com.opengamma.strata.product.swap

Class FxReset

java.lang.Object

com.opengamma.strata.product.swap.FxReset

All Implemented Interfaces:

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

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

An FX rate conversion for the notional amount of a swap leg.

Interest rate swaps are based on a notional amount of money. The notional can be specified in a currency other than that of the swap leg, with an FX conversion applied at each payment period boundary.

The two currencies involved are the swap leg currency and the reference currency. The swap leg currency is, in most cases, the currency that payment will occur in. The reference currency is the currency in which the notional is actually defined. ISDA refers to the payment currency as the variable currency and the reference currency as the constant currency.

Defined by the 2006 ISDA definitions article 10.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	FxReset.Meta The meta-bean for FxReset.

Method Summary

Modifier and Type	Method and Description
boolean	equals(Object obj)
FxIndex	getIndex() Gets the FX index.
FxIndexObservation	getObservation() Gets the FX index observation.
Currency	getReferenceCurrency() Gets the currency of the notional amount defined in the contract.
int	hashCode()
static FxReset.Meta	meta() The meta-bean for FxReset.
FxReset.Meta	metaBean()
static FxReset	of(FxIndexObservation observation, Currency referenceCurrency) Obtains an instance from the observation and reference currency.
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 FxReset of(FxIndexObservation observation,
                         Currency referenceCurrency)

Obtains an instance from the observation and reference currency.

Parameters:

observation - the FX index observation

referenceCurrency - the reference currency

Returns:

the FX reset

Throws:

IllegalArgumentException - if the currency is not one of those in the index

getIndex

public FxIndex getIndex()

Gets the FX index.

Returns:

the FX index

meta

public static FxReset.Meta meta()

The meta-bean for FxReset.

Returns:

the meta-bean, not null

metaBean

public FxReset.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getObservation

public FxIndexObservation getObservation()

Gets the FX index observation.

This defines the observation of the index used to obtain the FX reset rate.

An FX index is a daily rate of exchange between two currencies. Note that the order of the currencies in the index does not matter, as the conversion direction is fully defined by the currency of the reference amount.

Returns:

the value of the property, not null

getReferenceCurrency

public Currency getReferenceCurrency()

Gets the currency of the notional amount defined in the contract.

This is the currency of notional amount as defined in the contract. The amount will be converted from this reference currency to the swap leg currency when calculating the value of the leg.

The reference currency must be one of the two currencies of the index.

The reference currency is also known as the constant currency.

Returns:

the value of the property, 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