com.opengamma.strata.product.bond

Class CapitalIndexedBond

java.lang.Object

com.opengamma.strata.product.bond.CapitalIndexedBond

All Implemented Interfaces:

Resolvable<ResolvedCapitalIndexedBond>, Product, SecuritizedProduct, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class CapitalIndexedBond
extends Object
implements SecuritizedProduct, Resolvable<ResolvedCapitalIndexedBond>, org.joda.beans.ImmutableBean, Serializable

A capital indexed bond.

A capital indexed bond is a financial instrument that represents a stream of inflation-adjusted payments. The payments consist two types: periodic coupon payments and nominal payment. All of the payments are adjusted for inflation.

The periodic coupon payment schedule is defined using periodicSchedule. The payment amount will be computed based on this schedule and RateComputation of InflationRateCalculation. The nominal payment is defined from the last period of the periodic coupon payment schedule.

The legal entity of this bond is identified by legalEntityId. The enum, yieldConvention, specifies the yield computation convention. The accrued interest must be computed with dayCount.

Price

Strata uses decimal prices for bonds in the trade model, pricers and market data. For example, a price of 99.32% is represented in Strata by 0.9932.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
static CapitalIndexedBond.Builder	builder() Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
PeriodicSchedule	getAccrualSchedule() Gets the accrual schedule.
Currency	getCurrency() Gets the currency that the bond is traded in.
DayCount	getDayCount() Gets the day count convention applicable.
DaysAdjustment	getExCouponPeriod() Gets ex-coupon period.
double	getFirstIndexValue() Gets the first index value
LegalEntityId	getLegalEntityId() Gets the legal entity identifier.
double	getNotional() Gets the notional amount, must be positive.
InflationRateCalculation	getRateCalculation() Gets the inflation rate calculation.
SecurityId	getSecurityId() Gets the security identifier.
DaysAdjustment	getSettlementDateOffset() Gets the number of days between valuation date and settlement date.
CapitalIndexedBondYieldConvention	getYieldConvention() Gets yield convention.
int	hashCode()
static CapitalIndexedBond.Meta	meta() The meta-bean for CapitalIndexedBond.
CapitalIndexedBond.Meta	metaBean()
ResolvedCapitalIndexedBond	resolve(ReferenceData refData)
CapitalIndexedBond.Builder	toBuilder() Returns a builder that allows this bean to be mutated.
String	toString()

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.opengamma.strata.product.SecuritizedProduct

allCurrencies

Methods inherited from interface com.opengamma.strata.product.Product

allPaymentCurrencies, isCrossCurrency

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

getFirstIndexValue

public double getFirstIndexValue()

Gets the first index value

This is the price index value at the start of the bond.

Returns:

the first index value

resolve

public ResolvedCapitalIndexedBond resolve(ReferenceData refData)

Specified by:

resolve in interface Resolvable<ResolvedCapitalIndexedBond>

meta

public static CapitalIndexedBond.Meta meta()

The meta-bean for CapitalIndexedBond.

Returns:

the meta-bean, not null

builder

public static CapitalIndexedBond.Builder builder()

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

Returns:

the builder, not null

metaBean

public CapitalIndexedBond.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getSecurityId

public SecurityId getSecurityId()

Gets the security identifier.

This identifier uniquely identifies the security within the system.

Specified by:

getSecurityId in interface SecuritizedProduct

Returns:

the value of the property, not null

getCurrency

public Currency getCurrency()

Gets the currency that the bond is traded in.

Specified by:

getCurrency in interface SecuritizedProduct

Returns:

the value of the property, not null

getNotional

public double getNotional()

Gets the notional amount, must be positive.

The notional expressed here must be positive. The currency of the notional is specified by currency.

Returns:

the value of the property

getAccrualSchedule

public PeriodicSchedule getAccrualSchedule()

Gets the accrual schedule.

This is used to define the accrual periods. These are used directly or indirectly to determine other dates in the product.

Returns:

the value of the property, not null

getRateCalculation

public InflationRateCalculation getRateCalculation()

Gets the inflation rate calculation.

The reference index is interpolated index or monthly index. Real coupons are represented by gearing in the calculation. The price index value at the start of the bond is represented by firstIndexValue in the calculation.

Returns:

the value of the property, not null

getDayCount

public DayCount getDayCount()

Gets the day count convention applicable.

The conversion from dates to a numerical value is made based on this day count. For the inflation-indexed bond, the day count convention is used to compute accrued interest.

Note that the year fraction of a coupon payment is computed based on the unadjusted dates in the schedule.

Returns:

the value of the property, not null

getYieldConvention

public CapitalIndexedBondYieldConvention getYieldConvention()

Gets yield convention.

The convention defines how to convert from yield to price and inversely.

Returns:

the value of the property, not null

getLegalEntityId

public LegalEntityId getLegalEntityId()

Gets the legal entity identifier.

This identifier is used for the legal entity that issues the bond.

Returns:

the value of the property, not null

getSettlementDateOffset

public DaysAdjustment getSettlementDateOffset()

Gets the number of days between valuation date and settlement date.

This is used to compute clean price. The clean price is the relative price to be paid at the standard settlement date in exchange for the bond.

Returns:

the value of the property, not null

getExCouponPeriod

public DaysAdjustment getExCouponPeriod()

Gets ex-coupon period.

Some bonds trade ex-coupons before the coupon payment. The coupon is paid not to the owner of the bond on the payment date but to the owner of the bond on the detachment date. The difference between the two is the ex-coupon period (measured in days).

Because the detachment date is not after the coupon date, the number of days stored in this field should be zero or negative.

Returns:

the value of the property, not null

toBuilder

public CapitalIndexedBond.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

toString

public String toString()

Overrides:

toString in class Object