com.opengamma.strata.product.swaption

Class SwaptionExercise

java.lang.Object

com.opengamma.strata.product.swaption.SwaptionExercise

All Implemented Interfaces:

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

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

Details as to when a swaption can be exercised.

A swaption can have three different kinds of exercise - European, American and Bermudan. A European swaption has one exercise date, an American can exercise on any date, and a Bermudan can exercise on a fixed set of dates.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
AdjustableDates	calculateDates() Gets the calculated list of exercise dates.
boolean	equals(Object obj)
AdjustableDates	getDateDefinition() Gets an explicit list of exercise dates.
Optional<Frequency>	getFrequency() Gets the frequency of exercise between the earliest and latest dates.
DaysAdjustment	getSwapStartDateOffset() Gets the offset to the swap start date.
int	hashCode()
boolean	isAmerican() Checks if the exercise is American.
boolean	isBermudan() Checks if the exercise is Bermudan.
boolean	isEuropean() Checks if the exercise is European.
static SwaptionExercise.Meta	meta() The meta-bean for SwaptionExercise.
SwaptionExercise.Meta	metaBean()
static SwaptionExercise	ofAmerican(LocalDate earliestExerciseDate, LocalDate latestExerciseDate, BusinessDayAdjustment dateAdjustment, DaysAdjustment swapStartDateOffset) Obtains an instance for an American swaption.
static SwaptionExercise	ofBermudan(AdjustableDates exerciseDates, DaysAdjustment swapStartDateOffset) Obtains an instance for a Bermudan swaption.
static SwaptionExercise	ofBermudan(LocalDate earliestExerciseDate, LocalDate latestExerciseDate, BusinessDayAdjustment dateAdjustment, Frequency frequency, DaysAdjustment swapStartDateOffset) Obtains an instance for a Bermudan swaption where the dates are calculated.
static SwaptionExercise	ofEuropean(AdjustableDate exerciseDate, DaysAdjustment swapStartDateOffset) Obtains an instance for a European swaption.
AdjustableDate	selectDate(LocalDate proposedExerciseDate, ReferenceData refData) Selects a single exercise date based on the proposed date.
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

ofEuropean

public static SwaptionExercise ofEuropean(AdjustableDate exerciseDate,
                                          DaysAdjustment swapStartDateOffset)

Obtains an instance for a European swaption.

Parameters:

exerciseDate - the exercise date

swapStartDateOffset - the swap start date offset

Returns:

the exercise

ofAmerican

public static SwaptionExercise ofAmerican(LocalDate earliestExerciseDate,
                                          LocalDate latestExerciseDate,
                                          BusinessDayAdjustment dateAdjustment,
                                          DaysAdjustment swapStartDateOffset)

Obtains an instance for an American swaption.

Parameters:

earliestExerciseDate - the earliest exercise date

latestExerciseDate - the latest exercise date

dateAdjustment - the date adjustment

swapStartDateOffset - the swap start date offset

Returns:

the exercise

ofBermudan

public static SwaptionExercise ofBermudan(AdjustableDates exerciseDates,
                                          DaysAdjustment swapStartDateOffset)

Obtains an instance for a Bermudan swaption.

Parameters:

exerciseDates - the exercise dates

swapStartDateOffset - the swap start date offset

Returns:

the exercise

ofBermudan

public static SwaptionExercise ofBermudan(LocalDate earliestExerciseDate,
                                          LocalDate latestExerciseDate,
                                          BusinessDayAdjustment dateAdjustment,
                                          Frequency frequency,
                                          DaysAdjustment swapStartDateOffset)

Obtains an instance for a Bermudan swaption where the dates are calculated.

For example, if the dates represent a 5 year period and the frequency is yearly then the Bermudan swaption can be exercised each year in the period. The exact dates are calculated by adding multiples of the frequency to the earliest date.

Parameters:

earliestExerciseDate - the earliest exercise date

latestExerciseDate - the latest exercise date

dateAdjustment - the date adjustment

frequency - the frequency

swapStartDateOffset - the swap start date offset

Returns:

the exercise

isEuropean

public boolean isEuropean()

Checks if the exercise is European.

Returns:

true if European exercise on a single date

isAmerican

public boolean isAmerican()

Checks if the exercise is American.

Returns:

true if American exercise on any date

isBermudan

public boolean isBermudan()

Checks if the exercise is Bermudan.

Returns:

true if Bermudan exercise on a specific set of dates

calculateDates

public AdjustableDates calculateDates()

Gets the calculated list of exercise dates.

This could be a large list in the case of an American exercise.

Returns:

the exercise dates

selectDate

public AdjustableDate selectDate(LocalDate proposedExerciseDate,
                                 ReferenceData refData)

Selects a single exercise date based on the proposed date.

This validates the proposed exercise date and returns it.

The date is matched as an adjusted date first, then as an unadjusted date. If the date can only be an adjusted date, the result will use BusinessDayAdjustment.NONE.

Parameters:

proposedExerciseDate - the proposed exercise date

refData - the reference data

Returns:

the exercise dates

Throws:

IllegalArgumentException - if the proposed exercise date is not valid

meta

public static SwaptionExercise.Meta meta()

The meta-bean for SwaptionExercise.

Returns:

the meta-bean, not null

metaBean

public SwaptionExercise.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getDateDefinition

public AdjustableDates getDateDefinition()

Gets an explicit list of exercise dates.

A European swaption has one date in the list. A Bermudan swaption has at least two dates in the list. An American swaption has at exactly two dates in the list, the earliest and latest dates.

Returns:

the value of the property, not null

getFrequency

public Optional<Frequency> getFrequency()

Gets the frequency of exercise between the earliest and latest dates.

An American swaption must set this to one day.

A Bermudan swaption might set this to a specific frequency instead of pre-calculating the dates. If it does this, there must only be two dates in the list. The intermediate dates will be calculated by adding multiples of the frequency to the earliest date.

Returns:

the optional value of the property, not null

getSwapStartDateOffset

public DaysAdjustment getSwapStartDateOffset()

Gets the offset to the swap start date.

Each adjusted exercise date has this offset applied to get the start date of the underlying swap.

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