com.opengamma.strata.product.fx.type

Interface FxSwapConvention

All Superinterfaces:

Named, TradeConvention

All Known Implementing Classes:

ImmutableFxSwapConvention

public interface FxSwapConvention
extends TradeConvention, Named

A market convention for FX Swap trades.

This defines the market convention for a FX swap based on a particular currency pair.

To manually create a convention, see ImmutableFxSwapConvention. To register a specific convention, see FxSwapConvention.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 FxSwapTrade	createTrade(LocalDate tradeDate, MarketTenor marketTenor, BuySell buySell, Currency buySellCurrency, double buySellNotional, double nearFxRate, double farLegForwardPoints, ReferenceData refData) Creates a trade based on this convention using a market tenor, such as ON, TN, SN, SW or 1M.
default FxSwapTrade	createTrade(LocalDate tradeDate, MarketTenor marketTenor, BuySell buySell, double notional, double nearFxRate, double farLegForwardPoints, ReferenceData refData) Creates a trade based on this convention using a market tenor, such as ON, TN, SN, SW or 1M.
default FxSwapTrade	createTrade(LocalDate tradeDate, Period periodToNear, Period periodToFar, BuySell buySell, Currency buySellCurrency, double buySellNotional, double nearFxRate, double farLegForwardPoints, ReferenceData refData) Creates a trade based on this convention.
default FxSwapTrade	createTrade(LocalDate tradeDate, Period periodToNear, Period periodToFar, BuySell buySell, double notional, double nearFxRate, double farLegForwardPoints, ReferenceData refData) Creates a trade based on this convention.
static ExtendedEnum<FxSwapConvention>	extendedEnum() Gets the extended enum helper.
CurrencyPair	getCurrencyPair() Gets the currency pair of the convention.
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 FxSwapConvention	of(CurrencyPair currencyPair) Obtains the standard convention for the specified currency pair.
static FxSwapConvention	of(String uniqueName) Obtains an instance from the specified unique name.
default FxSwapTrade	toTrade(LocalDate tradeDate, LocalDate startDate, LocalDate endDate, BuySell buySell, Currency buySellCurrency, double buySellNotional, double nearFxRate, double farLegForwardPoints) Creates a trade based on this convention.
default FxSwapTrade	toTrade(LocalDate tradeDate, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double nearFxRate, double farLegForwardPoints) Creates a trade based on this convention.
FxSwapTrade	toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, Currency buySellCurrency, double buySellNotional, double nearFxRate, double farLegForwardPoints) Creates a trade based on this convention.
default FxSwapTrade	toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double nearFxRate, double farLegForwardPoints) Creates a trade based on this convention.

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

of

Method Detail

of

static FxSwapConvention 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 FxSwapConvention of(CurrencyPair currencyPair)

Obtains the standard convention for the specified currency pair.

The convention accessed will be for the conventional order of the currency pair.

Parameters:

currencyPair - the currency pair to get the convention for

Returns:

the convention

Throws:

IllegalArgumentException - if no convention has been defined for the pair

extendedEnum

static ExtendedEnum<FxSwapConvention> 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

getCurrencyPair

CurrencyPair getCurrencyPair()

Gets the currency pair of the convention.

Returns:

the currency pair

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 FxSwapTrade createTrade(LocalDate tradeDate,
                                MarketTenor marketTenor,
                                BuySell buySell,
                                double notional,
                                double nearFxRate,
                                double farLegForwardPoints,
                                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 FX Swap, the amount in the first currency of the pair is received in the near leg and paid in the far leg, while the second currency is paid in the near leg and received in the far leg.

Parameters:

tradeDate - the date of the trade

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

buySell - the buy/sell flag, relative to the first currency of the currency pair

notional - the notional amount, in the first currency of the currency pair

nearFxRate - the FX rate for the near leg

farLegForwardPoints - the FX points to be added to the FX rate at the far leg

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 FxSwapTrade createTrade(LocalDate tradeDate,
                                MarketTenor marketTenor,
                                BuySell buySell,
                                Currency buySellCurrency,
                                double buySellNotional,
                                double nearFxRate,
                                double farLegForwardPoints,
                                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 FX Swap, the amount in the specified currency is received in the near leg and paid in the far leg.

Parameters:

tradeDate - the date of the trade

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

buySell - the buy/sell flag

buySellCurrency - the currency being bought/sold

buySellNotional - the unsigned notional amount, in the buy/sell currency

nearFxRate - the FX rate for the near leg

farLegForwardPoints - the FX points to be added to the FX rate at the far leg

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 FxSwapTrade createTrade(LocalDate tradeDate,
                                Period periodToNear,
                                Period periodToFar,
                                BuySell buySell,
                                double notional,
                                double nearFxRate,
                                double farLegForwardPoints,
                                ReferenceData refData)

Creates a trade based on this convention.

This returns a trade based on the specified periods, starting from the spot date. For example, a '3M x 6M' FX swap has a period from spot to the start date of 3 months and a period from spot to the end date of 6 months

The notional is unsigned, with buy/sell determining the direction of the trade. If buying the FX Swap, the amount in the first currency of the pair is received in the near leg and paid in the far leg, while the second currency is paid in the near leg and received in the far leg.

Parameters:

tradeDate - the date of the trade

periodToNear - the period between the spot date and the near date

periodToFar - the period between the spot date and the far date

buySell - the buy/sell flag, relative to the first currency of the currency pair

notional - the notional amount, in the first currency of the currency pair

nearFxRate - the FX rate for the near leg

farLegForwardPoints - the FX points to be added to the FX rate at the far leg

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 FxSwapTrade createTrade(LocalDate tradeDate,
                                Period periodToNear,
                                Period periodToFar,
                                BuySell buySell,
                                Currency buySellCurrency,
                                double buySellNotional,
                                double nearFxRate,
                                double farLegForwardPoints,
                                ReferenceData refData)

Creates a trade based on this convention.

This returns a trade based on the specified periods, starting from the spot date. For example, a '3M x 6M' FX swap has a period from spot to the start date of 3 months and a period from spot to the end date of 6 months

The notional is unsigned, with buy/sell determining the direction of the trade. If buying the FX Swap, the amount in the specified currency is received in the near leg and paid in the far leg.

Parameters:

tradeDate - the date of the trade

periodToNear - the period between the spot date and the near date

periodToFar - the period between the spot date and the far date

buySell - the buy/sell flag

buySellCurrency - the currency being bought/sold

buySellNotional - the unsigned notional amount, in the buy/sell currency

nearFxRate - the FX rate for the near leg

farLegForwardPoints - the FX points to be added to the FX rate at the far leg

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 FxSwapTrade toTrade(LocalDate tradeDate,
                            LocalDate startDate,
                            LocalDate endDate,
                            BuySell buySell,
                            double notional,
                            double nearFxRate,
                            double farLegForwardPoints)

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 FX Swap, the amount in the first currency of the pair is received in the near leg and paid in the far leg, while the second currency is paid in the near leg and received in the far leg.

Parameters:

tradeDate - the date of the trade

startDate - the start date

endDate - the end date

buySell - the buy/sell flag, relative to the first currency of the currency pair

notional - the notional amount, in the first currency of the currency pair

nearFxRate - the FX rate for the near leg

farLegForwardPoints - the FX points to be added to the FX rate at the far leg

Returns:

the trade

toTrade

default FxSwapTrade toTrade(LocalDate tradeDate,
                            LocalDate startDate,
                            LocalDate endDate,
                            BuySell buySell,
                            Currency buySellCurrency,
                            double buySellNotional,
                            double nearFxRate,
                            double farLegForwardPoints)

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 FX Swap, the amount in the specified currency is received in the near leg and paid in the far leg.

Parameters:

tradeDate - the date of the trade

startDate - the start date

endDate - the end date

buySell - the buy/sell flag

buySellCurrency - the currency being bought/sold

buySellNotional - the unsigned notional amount, in the buy/sell currency

nearFxRate - the FX rate for the near leg

farLegForwardPoints - the FX points to be added to the FX rate at the far leg

Returns:

the trade

toTrade

default FxSwapTrade toTrade(TradeInfo tradeInfo,
                            LocalDate startDate,
                            LocalDate endDate,
                            BuySell buySell,
                            double notional,
                            double nearFxRate,
                            double farLegForwardPoints)

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 FX Swap, the amount in the first currency of the pair is received in the near leg and paid in the far leg, while the second currency is paid in the near leg and received in the far leg.

Parameters:

tradeInfo - additional information about the trade

startDate - the start date

endDate - the end date

buySell - the buy/sell flag, relative to the first currency of the currency pair

notional - the notional amount, in the first currency of the currency pair

nearFxRate - the FX rate for the near leg

farLegForwardPoints - the FX points to be added to the FX rate at the far leg

Returns:

the trade

toTrade

FxSwapTrade toTrade(TradeInfo tradeInfo,
                    LocalDate startDate,
                    LocalDate endDate,
                    BuySell buySell,
                    Currency buySellCurrency,
                    double buySellNotional,
                    double nearFxRate,
                    double farLegForwardPoints)

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 FX Swap, the amount in the specified currency is received in the near leg and paid in the far leg.

Parameters:

tradeInfo - additional information about the trade

startDate - the start date

endDate - the end date

buySell - the buy/sell flag

buySellCurrency - the currency being bought/sold

buySellNotional - the unsigned notional amount, in the buy/sell currency

nearFxRate - the FX rate for the near leg

farLegForwardPoints - the FX points to be added to the FX rate at the far leg

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