com.opengamma.strata.product.swap.type

Class ImmutableOvernightIborSwapConvention

java.lang.Object

com.opengamma.strata.product.swap.type.ImmutableOvernightIborSwapConvention

All Implemented Interfaces:

Named, OvernightIborSwapConvention, SingleCurrencySwapConvention, TradeConvention, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

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

A market convention for Fixed-Overnight swap trades.

This defines the market convention for a Fixed-Overnight single currency swap. This is often known as an OIS swap, although Fed Fund swaps are also covered. The convention is formed by combining two swap leg conventions in the same currency.

The convention is defined by four key 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 interest calculation starts, often the same as the spot date
• End date, the date on which the interest calculation ends, typically a number of years after the start date

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
static ImmutableOvernightIborSwapConvention.Builder	builder() Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
IborRateSwapLegConvention	getIborLeg() Gets the market convention of the floating leg.
String	getName() Gets the convention name, such as 'USD-FED-FUND-AA-LIBOR-3M'.
OvernightRateSwapLegConvention	getOvernightLeg() Gets the market convention of the floating leg.
DaysAdjustment	getSpotDateOffset() Gets the offset of the spot value date from the trade date.
int	hashCode()
static ImmutableOvernightIborSwapConvention.Meta	meta() The meta-bean for ImmutableOvernightIborSwapConvention.
ImmutableOvernightIborSwapConvention.Meta	metaBean()
static ImmutableOvernightIborSwapConvention	of(String name, OvernightRateSwapLegConvention overnightLeg, IborRateSwapLegConvention iborLeg) Obtains a convention based on the specified name and leg conventions.
static ImmutableOvernightIborSwapConvention	of(String name, OvernightRateSwapLegConvention overnightLeg, IborRateSwapLegConvention iborLeg, DaysAdjustment spotDateOffset) Obtains a convention based on the specified name and leg conventions.
ImmutableOvernightIborSwapConvention.Builder	toBuilder() Returns a builder that allows this bean to be mutated.
String	toString()
SwapTrade	toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double spread) 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.swap.type.OvernightIborSwapConvention

createTrade, createTrade, extendedEnum, of, toTrade

Methods inherited from interface com.opengamma.strata.product.swap.type.SingleCurrencySwapConvention

calculateSpotDateFromTradeDate

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 ImmutableOvernightIborSwapConvention of(String name,
                                                      OvernightRateSwapLegConvention overnightLeg,
                                                      IborRateSwapLegConvention iborLeg)

Obtains a convention based on the specified name and leg conventions.

The two leg conventions must be in the same currency. The spot date offset is set to be the effective date offset of the Ibor index.

Parameters:

name - the unique name of the convention

overnightLeg - the market convention for the overnight leg

iborLeg - the market convention for the ibor leg

Returns:

the convention

of

public static ImmutableOvernightIborSwapConvention of(String name,
                                                      OvernightRateSwapLegConvention overnightLeg,
                                                      IborRateSwapLegConvention iborLeg,
                                                      DaysAdjustment spotDateOffset)

Obtains a convention based on the specified name and leg conventions.

The two leg conventions must be in the same currency.

Parameters:

name - the unique name of the convention

overnightLeg - the market convention for the overnight leg

iborLeg - the market convention for the ibor leg

spotDateOffset - the offset of the spot value date from the trade date

Returns:

the convention

toTrade

public SwapTrade toTrade(TradeInfo tradeInfo,
                         LocalDate startDate,
                         LocalDate endDate,
                         BuySell buySell,
                         double notional,
                         double spread)

Description copied from interface: OvernightIborSwapConvention

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 swap, the Ibor rate is received from the counterparty, with the overnight and spread being paid. If selling the swap, the Ibor rate is paid to the counterparty, with the overnight and spread being received.

Specified by:

toTrade in interface OvernightIborSwapConvention

Specified by:

toTrade in interface SingleCurrencySwapConvention

Parameters:

tradeInfo - additional information about the trade

startDate - the start date

endDate - the end date

buySell - the buy/sell flag

notional - the notional amount

spread - the spread of added the overnight rates, typically derived from the market

Returns:

the trade

toString

public String toString()

Overrides:

toString in class Object

meta

public static ImmutableOvernightIborSwapConvention.Meta meta()

The meta-bean for ImmutableOvernightIborSwapConvention.

Returns:

the meta-bean, not null

builder

public static ImmutableOvernightIborSwapConvention.Builder builder()

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

Returns:

the builder, not null

metaBean

public ImmutableOvernightIborSwapConvention.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getName

public String getName()

Gets the convention name, such as 'USD-FED-FUND-AA-LIBOR-3M'.

Specified by:

getName in interface Named

Specified by:

getName in interface OvernightIborSwapConvention

Specified by:

getName in interface SingleCurrencySwapConvention

Returns:

the value of the property, not null

getOvernightLeg

public OvernightRateSwapLegConvention getOvernightLeg()

Gets the market convention of the floating leg.

Specified by:

getOvernightLeg in interface OvernightIborSwapConvention

Returns:

the value of the property, not null

getIborLeg

public IborRateSwapLegConvention getIborLeg()

Gets the market convention of the floating leg.

Specified by:

getIborLeg in interface OvernightIborSwapConvention

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 to find the start date. A typical value is "plus 2 business days".

Specified by:

getSpotDateOffset in interface SingleCurrencySwapConvention

Returns:

the value of the property, not null

toBuilder

public ImmutableOvernightIborSwapConvention.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