RatePeriodSwapLeg (OpenGamma Strata Product)

java.lang.Object
- com.opengamma.strata.product.swap.RatePeriodSwapLeg

All Implemented Interfaces:

Resolvable<ResolvedSwapLeg>, SwapLeg, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class RatePeriodSwapLeg
extends Object
implements SwapLeg, org.joda.beans.ImmutableBean, Serializable
```
A rate swap leg defined using payment and accrual periods.
This defines a single swap leg paying a rate, such as an interest rate. The rate may be fixed or floating, for examples see FixedRateComputation, IborRateComputation and OvernightCompoundedRateComputation.
The swap is built up of one or more payment periods, each of which produces a single payment. Each payment period is made up of one or more accrual periods. If there is more than one accrual period in a payment period then compounding may apply. See RatePaymentPeriod and RateAccrualPeriod for more details.
This class allows the entire structure of the payment and accrual periods to be defined. This permits weird and wonderful swaps to be created, however it is important to note that there is no ability to adjust the accrual period dates if the holiday calendar changes. Provision is provided to adjust the payment dates if the holiday calendar changes. Note however that it is intended that the dates on RatePaymentPeriod and RateAccrualPeriod are already adjusted to be valid business days.
In general, it is recommended to use the parameterized RateCalculationSwapLeg instead of this class.

See Also:

Serialized Form

Nested Class Summary

Nested Classes
Modifier and Type	Class and Description
`static class`	`RatePeriodSwapLeg.Builder` The bean-builder for `RatePeriodSwapLeg`.
`static class`	`RatePeriodSwapLeg.Meta` The meta-bean for `RatePeriodSwapLeg`.

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`static RatePeriodSwapLeg.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 leg.
`void`	`collectIndices(ImmutableSet.Builder<Index> builder)` Collects all the indices referred to by this leg.
`boolean`	`equals(Object obj)`
`Currency`	`getCurrency()` Gets the payment currency of the leg.
`AdjustableDate`	`getEndDate()` Gets the accrual end date of the leg.
`BusinessDayAdjustment`	`getPaymentBusinessDayAdjustment()` Gets the business day date adjustment to be applied to each payment date, default is to apply no adjustment.
`ImmutableList<SwapPaymentEvent>`	`getPaymentEvents()` Gets the additional payment events that are associated with the swap leg.
`ImmutableList<RatePaymentPeriod>`	`getPaymentPeriods()` Gets the payment periods that combine to form the swap leg.
`PayReceive`	`getPayReceive()` Gets whether the leg is pay or receive.
`AdjustableDate`	`getStartDate()` Gets the accrual start date of the leg.
`SwapLegType`	`getType()` Gets the type of the leg, such as Fixed or Ibor.
`int`	`hashCode()`
`boolean`	`isFinalExchange()` Gets the flag indicating whether to exchange the final notional.
`boolean`	`isInitialExchange()` Gets the flag indicating whether to exchange the initial notional.
`boolean`	`isIntermediateExchange()` Gets the flag indicating whether to exchange the differences in the notional during the lifetime of the swap.
`static RatePeriodSwapLeg.Meta`	`meta()` The meta-bean for `RatePeriodSwapLeg`.
`RatePeriodSwapLeg.Meta`	`metaBean()`
`RatePeriodSwapLeg`	`replaceStartDate(LocalDate adjustedStartDate)` Returns an instance based on this leg with a different start date.
`ResolvedSwapLeg`	`resolve(ReferenceData refData)` Converts this swap leg to the equivalent `ResolvedSwapLeg`.
`RatePeriodSwapLeg.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 com.opengamma.strata.product.swap.SwapLeg
allCurrencies, allIndices

Methods inherited from interface org.joda.beans.Bean
property, propertyNames

- Method Detail
  - getStartDate
```
public AdjustableDate getStartDate()
```
    Description copied from interface: SwapLeg
    
    Gets the accrual start date of the leg.
    This is the first accrual date in the leg, often known as the effective date.
    Defined as the effective date by the 2006 ISDA definitions article 3.2.
    
    Specified by:
    
    getStartDate in interface SwapLeg
    
    Returns:
    
    the start date of the leg
  - getEndDate
```
public AdjustableDate getEndDate()
```
    Description copied from interface: SwapLeg
    
    Gets the accrual end date of the leg.
    This is the last accrual date in the leg, often known as the termination date.
    Defined as the termination date by the 2006 ISDA definitions article 3.3.
    
    Specified by:
    
    getEndDate in interface SwapLeg
    
    Returns:
    
    the end date of the leg
  - getCurrency
```
public Currency getCurrency()
```
    Description copied from interface: SwapLeg
    
    Gets the payment currency of the leg.
    A swap leg has a single payment currency.
    
    Specified by:
    
    getCurrency in interface SwapLeg
    
    Returns:
    
    the payment currency of the leg
  - collectCurrencies
```
public void collectCurrencies(ImmutableSet.Builder<Currency> builder)
```
    Description copied from interface: SwapLeg
    
    Collects all the currencies referred to by this leg.
    This collects the complete set of currencies for the leg, not just the payment currencies.
    
    Specified by:
    
    collectCurrencies in interface SwapLeg
    
    Parameters:
    
    builder - the builder to populate
  - collectIndices
```
public void collectIndices(ImmutableSet.Builder<Index> builder)
```
    Description copied from interface: SwapLeg
    
    Collects all the indices referred to by this leg.
    A swap leg 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 SwapLeg
    
    Parameters:
    
    builder - the builder to populate
  - replaceStartDate
```
public RatePeriodSwapLeg replaceStartDate(LocalDate adjustedStartDate)
```
    Returns an instance based on this leg with a different start date.
    The proposed start date must exactly match the start date of one of the existing periods.
    
    Specified by:
    
    replaceStartDate in interface SwapLeg
    
    Parameters:
    
    adjustedStartDate - the new adjusted start date
    
    Returns:
    
    the updated leg
    
    Throws:
    
    IllegalArgumentException - if the start date cannot be replaced with the proposed start date
  - resolve
```
public ResolvedSwapLeg resolve(ReferenceData refData)
```
    Converts this swap leg to the equivalent ResolvedSwapLeg.
    An ResolvedSwapLeg represents the same data as this leg, but with the schedules resolved to be SwapPaymentPeriod instances.
    
    Specified by:
    
    resolve in interface Resolvable<ResolvedSwapLeg>
    
    Specified by:
    
    resolve in interface SwapLeg
    
    Parameters:
    
    refData - the reference data to use when resolving
    
    Returns:
    
    the equivalent resolved swap leg
    
    Throws:
    
    ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data
    
    RuntimeException - if unable to resolve due to an invalid definition
  - meta
```
public static RatePeriodSwapLeg.Meta meta()
```
    The meta-bean for RatePeriodSwapLeg.
    
    Returns:
    
    the meta-bean, not null
  - builder
```
public static RatePeriodSwapLeg.Builder builder()
```
    Returns a builder used to create an instance of the bean.
    
    Returns:
    
    the builder, not null
  - metaBean
```
public RatePeriodSwapLeg.Meta metaBean()
```
    Specified by:
    
    metaBean in interface org.joda.beans.Bean
  - getType
```
public SwapLegType getType()
```
    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 SwapLeg
    
    Returns:
    
    the value of the property, not null
  - getPayReceive
```
public PayReceive getPayReceive()
```
    Gets whether the leg is pay or receive.
    A value of 'Pay' implies that the resulting amount is paid to the counterparty. A value of 'Receive' implies that the resulting amount is received from the counterparty. Note that negative interest rates can result in a payment in the opposite direction to that implied by this indicator.
    The value of this flag should match the signs of the payment period notionals.
    
    Specified by:
    
    getPayReceive in interface SwapLeg
    
    Returns:
    
    the value of the property, not null
  - getPaymentPeriods
```
public ImmutableList<RatePaymentPeriod> getPaymentPeriods()
```
    Gets the payment periods that combine to form the swap leg.
    Each payment period represents part of the life-time of the leg. In most cases, the periods do not overlap. However, since each payment period is essentially independent the data model allows overlapping periods.
    The start date and end date of the leg are determined from the first and last period. As such, the periods should be sorted.
    
    Returns:
    
    the value of the property, not empty
  - isInitialExchange
```
public boolean isInitialExchange()
```
    Gets the flag indicating whether to exchange the initial notional.
    Setting this to true indicates that the notional is transferred at the start of the trade. This should typically be set to true in the case of an FX reset swap, or one with a varying notional.
    This flag controls whether a notional exchange object is created when the leg is resolved. It covers an exchange on the initial payment date of the swap leg, treated as the start date. If there is an FX reset, then this flag is ignored, see intermediateExchange. If there is no FX reset and the flag is true, then a NotionalExchange object will be created.
    
    Returns:
    
    the value of the property
  - isIntermediateExchange
```
public boolean isIntermediateExchange()
```
    Gets the flag indicating whether to exchange the differences in the notional during the lifetime of the swap.
    Setting this to true indicates that the notional is transferred when it changes during the trade. This should typically be set to true in the case of an FX reset swap, or one with a varying notional.
    This flag controls whether a notional exchange object is created when the leg is resolved. It covers an exchange on each intermediate payment date of the swap leg. If set to true, the behavior depends on whether an FX reset payment period is defined. If there is an FX reset, then an FxResetNotionalExchange object will be created. If there is no FX reset, then a NotionalExchange object will be created.
    
    Returns:
    
    the value of the property
  - isFinalExchange
```
public boolean isFinalExchange()
```
    Gets the flag indicating whether to exchange the final notional.
    Setting this to true indicates that the notional is transferred at the end of the trade. This should typically be set to true in the case of an FX reset swap, or one with a varying notional.
    This flag controls whether a notional exchange object is created when the leg is resolved. It covers an exchange on the final payment date of the swap leg. If there is an FX reset, then this flag is ignored, see intermediateExchange. If there is no FX reset and the flag is true, then a NotionalExchange object will be created.
    
    Returns:
    
    the value of the property
  - getPaymentEvents
```
public ImmutableList<SwapPaymentEvent> getPaymentEvents()
```
    Gets the additional payment events that are associated with the swap leg.
    Payment events include fees. Notional exchange may also be specified here instead of via the dedicated fields.
    
    Returns:
    
    the value of the property, not null
  - getPaymentBusinessDayAdjustment
```
public BusinessDayAdjustment getPaymentBusinessDayAdjustment()
```
    Gets the business day date adjustment to be applied to each payment date, default is to apply no adjustment.
    The business day adjustment is applied to period, exchange and event payment dates.
    
    Returns:
    
    the value of the property, not null
  - toBuilder
```
public RatePeriodSwapLeg.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

Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.

Class RatePeriodSwapLeg

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

Methods inherited from interface com.opengamma.strata.product.swap.SwapLeg

Methods inherited from interface org.joda.beans.Bean

Method Detail

getStartDate

getEndDate

getCurrency

collectCurrencies

collectIndices

replaceStartDate

resolve

meta

builder

metaBean

getType

getPayReceive

getPaymentPeriods

isInitialExchange

isIntermediateExchange

isFinalExchange

getPaymentEvents

getPaymentBusinessDayAdjustment

toBuilder

equals

hashCode

toString