com.opengamma.strata.product.fx.type

Class ImmutableFxSwapConvention

java.lang.Object

com.opengamma.strata.product.fx.type.ImmutableFxSwapConvention

All Implemented Interfaces:

Named, FxSwapConvention, TradeConvention, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class ImmutableFxSwapConvention
extends Object
implements FxSwapConvention, org.joda.beans.ImmutableBean, Serializable

A market convention for FX swap trades

This defines the market convention for a FX swap based on a particular currency pair.

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 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

The period between the spot date and the start/end date is specified by FxSwapTemplate, not by this convention.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
static ImmutableFxSwapConvention.Builder	builder() Returns a builder used to create an instance of the bean.
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.
CurrencyPair	getCurrencyPair() Gets the currency pair associated with the convention.
String	getName() Gets the name that uniquely identifies this convention.
DaysAdjustment	getSpotDateOffset() Gets the offset of the spot value date from the trade date.
int	hashCode()
static ImmutableFxSwapConvention.Meta	meta() The meta-bean for ImmutableFxSwapConvention.
ImmutableFxSwapConvention.Meta	metaBean()
static ImmutableFxSwapConvention	of(CurrencyPair currencyPair, DaysAdjustment spotDateOffset) Obtains a convention based on the specified currency pair and spot date offset.
static ImmutableFxSwapConvention	of(CurrencyPair currencyPair, DaysAdjustment spotDateOffset, BusinessDayAdjustment businessDayAdjustment) Obtains a convention based on the specified currency pair, spot date offset and adjustment.
ImmutableFxSwapConvention.Builder	toBuilder() Returns a builder that allows this bean to be mutated.
String	toString()
FxSwapTrade	toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, Currency buySellCurrency, double notional, double nearFxRate, double farLegForwardPoints) 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.fx.type.FxSwapConvention

calculateSpotDateFromTradeDate, createTrade, createTrade, createTrade, createTrade, extendedEnum, of, of, toTrade, toTrade, 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 ImmutableFxSwapConvention of(CurrencyPair currencyPair,
                                           DaysAdjustment spotDateOffset)

Obtains a convention based on the specified currency pair and spot date offset.

Use the builder for unusual conventions.

Parameters:

currencyPair - the currency pair associated to the convention

spotDateOffset - the spot date offset

Returns:

the convention

of

public static ImmutableFxSwapConvention of(CurrencyPair currencyPair,
                                           DaysAdjustment spotDateOffset,
                                           BusinessDayAdjustment businessDayAdjustment)

Obtains a convention based on the specified currency pair, spot date offset and adjustment.

Use the builder for unusual conventions.

Parameters:

currencyPair - the currency pair associated to the convention

spotDateOffset - the spot date offset

businessDayAdjustment - the business day adjustment to apply

Returns:

the convention

getName

public String getName()

Description copied from interface: FxSwapConvention

Gets the name that uniquely identifies this convention.

This name is used in serialization and can be parsed using FxSwapConvention.of(String).

Specified by:

getName in interface Named

Specified by:

getName in interface FxSwapConvention

Returns:

the unique name

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 spot date offset calendar if not specified.

Returns:

the business day adjustment, not null

toTrade

public FxSwapTrade toTrade(TradeInfo tradeInfo,
                           LocalDate startDate,
                           LocalDate endDate,
                           BuySell buySell,
                           Currency buySellCurrency,
                           double notional,
                           double nearFxRate,
                           double farLegForwardPoints)

Description copied from interface: FxSwapConvention

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 FX Swap, the amount in the specified currency is received in the near leg and paid in the far leg.

Specified by:

toTrade in interface FxSwapConvention

Parameters:

tradeInfo - additional information about the trade

startDate - the start date

endDate - the end date

buySell - the buy/sell flag

buySellCurrency - the currency being bought/sold

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

nearFxRate - the FX rate for the near leg

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

Returns:

the trade

toString

public String toString()

Overrides:

toString in class Object

meta

public static ImmutableFxSwapConvention.Meta meta()

The meta-bean for ImmutableFxSwapConvention.

Returns:

the meta-bean, not null

builder

public static ImmutableFxSwapConvention.Builder builder()

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

Returns:

the builder, not null

metaBean

public ImmutableFxSwapConvention.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getCurrencyPair

public CurrencyPair getCurrencyPair()

Gets the currency pair associated with the convention.

Specified by:

getCurrencyPair in interface FxSwapConvention

Returns:

the value of the property, not null

getSpotDateOffset

public DaysAdjustment getSpotDateOffset()

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

The offset is applied to the trade date and is typically plus 2 business days in the joint calendar of the two currencies. The start and end date of the FX swap are relative to the spot date.

Specified by:

getSpotDateOffset in interface FxSwapConvention

Returns:

the value of the property, not null

toBuilder

public ImmutableFxSwapConvention.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