com.opengamma.strata.product.capfloor

Class IborCapFloor

java.lang.Object

com.opengamma.strata.product.capfloor.IborCapFloor

All Implemented Interfaces:

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

public final class IborCapFloor
extends Object
implements Product, Resolvable<ResolvedIborCapFloor>, org.joda.beans.ImmutableBean, Serializable

An Ibor cap/floor product.

The Ibor cap/floor product consists of two legs, a cap/floor leg and a pay leg. The cap/floor leg involves a set of call/put options on successive Ibor index rates, known as Ibor caplets/floorlets. The pay leg is any swap leg from a standard interest rate swap. The pay leg is absent for typical Ibor cap/floor products, with the premium paid upfront instead, as defined in IborCapFloorTrade.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
ImmutableSet<Currency>	allCurrencies() Returns the set of currencies the product refers to.
ImmutableSet<Index>	allIndices() Returns the set of indices referred to by the cap/floor.
ImmutableSet<Currency>	allPaymentCurrencies() Returns the set of currencies that the product pays in.
boolean	equals(Object obj)
IborCapFloorLeg	getCapFloorLeg() Gets the Ibor cap/floor leg of the product.
Optional<SwapLeg>	getPayLeg() Gets the optional pay leg of the product.
int	hashCode()
static IborCapFloor.Meta	meta() The meta-bean for IborCapFloor.
IborCapFloor.Meta	metaBean()
static IborCapFloor	of(IborCapFloorLeg capFloorLeg) Obtains an instance from a cap/floor leg with no pay leg.
static IborCapFloor	of(IborCapFloorLeg capFloorLeg, SwapLeg payLeg) Obtains an instance from a cap/floor leg and a pay leg.
ResolvedIborCapFloor	resolve(ReferenceData refData)
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.Product

isCrossCurrency

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static IborCapFloor of(IborCapFloorLeg capFloorLeg)

Obtains an instance from a cap/floor leg with no pay leg.

The pay leg is absent in the resulting cap/floor.

Parameters:

capFloorLeg - the cap/floor leg

Returns:

the cap/floor

of

public static IborCapFloor of(IborCapFloorLeg capFloorLeg,
                              SwapLeg payLeg)

Obtains an instance from a cap/floor leg and a pay leg.

Parameters:

capFloorLeg - the cap/floor leg

payLeg - the pay leg

Returns:

the cap/floor

allPaymentCurrencies

public ImmutableSet<Currency> allPaymentCurrencies()

Description copied from interface: Product

Returns the set of currencies that the product pays in.

This returns the complete set of payment currencies. This will typically return one or two currencies.

Specified by:

allPaymentCurrencies in interface Product

Returns:

the set of payment currencies

allCurrencies

public ImmutableSet<Currency> allCurrencies()

Description copied from interface: Product

Returns the set of currencies the product refers to.

This returns the complete set of currencies, not just the payment currencies. For example, the sets will differ when one of the currencies is non-deliverable.

Specified by:

allCurrencies in interface Product

Returns:

the set of currencies the product refers to

allIndices

public ImmutableSet<Index> allIndices()

Returns the set of indices referred to by the cap/floor.

A cap/floor will typically refer to one index, such as 'GBP-LIBOR-3M'. Calling this method will return the complete list of indices.

Returns:

the set of indices referred to by this cap/floor

resolve

public ResolvedIborCapFloor resolve(ReferenceData refData)

Specified by:

resolve in interface Resolvable<ResolvedIborCapFloor>

meta

public static IborCapFloor.Meta meta()

The meta-bean for IborCapFloor.

Returns:

the meta-bean, not null

metaBean

public IborCapFloor.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getCapFloorLeg

public IborCapFloorLeg getCapFloorLeg()

Gets the Ibor cap/floor leg of the product.

This is associated with periodic payments based on Ibor rate. The payments are Ibor caplets or Ibor floorlets.

Returns:

the value of the property, not null

getPayLeg

public Optional<SwapLeg> getPayLeg()

Gets the optional pay leg of the product.

These periodic payments are not made for typical cap/floor products. Instead the premium is paid upfront.

Returns:

the optional 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