CmsLeg (OpenGamma Strata Product)

java.lang.Object
- com.opengamma.strata.product.cms.CmsLeg

All Implemented Interfaces:

Resolvable<ResolvedCmsLeg>, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class CmsLeg
extends Object
implements Resolvable<ResolvedCmsLeg>, org.joda.beans.ImmutableBean, Serializable
```
A CMS leg of a constant maturity swap (CMS) product.
This defines a single CMS leg for CMS or CMS cap/floor. The CMS leg of CMS periodically pays coupons based on swap rate, which is the observed value of a swap index. A CMS cap/floor instruments are defined as a set of call/put options on successive swap rates, creating CMS caplets/floorlets.
The periodic payments in the resolved leg are CMS coupons, CMS caplets or CMS floorlets depending on the data in this leg. The capSchedule field is used to represent strike values of individual caplets, whereas floorSchedule is used to represent strike values of individual floorlets. Thus at least one of capSchedule and floorSchedule must be empty. If both the fields are absent, the periodic payments in this leg are CMS coupons.

See Also:

Serialized Form

Nested Class Summary

Nested Classes
Modifier and Type Class and Description

static class CmsLeg.Builder
The bean-builder for CmsLeg.

static class CmsLeg.Meta
The meta-bean for CmsLeg.

Nested Classes
Modifier and Type	Class and Description
`static class`	`CmsLeg.Builder` The bean-builder for `CmsLeg`.
`static class`	`CmsLeg.Meta` The meta-bean for `CmsLeg`.

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`static CmsLeg.Builder`	`builder()` Returns a builder used to create an instance of the bean.
`boolean`	`equals(Object obj)`
`Optional<ValueSchedule>`	`getCapSchedule()` Gets the cap schedule, optional.
`Currency`	`getCurrency()` Gets the currency of the leg associated with the notional.
`DayCount`	`getDayCount()` Gets the day count convention.
`AdjustableDate`	`getEndDate()` Gets the accrual end date of the leg.
`DaysAdjustment`	`getFixingDateOffset()` Gets the offset of the fixing date from each adjusted reset date.
`FixingRelativeTo`	`getFixingRelativeTo()` Gets the base date that each fixing is made relative to, defaulted to 'PeriodStart'.
`Optional<ValueSchedule>`	`getFloorSchedule()` Gets the floor schedule, optional.
`SwapIndex`	`getIndex()` Gets the swap index.
`ValueSchedule`	`getNotional()` Gets the notional amount, must be non-negative.
`DaysAdjustment`	`getPaymentDateOffset()` Gets the offset of payment from the base calculation period date.
`PeriodicSchedule`	`getPaymentSchedule()` Gets the periodic payment schedule.
`PayReceive`	`getPayReceive()` Gets whether the leg is pay or receive.
`AdjustableDate`	`getStartDate()` Gets the accrual start date of the leg.
`RateIndex`	`getUnderlyingIndex()` Gets the underlying Rate index that the leg is based on.
`int`	`hashCode()`
`static CmsLeg.Meta`	`meta()` The meta-bean for `CmsLeg`.
`CmsLeg.Meta`	`metaBean()`
`ResolvedCmsLeg`	`resolve(ReferenceData refData)`
`CmsLeg.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 org.joda.beans.Bean
property, propertyNames

- Method Detail
  - getStartDate
```
public AdjustableDate getStartDate()
```
    Gets the accrual start date of the leg.
    This is the first accrual date in the leg, often known as the effective date.
    
    Returns:
    
    the start date of the leg
  - getEndDate
```
public AdjustableDate getEndDate()
```
    Gets the accrual end date of the leg.
    This is the last accrual date in the leg, often known as the termination date.
    
    Returns:
    
    the end date of the leg
  - getUnderlyingIndex
```
public RateIndex getUnderlyingIndex()
```
    Gets the underlying Rate index that the leg is based on.
    
    Returns:
    
    the index
  - resolve
```
public ResolvedCmsLeg resolve(ReferenceData refData)
```
    Specified by:
    
    resolve in interface Resolvable<ResolvedCmsLeg>
  - meta
```
public static CmsLeg.Meta meta()
```
    The meta-bean for CmsLeg.
    
    Returns:
    
    the meta-bean, not null
  - builder
```
public static CmsLeg.Builder builder()
```
    Returns a builder used to create an instance of the bean.
    
    Returns:
    
    the builder, not null
  - metaBean
```
public CmsLeg.Meta metaBean()
```
    Specified by:
    
    metaBean in interface org.joda.beans.Bean
  - getPayReceive
```
public PayReceive getPayReceive()
```
    Gets whether the leg is pay or receive.
    A value of 'Pay' implies that the resulting amount is paid to the counterparty. A value of 'Receive' implies that the resulting amount is received from the counterparty. Note that negative swap rates can result in a payment in the opposite direction to that implied by this indicator.
    
    Returns:
    
    the value of the property, not null
  - getPaymentSchedule
```
public PeriodicSchedule getPaymentSchedule()
```
    Gets the periodic payment schedule.
    This is used to define the periodic payment periods. These are used directly or indirectly to determine other dates in the leg.
    
    Returns:
    
    the value of the property, not null
  - getPaymentDateOffset
```
public DaysAdjustment getPaymentDateOffset()
```
    Gets the offset of payment from the base calculation period date.
    The offset is applied to the adjusted end date of each payment period. Offset can be based on calendar days or business days.
    When building, this will default to the payment offset of the swap convention in the swap index if not specified.
    
    Returns:
    
    the value of the property, not null
  - getCurrency
```
public Currency getCurrency()
```
    Gets the currency of the leg associated with the notional.
    This is the currency of the leg and the currency that swap rate calculation is made in. The amounts of the notional are expressed in terms of this currency.
    
    Returns:
    
    the value of the property, not null
  - getNotional
```
public ValueSchedule getNotional()
```
    Gets the notional amount, must be non-negative.
    The notional amount applicable during the period. The currency of the notional is specified by currency.
    
    Returns:
    
    the value of the property, not null
  - getIndex
```
public SwapIndex getIndex()
```
    Gets the swap index.
    The swap rate to be paid is the observed value of this index.
    
    Returns:
    
    the value of the property, not null
  - getFixingRelativeTo
```
public FixingRelativeTo getFixingRelativeTo()
```
    Gets the base date that each fixing is made relative to, defaulted to 'PeriodStart'.
    The fixing date is relative to either the start or end of each period.
    
    Returns:
    
    the value of the property, not null
  - getFixingDateOffset
```
public DaysAdjustment getFixingDateOffset()
```
    Gets the offset of the fixing date from each adjusted reset date.
    The offset is applied to the base date specified by fixingRelativeTo. The offset is typically a negative number of business days.
    When building, this will default to the fixing offset of the swap convention in the swap index if not specified.
    
    Returns:
    
    the value of the property, not null
  - getDayCount
```
public DayCount getDayCount()
```
    Gets the day count convention.
    This is used to convert dates to a numerical value.
    When building, this will default to the day count of the swap convention in the swap index if not specified.
    
    Returns:
    
    the value of the property, not null
  - getCapSchedule
```
public Optional<ValueSchedule> getCapSchedule()
```
    Gets the cap schedule, optional.
    This defines the strike value of a cap as an initial value and a list of adjustments. Thus individual caplets may have different strike values. The cap rate is only allowed to change at payment period boundaries.
    If the product is not a cap, the cap schedule will be absent.
    
    Returns:
    
    the optional value of the property, not null
  - getFloorSchedule
```
public Optional<ValueSchedule> getFloorSchedule()
```
    Gets the floor schedule, optional.
    This defines the strike value of a floor as an initial value and a list of adjustments. Thus individual floorlets may have different strike values. The floor rate is only allowed to change at payment period boundaries.
    If the product is not a floor, the floor schedule will be absent.
    
    Returns:
    
    the optional value of the property, not null
  - toBuilder
```
public CmsLeg.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

Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.

Class CmsLeg

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

Methods inherited from interface org.joda.beans.Bean

Method Detail

getStartDate

getEndDate

getUnderlyingIndex

resolve

meta

builder

metaBean

getPayReceive

getPaymentSchedule

getPaymentDateOffset

getCurrency

getNotional

getIndex

getFixingRelativeTo

getFixingDateOffset

getDayCount

getCapSchedule

getFloorSchedule

toBuilder

equals

hashCode

toString