com.opengamma.strata.product.swap

Class OvernightRateCalculation.Builder

java.lang.Object

org.joda.beans.impl.direct.DirectFieldsBeanBuilder<OvernightRateCalculation>

com.opengamma.strata.product.swap.OvernightRateCalculation.Builder

All Implemented Interfaces:

org.joda.beans.BeanBuilder<OvernightRateCalculation>

Enclosing class:

OvernightRateCalculation

public static final class OvernightRateCalculation.Builder
extends org.joda.beans.impl.direct.DirectFieldsBeanBuilder<OvernightRateCalculation>

The bean-builder for OvernightRateCalculation.

Method Summary

Modifier and Type	Method and Description
OvernightRateCalculation.Builder	accrualMethod(OvernightAccrualMethod accrualMethod) Sets the method of accruing overnight interest, defaulted to 'Compounded'.
OvernightRateCalculation	build()
OvernightRateCalculation.Builder	dayCount(DayCount dayCount) Sets the day count convention.
OvernightRateCalculation.Builder	gearing(ValueSchedule gearing) Sets the gearing multiplier, optional.
Object	get(String propertyName)
OvernightRateCalculation.Builder	index(OvernightIndex index) Sets the Overnight index.
OvernightRateCalculation.Builder	negativeRateMethod(NegativeRateMethod negativeRateMethod) Sets the negative rate method, defaulted to 'AllowNegative'.
OvernightRateCalculation.Builder	rateCutOffDays(int rateCutOffDays) Sets the number of business days before the end of the period that the rate is cut off, defaulted to zero.
OvernightRateCalculation.Builder	set(org.joda.beans.MetaProperty<?> property, Object value)
OvernightRateCalculation.Builder	set(String propertyName, Object newValue)
OvernightRateCalculation.Builder	spread(ValueSchedule spread) Sets the spread rate, optional.
String	toString()

Methods inherited from class org.joda.beans.impl.direct.DirectFieldsBeanBuilder

get

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Method Detail

get

public Object get(String propertyName)

Specified by:

get in interface org.joda.beans.BeanBuilder<OvernightRateCalculation>

Overrides:

get in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<OvernightRateCalculation>

set

public OvernightRateCalculation.Builder set(String propertyName,
                                            Object newValue)

set

public OvernightRateCalculation.Builder set(org.joda.beans.MetaProperty<?> property,
                                            Object value)

Specified by:

set in interface org.joda.beans.BeanBuilder<OvernightRateCalculation>

Overrides:

set in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<OvernightRateCalculation>

build

public OvernightRateCalculation build()

dayCount

public OvernightRateCalculation.Builder dayCount(DayCount dayCount)

Sets the day count convention.

This is used to convert dates to a numerical value.

When building, this will default to the day count of the index if not specified.

Parameters:

dayCount - the new value, not null

Returns:

this, for chaining, not null

index

public OvernightRateCalculation.Builder index(OvernightIndex index)

Sets the Overnight index.

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

Parameters:

index - the new value, not null

Returns:

this, for chaining, not null

accrualMethod

public OvernightRateCalculation.Builder accrualMethod(OvernightAccrualMethod accrualMethod)

Sets the method of accruing overnight interest, defaulted to 'Compounded'.

Two methods of accrual are supported - compounding and averaging. Averaging is primarily related to the 'USD-FED-FUND' index.

Parameters:

accrualMethod - the new value, not null

Returns:

this, for chaining, not null

negativeRateMethod

public OvernightRateCalculation.Builder negativeRateMethod(NegativeRateMethod negativeRateMethod)

Sets the negative rate method, defaulted to 'AllowNegative'.

This is used when the interest rate, observed or calculated, goes negative. It does not apply if the rate is fixed, such as in a stub or using firstRegularRate.

Defined by the 2006 ISDA definitions article 6.4.

Parameters:

negativeRateMethod - the new value, not null

Returns:

this, for chaining, not null

rateCutOffDays

public OvernightRateCalculation.Builder rateCutOffDays(int rateCutOffDays)

Sets the number of business days before the end of the period that the rate is cut off, defaulted to zero.

When a rate cut-off applies, the final daily rate is determined this number of days before the end of the period, with any subsequent days having the same rate.

The amount must be zero or positive. A value of zero or one will have no effect on the standard calculation. The fixing holiday calendar of the index is used to determine business days.

For example, a value of 3 means that the rate observed on (periodEndDate - 3 business days) is also to be used on (periodEndDate - 2 business days) and (periodEndDate - 1 business day).

If there are multiple accrual periods in the payment period, then this will only apply to the last accrual period in the payment period.

Parameters:

rateCutOffDays - the new value

Returns:

this, for chaining, not null

gearing

public OvernightRateCalculation.Builder gearing(ValueSchedule gearing)

Sets the gearing multiplier, optional.

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

When calculating the rate, the fixing rate is multiplied by the gearing. A gearing of 1 has no effect. If both gearing and spread exist, then the gearing is applied first.

If this property is not present, then no gearing applies.

Gearing is also known as leverage.

Parameters:

gearing - the new value

Returns:

this, for chaining, not null

spread

public OvernightRateCalculation.Builder spread(ValueSchedule spread)

Sets the spread rate, optional. A 5% rate will be expressed as 0.05.

This defines the spread as an initial value and a list of adjustments. The spread is only permitted to change at accrual period boundaries. Spread is a per annum rate.

When calculating the rate, the spread is added to the fixing rate. A spread of 0 has no effect. If both gearing and spread exist, then the gearing is applied first.

If this property is not present, then no spread applies.

Defined by the 2006 ISDA definitions article 6.2e.

Parameters:

spread - the new value

Returns:

this, for chaining, not null

toString

public String toString()

Overrides:

toString in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<OvernightRateCalculation>