com.opengamma.strata.product.swap.type

Interface FixedFloatSwapTemplate

All Superinterfaces:

TradeTemplate

All Known Implementing Classes:

FixedIborSwapTemplate, FixedOvernightSwapTemplate

public interface FixedFloatSwapTemplate
extends TradeTemplate

A template for creating Fixed-Float swap trades.

This defines almost all the data necessary to create a Fixed-Float single currency SwapTrade. The trade date, notional and fixed rate 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 market price is typically quoted as a bid/ask on the fixed rate.

Method Summary

Modifier and Type	Method and Description
SwapTrade	createTrade(LocalDate tradeDate, BuySell buySell, double notional, double fixedRate, ReferenceData refData) Creates a trade based on this template.
FixedFloatSwapConvention	getConvention() The market convention of the associated swap.
Tenor	getTenor() The associated swap tenor.

Method Detail

getConvention

FixedFloatSwapConvention getConvention()

The market convention of the associated swap.

Returns:

the swap convention

getTenor

Tenor getTenor()

The associated swap tenor.

Returns:

the tenor

createTrade

SwapTrade createTrade(LocalDate tradeDate,
                      BuySell buySell,
                      double notional,
                      double fixedRate,
                      ReferenceData refData)

Creates a trade based on this template.

This returns a trade based on the specified trade date.

The notional is unsigned, with buy/sell determining the direction of the trade. If buying the swap, the floating rate is received from the counterparty, with the fixed rate being paid. If selling the swap, the floating rate is paid to the counterparty, with the fixed rate being received.

Parameters:

tradeDate - the date of the trade

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

Throws:

ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data