com.opengamma.strata.product.deposit.type

Interface TermDepositConvention

All Superinterfaces:

Named, TradeConvention

All Known Implementing Classes:

ImmutableTermDepositConvention

public interface TermDepositConvention
extends TradeConvention, Named

A market convention for term deposit trades.

This defines the market convention for a term deposit.

To manually create a convention, see ImmutableTermDepositConvention. To register a specific convention, see TermDepositConvention.ini.

Method Summary

Modifier and Type	Method and Description
default LocalDate	calculateSpotDateFromTradeDate(LocalDate tradeDate, ReferenceData refData) Calculates the spot date from the trade date.
default TermDepositTrade	createTrade(LocalDate tradeDate, MarketTenor marketTenor, BuySell buySell, double notional, double rate, ReferenceData refData) Creates a trade based on this convention using a market tenor, such as ON, TN, SN, SW or 1M.
default TermDepositTrade	createTrade(LocalDate tradeDate, Period depositPeriod, BuySell buySell, double notional, double rate, ReferenceData refData) Creates a trade based on this convention.
static ExtendedEnum<TermDepositConvention>	extendedEnum() Gets the extended enum helper.
Currency	getCurrency() Gets the primary currency.
String	getName() Gets the name that uniquely identifies this convention.
DaysAdjustment	getSpotDateOffset() Gets the offset of the spot value date from the trade date.
static TermDepositConvention	of(String uniqueName) Obtains an instance from the specified unique name.
default TermDepositTrade	toTrade(LocalDate tradeDate, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double rate) Creates a trade based on this convention.
TermDepositTrade	toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double rate) Creates a trade based on this convention.

Methods inherited from interface com.opengamma.strata.collect.named.Named

of

Method Detail

of

static TermDepositConvention of(String uniqueName)

Obtains an instance from the specified unique name.

Parameters:

uniqueName - the unique name

Returns:

the convention

Throws:

IllegalArgumentException - if the name is not known

extendedEnum

static ExtendedEnum<TermDepositConvention> extendedEnum()

Gets the extended enum helper.

This helper allows instances of the convention to be looked up. It also provides the complete set of available instances.

Returns:

the extended enum helper

getCurrency

Currency getCurrency()

Gets the primary currency.

This is the currency of the term deposit and the currency that payment is made in.

Returns:

the currency

getSpotDateOffset

DaysAdjustment getSpotDateOffset()

Gets the offset of the spot value date from the trade date.

The offset is applied to the trade date to find the start date. A typical value is "plus 2 business days".

Returns:

the spot date offset, not null

createTrade

default TermDepositTrade createTrade(LocalDate tradeDate,
                                     MarketTenor marketTenor,
                                     BuySell buySell,
                                     double notional,
                                     double rate,
                                     ReferenceData refData)

Creates a trade based on this convention using a market tenor, such as ON, TN, SN, SW or 1M.

This returns a trade based on the market tenor. If the market tenor is ON or TN, the spot lag of the convention will be overridden.

The notional is unsigned, with buy/sell determining the direction of the trade. If buying the term deposit, the principal is paid at the start date and the principal plus interest is received at the end date. If selling the term deposit, the principal is received at the start date and the principal plus interest is paid at the end date.

Parameters:

tradeDate - the date of the trade

marketTenor - the market tenor, defining the spot lag and tenor

buySell - the buy/sell flag

notional - the notional amount, in the payment currency of the template

rate - the fixed rate, typically derived from the market

refData - the reference data, used to resolve the trade dates

Returns:

the trade

Throws:

ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data

createTrade

default TermDepositTrade createTrade(LocalDate tradeDate,
                                     Period depositPeriod,
                                     BuySell buySell,
                                     double notional,
                                     double rate,
                                     ReferenceData refData)

Creates a trade based on this convention.

This returns a trade based on the specified deposit period, starting from the spot date.

The notional is unsigned, with buy/sell determining the direction of the trade. If buying the term deposit, the principal is paid at the start date and the principal plus interest is received at the end date. If selling the term deposit, the principal is received at the start date and the principal plus interest is paid at the end date.

Parameters:

tradeDate - the date of the trade

depositPeriod - the period between the start date and the end date

buySell - the buy/sell flag

notional - the notional amount, in the payment currency of the template

rate - the fixed rate, typically derived from the market

refData - the reference data, used to resolve the trade dates

Returns:

the trade

Throws:

ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data

toTrade

default TermDepositTrade toTrade(LocalDate tradeDate,
                                 LocalDate startDate,
                                 LocalDate endDate,
                                 BuySell buySell,
                                 double notional,
                                 double rate)

Creates a trade based on this convention.

This returns a trade based on the specified dates. The notional is unsigned, with buy/sell determining the direction of the trade. If buying the term deposit, the principal is paid at the start date and the principal plus interest is received at the end date. If selling the term deposit, the principal is received at the start date and the principal plus interest is paid at the end date.

Parameters:

tradeDate - the date of the trade

startDate - the start date

endDate - the end date

buySell - the buy/sell flag

notional - the notional amount, in the payment currency of the template

rate - the fixed rate, typically derived from the market

Returns:

the trade

toTrade

TermDepositTrade toTrade(TradeInfo tradeInfo,
                         LocalDate startDate,
                         LocalDate endDate,
                         BuySell buySell,
                         double notional,
                         double rate)

Creates a trade based on this convention.

This returns a trade based on the specified dates. The notional is unsigned, with buy/sell determining the direction of the trade. If buying the term deposit, the principal is paid at the start date and the principal plus interest is received at the end date. If selling the term deposit, the principal is received at the start date and the principal plus interest is paid at the end date.

Parameters:

tradeInfo - additional information about the trade

startDate - the start date

endDate - the end date

buySell - the buy/sell flag

notional - the notional amount, in the payment currency of the template

rate - the fixed rate, typically derived from the market

Returns:

the trade

calculateSpotDateFromTradeDate

default LocalDate calculateSpotDateFromTradeDate(LocalDate tradeDate,
                                                 ReferenceData refData)

Calculates the spot date from the trade date.

Parameters:

tradeDate - the trade date

refData - the reference data, used to resolve the date

Returns:

the spot date

Throws:

ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data

getName

String getName()

Gets the name that uniquely identifies this convention.

This name is used in serialization and can be parsed using of(String).

Specified by:

getName in interface Named

Returns:

the unique name