public interface FixedInflationSwapConvention extends SingleCurrencySwapConvention, Named
This defines the market convention for an Inflation swap. The convention is formed by combining two swap leg conventions in the same currency.
To manually create a convention, see ImmutableFixedInflationSwapConvention.
To register a specific convention, see InflationSwapConvention.ini.
| Modifier and Type | Method and Description |
|---|---|
default SwapTrade |
createTrade(LocalDate tradeDate,
Period periodToStart,
Tenor tenor,
BuySell buySell,
double notional,
double fixedRate,
ReferenceData refData)
Creates a forward-starting trade based on this convention.
|
default SwapTrade |
createTrade(LocalDate tradeDate,
Tenor tenor,
BuySell buySell,
double notional,
double fixedRate,
ReferenceData refData)
Creates a forward-starting trade based on this convention.
|
static ExtendedEnum<FixedInflationSwapConvention> |
extendedEnum()
Gets the extended enum helper.
|
FixedRateSwapLegConvention |
getFixedLeg()
Gets the market convention of the fixed leg.
|
InflationRateSwapLegConvention |
getFloatingLeg()
Gets the market convention of the floating leg.
|
String |
getName()
Gets the name that uniquely identifies this convention.
|
static FixedInflationSwapConvention |
of(String uniqueName)
Obtains an instance from the specified unique name.
|
default SwapTrade |
toTrade(LocalDate tradeDate,
LocalDate startDate,
LocalDate endDate,
BuySell buySell,
double notional,
double fixedRate)
Creates a trade based on this convention.
|
SwapTrade |
toTrade(TradeInfo tradeInfo,
LocalDate startDate,
LocalDate endDate,
BuySell buySell,
double notional,
double fixedRate)
Creates a trade based on this convention.
|
calculateSpotDateFromTradeDate, getSpotDateOffsetstatic FixedInflationSwapConvention of(String uniqueName)
of in interface SingleCurrencySwapConventionuniqueName - the unique nameIllegalArgumentException - if the name is not knownstatic ExtendedEnum<FixedInflationSwapConvention> extendedEnum()
This helper allows instances of the convention to be looked up. It also provides the complete set of available instances.
FixedRateSwapLegConvention getFixedLeg()
InflationRateSwapLegConvention getFloatingLeg()
default SwapTrade createTrade(LocalDate tradeDate, Tenor tenor, BuySell buySell, double notional, double fixedRate, ReferenceData refData)
This returns a trade based on the specified tenor. For example, a tenor of 5 years creates a swap starting on the spot date and maturing 5 years later.
The notional is unsigned, with buy/sell determining the direction of the trade. If buying the swap, the floating rate is received from the counterparty, with the fixed rate being paid. If selling the swap, the floating rate is paid to the counterparty, with the fixed rate being received.
createTrade in interface SingleCurrencySwapConventiontradeDate - the date of the tradetenor - the tenor of the tradebuySell - the buy/sell flagnotional - the notional amountfixedRate - the fixed rate, typically derived from the marketrefData - the reference data, used to resolve the trade datesReferenceDataNotFoundException - if an identifier cannot be resolved in the reference datadefault SwapTrade createTrade(LocalDate tradeDate, Period periodToStart, Tenor tenor, BuySell buySell, double notional, double fixedRate, ReferenceData refData)
This returns a trade based on the specified period and tenor. For example, a period of 3 months and a tenor of 5 years creates a swap starting three months after the spot date and maturing 5 years later.
The notional is unsigned, with buy/sell determining the direction of the trade. If buying the swap, the floating rate is received from the counterparty, with the fixed rate being paid. If selling the swap, the floating rate is paid to the counterparty, with the fixed rate being received.
createTrade in interface SingleCurrencySwapConventiontradeDate - the date of the tradeperiodToStart - the period between the spot date and the start datetenor - the tenor of the tradebuySell - the buy/sell flagnotional - the notional amountfixedRate - the fixed rate, typically derived from the marketrefData - the reference data, used to resolve the trade datesReferenceDataNotFoundException - if an identifier cannot be resolved in the reference datadefault SwapTrade toTrade(LocalDate tradeDate, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate)
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 swap, the floating rate is received from the counterparty, with the fixed rate being paid. If selling the swap, the floating rate is paid to the counterparty, with the fixed rate being received.
toTrade in interface SingleCurrencySwapConventiontradeDate - the date of the tradestartDate - the start dateendDate - the end datebuySell - the buy/sell flagnotional - the notional amountfixedRate - the fixed rate, typically derived from the marketSwapTrade toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double fixedRate)
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 swap, the floating rate is received from the counterparty, with the fixed rate being paid. If selling the swap, the floating rate is paid to the counterparty, with the fixed rate being received.
toTrade in interface SingleCurrencySwapConventiontradeInfo - additional information about the tradestartDate - the start dateendDate - the end datebuySell - the buy/sell flagnotional - the notional amountfixedRate - the fixed rate, typically derived from the marketString getName()
This name is used in serialization and can be parsed using of(String).
getName in interface NamedgetName in interface SingleCurrencySwapConventionCopyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.