 6 months

Returns:

the value of the property, not null

getConvention

public FxSwapConvention getConvention()

Gets the underlying FX Swap convention.

This specifies the market convention of the FX Swap to be created.

Returns:

the value of the property, not null

toBuilder

public FxSwapTemplate.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

toString

public String toString()

Overrides:

toString in class Object