com.opengamma.strata.product.swap.type

Interface XCcyOvernightOvernightSwapConvention

All Superinterfaces:

Named, TradeConvention

All Known Implementing Classes:

ImmutableXCcyOvernightOvernightSwapConvention

public interface XCcyOvernightOvernightSwapConvention
extends TradeConvention, Named

A market convention for cross-currency overnight-overnight swap trades without FX reset.

This defines the market convention for a cross-currency overnight-overnight swap. The convention is formed by combining two swap leg conventions in different currencies.

The market price is for the difference (spread) between the values of the two legs. This convention has two legs, the "spread leg" and the "flat leg". The spread will be added to the "spread leg".

For example, a 'EUR/USD' basis swap has 'EUR-ESTR' as the spread leg and 'USD-SOFR' as the flat leg.

To manually create a convention, see ImmutableXCcyOvernightOvernightSwapConvention. To register a specific convention, see XCcyOvernightOvernightSwapConvention.ini.

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 notionalSpreadLeg, double notionalFlatLeg, double spread, ReferenceData refData) Creates a forward-starting trade based on this convention.
default SwapTrade	createTrade(LocalDate tradeDate, Tenor tenor, BuySell buySell, double notionalSpreadLeg, double notionalFlatLeg, double spread, ReferenceData refData) Creates a spot-starting trade based on this convention.
static ExtendedEnum<XCcyOvernightOvernightSwapConvention>	extendedEnum() Gets the extended enum helper.
default CurrencyPair	getCurrencyPair() Gets the currency pair of the convention.
OvernightRateSwapLegConvention	getFlatLeg() Gets the market convention of the floating leg that does not have the spread applied.
String	getName() Gets the name that uniquely identifies this convention.
DaysAdjustment	getSpotDateOffset() Gets the offset of the spot value date from the trade date.
OvernightRateSwapLegConvention	getSpreadLeg() Gets the market convention of the floating leg that has the spread applied.
static XCcyOvernightOvernightSwapConvention	of(String uniqueName) Obtains an instance from the specified unique name.
default SwapTrade	toTrade(LocalDate tradeDate, LocalDate startDate, LocalDate endDate, BuySell buySell, double notionalSpreadLeg, double notionalFlatLeg, double spread) Creates a trade based on this convention.
SwapTrade	toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notionalSpreadLeg, double notionalFlatLeg, double spread) Creates a trade based on this convention.

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

of

Method Detail

of

static XCcyOvernightOvernightSwapConvention 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

extendedEnum

static ExtendedEnum<XCcyOvernightOvernightSwapConvention> extendedEnum()

Gets the extended enum helper.

This helper allows instances of the convention to be looked up. It also provides the complete set of available instances.

Returns:

the extended enum helper

getSpreadLeg

OvernightRateSwapLegConvention getSpreadLeg()

Gets the market convention of the floating leg that has the spread applied.

The spread is the market price of the instrument. It is added to the observed interest rate.

Returns:

the spread leg convention

getFlatLeg

OvernightRateSwapLegConvention getFlatLeg()

Gets the market convention of the floating leg that does not have the spread applied.

Returns:

the flat leg convention

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

getCurrencyPair

default CurrencyPair getCurrencyPair()

Gets the currency pair of the convention.

Returns:

the currency pair

createTrade

default SwapTrade createTrade(LocalDate tradeDate,
                              Tenor tenor,
                              BuySell buySell,
                              double notionalSpreadLeg,
                              double notionalFlatLeg,
                              double spread,
                              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.

The notionals are unsigned, with buy/sell determining the direction of the trade. If buying the swap, the rate of the flat leg is received, with the rate of the spread leg being paid. If selling the swap, the opposite occurs.

Parameters:

tradeDate - the date of the trade

tenor - the tenor of the swap

buySell - the buy/sell flag

notionalSpreadLeg - the notional amount for the spread leg

notionalFlatLeg - the notional amount for the flat leg

spread - the spread, 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 notionalSpreadLeg,
                              double notionalFlatLeg,
                              double spread,
                              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.

The notional is unsigned, with buy/sell determining the direction of the trade. If buying the swap, the rate of the flat leg is received, with the rate of the spread leg being paid. If selling the swap, the opposite occurs.

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

notionalSpreadLeg - the notional amount for the spread leg

notionalFlatLeg - the notional amount for the flat leg

spread - the spread, 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 notionalSpreadLeg,
                          double notionalFlatLeg,
                          double spread)

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 rate of the flat leg is received, with the rate of the spread leg being paid. If selling the swap, the opposite occurs.

Parameters:

tradeDate - the date of the trade

startDate - the start date

endDate - the end date

buySell - the buy/sell flag

notionalSpreadLeg - the notional amount for the spread leg

notionalFlatLeg - the notional amount for the flat leg

spread - the spread, typically derived from the market

Returns:

the trade

toTrade

SwapTrade toTrade(TradeInfo tradeInfo,
                  LocalDate startDate,
                  LocalDate endDate,
                  BuySell buySell,
                  double notionalSpreadLeg,
                  double notionalFlatLeg,
                  double spread)

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 rate of the flat leg is received, with the rate of the spread leg being paid. If selling the swap, the opposite occurs.

Parameters:

tradeInfo - additional information about the trade.

startDate - the start date

endDate - the end date

buySell - the buy/sell flag

notionalSpreadLeg - the notional amount for the spread leg

notionalFlatLeg - the notional amount for the flat leg

spread - the spread, 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