TenorCdsTemplate (OpenGamma Strata Product)

java.lang.Object
- com.opengamma.strata.product.credit.type.TenorCdsTemplate

All Implemented Interfaces:

CdsTemplate, TradeTemplate, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class TenorCdsTemplate
extends Object
implements CdsTemplate, org.joda.beans.ImmutableBean, Serializable
```
A template for creating credit default swap trades.
This defines almost all the data necessary to create a credit default swap CdsTrade. The start and end of the trade are defined in terms of AccrualStart and Tenor.
The legal entity ID, trade date, notional and fixed rate are required to complete the template and create the trade. As such, it is often possible to get a market quote for a trade based on the template. The start date (if it is not the next day) and end date are computed from trade date with the standard semi-annual roll convention.
A CDS is quoted in points upfront, par spread, or quoted spread. For the latter two cases, the market quotes are passed as the fixed rate.

See Also:

Serialized Form

Nested Class Summary

Nested Classes
Modifier and Type Class and Description

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

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

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`CdsTrade`	`createTrade(StandardId legalEntityId, LocalDate tradeDate, BuySell buySell, double notional, double fixedRate, AdjustablePayment upFrontFee, ReferenceData refData)` Creates a trade based on this template.
`CdsTrade`	`createTrade(StandardId legalEntityId, LocalDate tradeDate, BuySell buySell, double notional, double fixedRate, ReferenceData refData)` Creates a trade based on this template.
`boolean`	`equals(Object obj)`
`AccrualStart`	`getAccrualStart()` Gets the accrual start.
`CdsConvention`	`getConvention()` Gets the market convention of the credit default swap.
`Tenor`	`getTenor()` Gets the tenor of the credit default swap.
`int`	`hashCode()`
`static TenorCdsTemplate.Meta`	`meta()` The meta-bean for `TenorCdsTemplate`.
`TenorCdsTemplate.Meta`	`metaBean()`
`static TenorCdsTemplate`	`of(AccrualStart accrualStart, Tenor tenor, CdsConvention convention)` Obtains a template based on the specified tenor and convention.
`static TenorCdsTemplate`	`of(Tenor tenor, CdsConvention convention)` Obtains a template based on the specified tenor and convention.
`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
  - of
```
public static TenorCdsTemplate of(AccrualStart accrualStart,
                                  Tenor tenor,
                                  CdsConvention convention)
```
    Obtains a template based on the specified tenor and convention.
    The protection end will be calculated based on standard semi-annual roll convention.
    
    Parameters:
    
    accrualStart - the accrual start
    
    tenor - the tenor of the CDS
    
    convention - the market convention
    
    Returns:
    
    the template
  - of
```
public static TenorCdsTemplate of(Tenor tenor,
                                  CdsConvention convention)
```
    Obtains a template based on the specified tenor and convention.
    The start and end dates will be calculated based on standard semi-annual roll convention.
    
    Parameters:
    
    tenor - the tenor of the CDS
    
    convention - the market convention
    
    Returns:
    
    the template
  - createTrade
```
public CdsTrade createTrade(StandardId legalEntityId,
                            LocalDate tradeDate,
                            BuySell buySell,
                            double notional,
                            double fixedRate,
                            ReferenceData refData)
```
    Description copied from interface: CdsTemplate
    
    Creates a trade based on this template.
    This returns a trade based on the specified trade date.
    The notional is unsigned, with buy/sell determining the direction of the trade. If buying the CDS, the protection is received from the counterparty on default, with the fixed coupon being paid. If selling the CDS, the protection is paid to the counterparty on default, with the fixed coupon being received.
    
    Specified by:
    
    createTrade in interface CdsTemplate
    
    Parameters:
    
    legalEntityId - the legal entity ID
    
    tradeDate - the date of the trade
    
    buySell - the buy/sell flag
    
    notional - the notional amount, in the payment currency of the template
    
    fixedRate - the fixed rate, typically derived from the market
    
    refData - the reference data, used to resolve the trade dates
    
    Returns:
    
    the trade
  - createTrade
```
public CdsTrade createTrade(StandardId legalEntityId,
                            LocalDate tradeDate,
                            BuySell buySell,
                            double notional,
                            double fixedRate,
                            AdjustablePayment upFrontFee,
                            ReferenceData refData)
```
    Description copied from interface: CdsTemplate
    
    Creates a trade based on this template.
    This returns a trade based on the specified trade date and upfront fee.
    The notional is unsigned, with buy/sell determining the direction of the trade. If buying the CDS, the protection is received from the counterparty on default, with the fixed coupon being paid. If selling the CDS, the protection is paid to the counterparty on default, with the fixed coupon being received.
    
    Specified by:
    
    createTrade in interface CdsTemplate
    
    Parameters:
    
    legalEntityId - the legal entity ID
    
    tradeDate - the date of the trade
    
    buySell - the buy/sell flag
    
    notional - the notional amount, in the payment currency of the template
    
    fixedRate - the fixed rate, typically derived from the market
    
    upFrontFee - the reference data
    
    refData - the reference data, used to resolve the trade dates
    
    Returns:
    
    the trade
  - meta
```
public static TenorCdsTemplate.Meta meta()
```
    The meta-bean for TenorCdsTemplate.
    
    Returns:
    
    the meta-bean, not null
  - metaBean
```
public TenorCdsTemplate.Meta metaBean()
```
    Specified by:
    
    metaBean in interface org.joda.beans.Bean
  - getAccrualStart
```
public AccrualStart getAccrualStart()
```
    Gets the accrual start.
    Whether the accrual start is the next day or the previous IMM date.
    
    Returns:
    
    the value of the property, not null
  - getTenor
```
public Tenor getTenor()
```
    Gets the tenor of the credit default swap.
    This is the period to the protection end.
    
    Returns:
    
    the value of the property, not null
  - getConvention
```
public CdsConvention getConvention()
```
    Gets the market convention of the credit default swap.
    
    Specified by:
    
    getConvention in interface CdsTemplate
    
    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

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

Class TenorCdsTemplate

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

Methods inherited from interface org.joda.beans.Bean

Method Detail

of

of

createTrade

createTrade

meta

metaBean

getAccrualStart

getTenor

getConvention

equals

hashCode

toString