com.opengamma.strata.product.swap.type

Class IborIborSwapTemplate

java.lang.Object

com.opengamma.strata.product.swap.type.IborIborSwapTemplate

All Implemented Interfaces:

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

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

A template for creating Ibor-Ibor swap trades.

This defines almost all the data necessary to create a Ibor-Ibor single currency SwapTrade. The trade date, notional and spread are required to complete the template and create the trade. As such, it is often possible to get a market price for a trade based on the template. The market price is typically quoted as a bid/ask on the fixed rate.

The template references four dates.

• Trade date, the date that the trade is agreed
• Spot date, the base for date calculations, typically 2 business days after the trade date
• Start date, the date on which accrual starts
• End date, the date on which accrual ends

Some of these dates are specified by the convention embedded within this template.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
static IborIborSwapTemplate.Builder	builder() Returns a builder used to create an instance of the bean.
SwapTrade	createTrade(LocalDate tradeDate, BuySell buySell, double notional, double spread, ReferenceData refData) Creates a trade based on this template.
boolean	equals(Object obj)
IborIborSwapConvention	getConvention() Gets the market convention of the swap.
Period	getPeriodToStart() Gets the period between the spot value date and the start date.
Tenor	getTenor() Gets the tenor of the swap.
int	hashCode()
static IborIborSwapTemplate.Meta	meta() The meta-bean for IborIborSwapTemplate.
IborIborSwapTemplate.Meta	metaBean()
static IborIborSwapTemplate	of(Period periodToStart, Tenor tenor, IborIborSwapConvention convention) Obtains a template based on the specified period, tenor and convention.
static IborIborSwapTemplate	of(Tenor tenor, IborIborSwapConvention convention) Obtains a template based on the specified tenor and convention.
IborIborSwapTemplate.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 IborIborSwapTemplate of(Tenor tenor,
                                      IborIborSwapConvention convention)

Obtains a template based on the specified tenor and convention.

The swap will start on the spot date.

Parameters:

tenor - the tenor of the swap

convention - the market convention

Returns:

the template

of

public static IborIborSwapTemplate of(Period periodToStart,
                                      Tenor tenor,
                                      IborIborSwapConvention convention)

Obtains a template based on the specified period, tenor and convention.

The period from the spot date to the start date is specified. The tenor from the start date to the end date is also specified.

Parameters:

periodToStart - the period between the spot date and the start date

tenor - the tenor of the swap

convention - the market convention

Returns:

the template

createTrade

public SwapTrade createTrade(LocalDate tradeDate,
                             BuySell buySell,
                             double notional,
                             double spread,
                             ReferenceData refData)

Creates a trade based on this template.

This returns a trade based on the specified trade date.

The notional is unsigned, with buy/sell determining the direction of the trade. If buying the swap, the rate of the flat leg is received from the counterparty, with the rate of the spread leg being paid. If selling the swap, the opposite occurs.

Parameters:

tradeDate - the date of the trade

buySell - the buy/sell flag

notional - the notional amount

spread - the spread, typically derived from the market

refData - the reference data, used to resolve the trade dates

Returns:

the trade

Throws:

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

meta

public static IborIborSwapTemplate.Meta meta()

The meta-bean for IborIborSwapTemplate.

Returns:

the meta-bean, not null

builder

public static IborIborSwapTemplate.Builder builder()

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

Returns:

the builder, not null

metaBean

public IborIborSwapTemplate.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getPeriodToStart

public Period getPeriodToStart()

Gets the period between the spot value date and the start date.

This is often zero, but can be greater if the swap if forward starting. This must not be negative.

Returns:

the value of the property, not null

getTenor

public Tenor getTenor()

Gets the tenor of the swap.

This is the period from the first accrual date to the last accrual date.

Returns:

the value of the property, not null

getConvention

public IborIborSwapConvention getConvention()

Gets the market convention of the swap.

Returns:

the value of the property, not null

toBuilder

public IborIborSwapTemplate.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