com.opengamma.strata.product.cms

Class Cms

java.lang.Object

com.opengamma.strata.product.cms.Cms

All Implemented Interfaces:

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

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

A constant maturity swap (CMS) or CMS cap/floor.

The CMS product consists of two legs, a CMS leg and a pay leg. The CMS leg of CMS periodically pays coupons based on swap rate, which is the observed value of a swap index. The pay leg is any swap leg from a standard interest rate swap. The pay leg may be absent for certain CMS products, with the premium paid upfront instead, as defined on CmsTrade.

CMS cap/floor instruments can be created. These are defined as a set of call/put options on successive swap rates, creating CMS caplets/floorlets.

For example, a CMS trade might involve an agreement to exchange the difference between the fixed rate of 1% and the swap rate of 5-year 'GBP-FIXED-6M-LIBOR-6M' swaps every 6 months for 2 years.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
ImmutableSet<Currency>	allCurrencies() Returns the set of currencies the product refers to.
ImmutableSet<Currency>	allPaymentCurrencies() Returns the set of currencies that the product pays in.
ImmutableSet<Index>	allRateIndices() Returns the set of rate indices referred to by the CMS.
boolean	equals(Object obj)
CmsLeg	getCmsLeg() Gets the CMS leg of the product.
Optional<SwapLeg>	getPayLeg() Gets the optional pay leg of the product.
int	hashCode()
static Cms.Meta	meta() The meta-bean for Cms.
Cms.Meta	metaBean()
static Cms	of(CmsLeg cmsLeg) Obtains an instance from a CMS leg with no pay leg.
static Cms	of(CmsLeg cmsLeg, SwapLeg payLeg) Obtains an instance from a CMS leg and a pay leg.
ResolvedCms	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 Cms of(CmsLeg cmsLeg)

Obtains an instance from a CMS leg with no pay leg.

The pay leg is absent in the resulting CMS.

Parameters:

cmsLeg - the CMS leg

Returns:

the CMS

of

public static Cms of(CmsLeg cmsLeg,
                     SwapLeg payLeg)

Obtains an instance from a CMS leg and a pay leg.

Parameters:

cmsLeg - the CMS leg

payLeg - the pay leg

Returns:

the CMS

resolve

public ResolvedCms resolve(ReferenceData refData)

Specified by:

resolve in interface Resolvable<ResolvedCms>

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

allRateIndices

public ImmutableSet<Index> allRateIndices()

Returns the set of rate indices referred to by the CMS.

The CMS leg will refer to one index, such as 'GBP-LIBOR-3M'. The pay leg may refer to a different index. The swap index will not be included.

Returns:

the set of indices referred to by this CMS

meta

public static Cms.Meta meta()

The meta-bean for Cms.

Returns:

the meta-bean, not null

metaBean

public Cms.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getCmsLeg

public CmsLeg getCmsLeg()

Gets the CMS leg of the product.

This is associated with periodic payments based on swap rate. The payments are CMS coupons, CMS caplets or CMS floors.

Returns:

the value of the property, not null

getPayLeg

public Optional<SwapLeg> getPayLeg()

Gets the optional pay leg of the product.

Typically this is associated with periodic fixed or Ibor rate payments without compounding or notional exchange.

These periodic payments are not made over the lifetime of the product for certain CMS 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