com.opengamma.strata.product.swap

Class FixedRateCalculation

java.lang.Object

com.opengamma.strata.product.swap.FixedRateCalculation

All Implemented Interfaces:

RateCalculation, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class FixedRateCalculation
extends Object
implements RateCalculation, org.joda.beans.ImmutableBean, Serializable

Defines the calculation of a fixed rate swap leg.

This defines the data necessary to calculate the amount payable on the leg. The amount is based on a fixed rate, which can vary over the lifetime of the leg.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	FixedRateCalculation.Builder The bean-builder for FixedRateCalculation.
static class	FixedRateCalculation.Meta The meta-bean for FixedRateCalculation.

Method Summary

Modifier and Type	Method and Description
static FixedRateCalculation.Builder	builder() Returns a builder used to create an instance of the bean.
void	collectCurrencies(ImmutableSet.Builder<Currency> builder) Collects all the currencies referred to by this calculation.
void	collectIndices(ImmutableSet.Builder<Index> builder) Collects all the indices referred to by this calculation.
ImmutableList<RateAccrualPeriod>	createAccrualPeriods(Schedule accrualSchedule, Schedule paymentSchedule, ReferenceData refData) Creates accrual periods based on the specified schedule.
boolean	equals(Object obj)
DayCount	getDayCount() Gets the day count convention.
Optional<FixedRateStubCalculation>	getFinalStub() Gets the final stub, optional.
Optional<FutureValueNotional>	getFutureValueNotional() Gets the future value notional.
Optional<FixedRateStubCalculation>	getInitialStub() Gets the initial stub, optional.
ValueSchedule	getRate() Gets the interest rate to be paid.
SwapLegType	getType() Gets the type of the leg, such as Fixed or Ibor.
int	hashCode()
static FixedRateCalculation.Meta	meta() The meta-bean for FixedRateCalculation.
FixedRateCalculation.Meta	metaBean()
static FixedRateCalculation	of(double rate, DayCount dayCount) Obtains a rate calculation for the specified day count and rate.
FixedRateCalculation.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

of

public static FixedRateCalculation of(double rate,
                                      DayCount dayCount)

Obtains a rate calculation for the specified day count and rate.

The rate specified here does not vary during the life of the swap. If this method provides insufficient control, use the builder.

Parameters:

rate - the rate

dayCount - the day count

Returns:

the calculation

getType

public SwapLegType getType()

Description copied from interface: RateCalculation

Gets the type of the leg, such as Fixed or Ibor.

This provides a high level categorization of the swap leg.

Specified by:

getType in interface RateCalculation

Returns:

the leg type

collectCurrencies

public void collectCurrencies(ImmutableSet.Builder<Currency> builder)

Description copied from interface: RateCalculation

Collects all the currencies referred to by this calculation.

This collects the complete set of currencies for the calculation, not just the payment currencies.

Specified by:

collectCurrencies in interface RateCalculation

Parameters:

builder - the builder to populate

collectIndices

public void collectIndices(ImmutableSet.Builder<Index> builder)

Description copied from interface: RateCalculation

Collects all the indices referred to by this calculation.

A calculation will typically refer to at least one index, such as 'GBP-LIBOR-3M'. Each index that is referred to must be added to the specified builder.

Specified by:

collectIndices in interface RateCalculation

Parameters:

builder - the builder to use

createAccrualPeriods

public ImmutableList<RateAccrualPeriod> createAccrualPeriods(Schedule accrualSchedule,
                                                             Schedule paymentSchedule,
                                                             ReferenceData refData)

Description copied from interface: RateCalculation

Creates accrual periods based on the specified schedule.

The specified accrual schedule defines the period dates to be created. One instance of RateAccrualPeriod must be created for each period in the schedule.

Specified by:

createAccrualPeriods in interface RateCalculation

Parameters:

accrualSchedule - the accrual schedule

paymentSchedule - the payment schedule

refData - the reference data to use when resolving

Returns:

the accrual periods

meta

public static FixedRateCalculation.Meta meta()

The meta-bean for FixedRateCalculation.

Returns:

the meta-bean, not null

builder

public static FixedRateCalculation.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public FixedRateCalculation.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getDayCount

public DayCount getDayCount()

Gets the day count convention.

This is used to convert schedule period dates to a numerical value.

Specified by:

getDayCount in interface RateCalculation

Returns:

the value of the property, not null

getRate

public ValueSchedule getRate()

Gets the interest rate to be paid. A 5% rate will be expressed as 0.05.

This defines the rate as an initial amount and a list of adjustments. The rate is only permitted to change at accrual period boundaries.

Returns:

the value of the property, not null

getInitialStub

public Optional<FixedRateStubCalculation> getInitialStub()

Gets the initial stub, optional.

The initial stub of a swap may have a different rate from the regular accrual periods. This property allows the stub rate to be specified, either as a known amount or a rate. If this property is not present, then the rate derived from the rate property applies during the stub. If this property is present and there is no initial stub, it is ignored.

Returns:

the optional value of the property, not null

getFinalStub

public Optional<FixedRateStubCalculation> getFinalStub()

Gets the final stub, optional.

The final stub of a swap may have a different rate from the regular accrual periods. This property allows the stub rate to be specified, either as a known amount or a rate. If this property is not present, then the rate derived from the rate property applies during the stub. If this property is present and there is no initial stub, it is ignored.

Returns:

the optional value of the property, not null

getFutureValueNotional

public Optional<FutureValueNotional> getFutureValueNotional()

Gets the future value notional.

This property is used when the fixed leg of a swap has a future value notional. This is typically used for Brazilian swaps.

Returns:

the optional value of the property, not null

toBuilder

public FixedRateCalculation.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