com.opengamma.strata.product.fra.type

Interface FraConvention

All Superinterfaces:

Named, TradeConvention

All Known Implementing Classes:

ImmutableFraConvention

public interface FraConvention
extends TradeConvention, Named

A market convention for forward rate agreement (FRA) trades.

This defines the market convention for a FRA against a particular index. In most cases, the index contains sufficient information to fully define the convention. As such, the convention is set to be created on the fly based on the index.

To manually create a convention, see ImmutableFraConvention. To register a specific convention, see FraConvention.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 FraTrade	createTrade(LocalDate tradeDate, Period periodToStart, BuySell buySell, double notional, double fixedRate, ReferenceData refData) Creates a trade based on this convention, using the index tenor to define the end of the FRA.
FraTrade	createTrade(LocalDate tradeDate, Period periodToStart, Period periodToEnd, BuySell buySell, double notional, double fixedRate, ReferenceData refData) Creates a trade based on this convention, specifying the end of the FRA.
static ExtendedEnum<FraConvention>	extendedEnum() Gets the extended enum helper.
IborIndex	getIndex() Gets the Ibor index.
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 FraConvention	of(IborIndex index) Obtains a convention based on the specified index.
static FraConvention	of(String uniqueName) Obtains an instance from the specified unique name.
default FraTrade	toTrade(LocalDate tradeDate, LocalDate startDate, LocalDate endDate, LocalDate paymentDate, BuySell buySell, double notional, double fixedRate) Creates a trade based on this convention.
FraTrade	toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, LocalDate paymentDate, BuySell buySell, double notional, double fixedRate) Creates a trade based on this convention.

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

of

Method Detail

of

static FraConvention 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

of

static FraConvention of(IborIndex index)

Obtains a convention based on the specified index.

This uses the index name to find the matching convention. By default, this will always return a convention, however configuration may be added to restrict the conventions that are registered.

Parameters:

index - the index, from which the index name is used to find the matching convention

Returns:

the convention

Throws:

IllegalArgumentException - if no convention is registered for the index

extendedEnum

static ExtendedEnum<FraConvention> 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

getIndex

IborIndex getIndex()

Gets the Ibor index.

The floating rate to be paid is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'.

Returns:

the index

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 FraTrade createTrade(LocalDate tradeDate,
                             Period periodToStart,
                             BuySell buySell,
                             double notional,
                             double fixedRate,
                             ReferenceData refData)

Creates a trade based on this convention, using the index tenor to define the end of the FRA.

This returns a trade based on the specified period to start. For example, a '2 x 5' FRA has a period to the start date of 2 months. The period to the end, 5 months, is implied by adding the tenor of the index, 3 months, to the period to start.

The notional is unsigned, with buy/sell determining the direction of the trade. If buying the FRA, the floating rate is received from the counterparty, with the fixed rate being paid. If selling the FRA, the floating rate is paid to the counterparty, with the fixed rate being received.

The start date will be the trade date, plus spot offset, plus period to start, adjusted to a valid business day. The end date will be the trade date, plus spot offset, plus period to start, plus index tenor, adjusted to a valid business day. The adjustment of the start and end date occurs at trade creation. The payment date offset is also applied at trade creation. When the Fra is resolved, the start and end date are not adjusted again but the payment date is.

Parameters:

tradeDate - the date of the trade

periodToStart - the period between the spot date and the start date

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

Throws:

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

createTrade

FraTrade createTrade(LocalDate tradeDate,
                     Period periodToStart,
                     Period periodToEnd,
                     BuySell buySell,
                     double notional,
                     double fixedRate,
                     ReferenceData refData)

Creates a trade based on this convention, specifying the end of the FRA.

This returns a trade based on the specified periods. For example, a '2 x 5' FRA has a period to the start date of 2 months and a period to the end date of 5 months.

The notional is unsigned, with buy/sell determining the direction of the trade. If buying the FRA, the floating rate is received from the counterparty, with the fixed rate being paid. If selling the FRA, the floating rate is paid to the counterparty, with the fixed rate being received.

The start date will be the trade date, plus spot offset, plus period to start, adjusted to a valid business day. The end date will be the trade date, plus spot offset, plus period to end, adjusted to a valid business day. The adjustment of the start and end date occurs at trade creation. The payment date offset is also applied at trade creation. When the Fra is resolved, the start and end date are not adjusted again but the payment date is.

Parameters:

tradeDate - the date of the trade

periodToStart - the period between the spot date and the start date

periodToEnd - the period between the spot date and the end date

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

Throws:

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

toTrade

default FraTrade toTrade(LocalDate tradeDate,
                         LocalDate startDate,
                         LocalDate endDate,
                         LocalDate paymentDate,
                         BuySell buySell,
                         double notional,
                         double fixedRate)

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 FRA, the floating rate is received from the counterparty, with the fixed rate being paid. If selling the FRA, the floating rate is paid to the counterparty, with the fixed rate being received.

Parameters:

tradeDate - the date of the trade

startDate - the start date, which should be adjusted to be a valid business day

endDate - the end date, which should be adjusted to be a valid business day

paymentDate - the payment date, which should be adjusted to be a valid business day

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

Returns:

the trade

toTrade

FraTrade toTrade(TradeInfo tradeInfo,
                 LocalDate startDate,
                 LocalDate endDate,
                 LocalDate paymentDate,
                 BuySell buySell,
                 double notional,
                 double fixedRate)

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 FRA, the floating rate is received from the counterparty, with the fixed rate being paid. If selling the FRA, the floating rate is paid to the counterparty, with the fixed rate being received.

Parameters:

tradeInfo - additional information about the trade

startDate - the start date, which should be adjusted to be a valid business day

endDate - the end date, which should be adjusted to be a valid business day

paymentDate - the payment date, which should be adjusted to be a valid business day

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

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