com.opengamma.strata.product.swap.type

Interface SingleCurrencySwapConvention

All Superinterfaces:

Named, TradeConvention

All Known Subinterfaces:

FixedFloatSwapConvention, FixedIborSwapConvention, FixedInflationSwapConvention, FixedOvernightSwapConvention, IborIborSwapConvention, OvernightIborSwapConvention, ThreeLegBasisSwapConvention

All Known Implementing Classes:

ImmutableFixedIborSwapConvention, ImmutableFixedInflationSwapConvention, ImmutableFixedOvernightSwapConvention, ImmutableIborIborSwapConvention, ImmutableOvernightIborSwapConvention, ImmutableThreeLegBasisSwapConvention

public interface SingleCurrencySwapConvention
extends TradeConvention, Named

A market convention for swap trades.

This defines the market convention for a a swap. Each different type of swap has its own convention - this interface provides an abstraction.

Method Summary

Modifier and Type	Method and Description
default LocalDate	calculateSpotDateFromTradeDate(LocalDate tradeDate, ReferenceData refData) Calculates the spot date from the trade date.
default SwapTrade	createTrade(LocalDate tradeDate, Period periodToStart, Tenor tenor, BuySell buySell, double notional, double fixedRateOrSpread, ReferenceData refData) Creates a forward-starting trade based on this convention.
default SwapTrade	createTrade(LocalDate tradeDate, Tenor tenor, BuySell buySell, double notional, double fixedRateOrSpread, ReferenceData refData) Creates a spot-starting trade based on this 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.
static SingleCurrencySwapConvention	of(String uniqueName) Obtains an instance from the specified unique name.
default SwapTrade	toTrade(LocalDate tradeDate, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRateOrSpread) Creates a trade based on this convention.
SwapTrade	toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRateOrSpread) Creates a trade based on this convention.

Methods inherited from interface com.opengamma.strata.collect.named.Named

of

Method Detail

of

static SingleCurrencySwapConvention of(String uniqueName)

Obtains an instance from the specified unique name.

Parameters:

uniqueName - the unique name

Returns:

the convention

Throws:

IllegalArgumentException - if the name is not known

getSpotDateOffset

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".

Returns:

the spot date offset, not null

createTrade

default SwapTrade createTrade(LocalDate tradeDate,
                              Tenor tenor,
                              BuySell buySell,
                              double notional,
                              double fixedRateOrSpread,
                              ReferenceData refData)

Creates a spot-starting trade based on this convention.

This returns a trade based on the specified tenor. For example, a tenor of 5 years creates a swap starting on the spot date and maturing 5 years later.

See the instrument-level documentation to understand how the fixed rate or spread is applied.

Parameters:

tradeDate - the date of the trade

tenor - the tenor of the swap

buySell - the buy/sell flag

notional - the notional amount

fixedRateOrSpread - the fixed rate or spread in decimal form, 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

createTrade

default SwapTrade createTrade(LocalDate tradeDate,
                              Period periodToStart,
                              Tenor tenor,
                              BuySell buySell,
                              double notional,
                              double fixedRateOrSpread,
                              ReferenceData refData)

Creates a forward-starting trade based on this convention.

This returns a trade based on the specified period and tenor. For example, a period of 3 months and a tenor of 5 years creates a swap starting three months after the spot date and maturing 5 years later.

See the instrument-level documentation to understand how the fixed rate or spread is applied.

Parameters:

tradeDate - the date of the trade

periodToStart - the period between the spot date and the start date

tenor - the tenor of the swap

buySell - the buy/sell flag

notional - the notional amount

fixedRateOrSpread - the fixed rate or spread in decimal form, 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

toTrade

default SwapTrade toTrade(LocalDate tradeDate,
                          LocalDate startDate,
                          LocalDate endDate,
                          BuySell buySell,
                          double notional,
                          double fixedRateOrSpread)

Creates a trade based on this convention.

This returns a trade based on the specified dates.

See the instrument-level documentation to understand how the fixed rate or spread is applied.

Parameters:

tradeDate - the date of the trade

startDate - the start date

endDate - the end date

buySell - the buy/sell flag

notional - the notional amount

fixedRateOrSpread - the fixed rate or spread in decimal form, typically derived from the market

Returns:

the trade

toTrade

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

Creates a trade based on this convention.

This returns a trade based on the specified dates.

See the instrument-level documentation to understand how the fixed rate or spread is applied.

Parameters:

tradeInfo - additional information about the trade

startDate - the start date

endDate - the end date

buySell - the buy/sell flag

notional - the notional amount

fixedRateOrSpread - the fixed rate or spread in decimal form, typically derived from the market

Returns:

the trade

calculateSpotDateFromTradeDate

default LocalDate calculateSpotDateFromTradeDate(LocalDate tradeDate,
                                                 ReferenceData refData)

Calculates the spot date from the trade date.

Parameters:

tradeDate - the trade date

refData - the reference data, used to resolve the date

Returns:

the spot date

Throws:

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

getName

String getName()

Gets the name that uniquely identifies this convention.

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

Specified by:

getName in interface Named

Returns:

the unique name