com.opengamma.strata.product.swap

Class FxResetCalculation

java.lang.Object

com.opengamma.strata.product.swap.FxResetCalculation

All Implemented Interfaces:

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

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

Defines the calculation of an FX rate conversion for the notional amount of a swap leg.

Interest rate swaps are based on a notional amount of money. The notional can be specified in a currency other than that of the swap leg, with an FX conversion applied at each payment period boundary.

The two currencies involved are the swap leg currency and the reference currency. The swap leg currency is, in most cases, the currency that payment will occur in. The reference currency is the currency in which the notional is actually defined. ISDA refers to the payment currency as the variable currency and the reference currency as the constant currency.

Defined by the 2006 ISDA definitions article 10.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
static FxResetCalculation.Builder	builder() Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
DaysAdjustment	getFixingDateOffset() Gets the offset of the FX reset fixing date from each adjusted accrual date.
FxResetFixingRelativeTo	getFixingRelativeTo() Gets the base date that each FX reset fixing is made relative to, defaulted to 'PeriodStart'.
FxIndex	getIndex() Gets the FX index used to obtain the FX reset rate.
OptionalDouble	getInitialNotionalValue() Gets the initial notional value, specified in the payment currency.
Currency	getReferenceCurrency() Gets the currency of the notional amount defined in the contract.
int	hashCode()
static FxResetCalculation.Meta	meta() The meta-bean for FxResetCalculation.
FxResetCalculation.Meta	metaBean()
BiFunction<Integer,SchedulePeriod,Optional<FxReset>>	resolve(ReferenceData refData) Resolves this adjustment using the specified reference data.
FxResetCalculation.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

resolve

public BiFunction<Integer,SchedulePeriod,Optional<FxReset>> resolve(ReferenceData refData)

Resolves this adjustment using the specified reference data.

Calling this method resolves the holiday calendar, returning a function that can convert a SchedulePeriod and period index pair to an optional FxReset. The conversion locks the fixing date based on the specified schedule period and the data held in this object.

Parameters:

refData - the reference data to use when resolving

Returns:

the resolved function

Throws:

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

RuntimeException - if the calculation is invalid

meta

public static FxResetCalculation.Meta meta()

The meta-bean for FxResetCalculation.

Returns:

the meta-bean, not null

builder

public static FxResetCalculation.Builder builder()

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

Returns:

the builder, not null

metaBean

public FxResetCalculation.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getIndex

public FxIndex getIndex()

Gets the FX index used to obtain the FX reset rate.

This is the index of FX used to obtain the FX reset rate. An FX index is a daily rate of exchange between two currencies. Note that the order of the currencies in the index does not matter, as the conversion direction is fully defined by the reference and swap leg currencies.

Returns:

the value of the property, not null

getReferenceCurrency

public Currency getReferenceCurrency()

Gets the currency of the notional amount defined in the contract.

This is the currency of notional amount as defined in the contract. The amount will be converted from this reference currency to the swap leg currency when calculating the value of the leg.

The reference currency must be one of the two currencies of the index.

The reference currency is also known as the constant currency.

Returns:

the value of the property, not null

getFixingRelativeTo

public FxResetFixingRelativeTo getFixingRelativeTo()

Gets the base date that each FX reset fixing is made relative to, defaulted to 'PeriodStart'.

The FX reset fixing date is relative to either the start or end of each accrual period.

Returns:

the value of the property, not null

getFixingDateOffset

public DaysAdjustment getFixingDateOffset()

Gets the offset of the FX reset fixing date from each adjusted accrual date.

The offset is applied to the base date specified by fixingRelativeTo. The offset is typically a negative number of business days.

When building, this will default to the fixing offset of the index if not specified.

Returns:

the value of the property, not null

getInitialNotionalValue

public OptionalDouble getInitialNotionalValue()

Gets the initial notional value, specified in the payment currency.

If present, this fixed amount represents the notional of the initial period of the swap leg, with no FX reset being applied.

If not present, the initial notional amount is calculated by applying an fx conversion to the reference currency in the same manner as all other period notional calculations.

Returns:

the optional value of the property, not null

toBuilder

public FxResetCalculation.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