ImmutableIborIborSwapConvention (OpenGamma Strata Product)

java.lang.Object
- com.opengamma.strata.product.swap.type.ImmutableIborIborSwapConvention

All Implemented Interfaces:

Named, IborIborSwapConvention, SingleCurrencySwapConvention, TradeConvention, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class ImmutableIborIborSwapConvention
extends Object
implements IborIborSwapConvention, org.joda.beans.ImmutableBean, Serializable
```
A market convention for Ibor-Ibor swap trades.
This defines the market convention for a Ibor-Ibor single currency swap. The convention is formed by combining two swap leg conventions in the same currency.
The market price is for the difference (spread) between the values of the two legs. This convention has two legs, the "spread leg" and the "flat leg". The spread will be added to the "spread leg", which is typically the leg with the shorter underlying tenor. The payment frequency is typically determined by the longer underlying tenor, with compounding applied.
For example, a 'USD 3s1s' basis swap has 'USD-LIBOR-1M' as the spread leg and 'USD-LIBOR-3M' as the flat leg. Payment is every 3 months, with the one month leg compounded.
The convention is defined by four key 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 the interest calculation starts, often the same as the spot date
- End date, the date on which the interest calculation ends, typically a number of years after the start date
See Also:

Serialized Form

Nested Class Summary

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

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`static ImmutableIborIborSwapConvention.Builder`	`builder()` Returns a builder used to create an instance of the bean.
`boolean`	`equals(Object obj)`
`IborRateSwapLegConvention`	`getFlatLeg()` Gets the market convention of the floating leg that does not have the spread applied.
`String`	`getName()` Gets the convention name, such as 'USD-LIBOR-3M-LIBOR-6M'.
`DaysAdjustment`	`getSpotDateOffset()` Gets the offset of the spot value date from the trade date.
`IborRateSwapLegConvention`	`getSpreadLeg()` Gets the market convention of the floating leg that has the spread applied.
`int`	`hashCode()`
`static ImmutableIborIborSwapConvention.Meta`	`meta()` The meta-bean for `ImmutableIborIborSwapConvention`.
`ImmutableIborIborSwapConvention.Meta`	`metaBean()`
`static ImmutableIborIborSwapConvention`	`of(String name, IborRateSwapLegConvention spreadLeg, IborRateSwapLegConvention flatLeg)` Obtains a convention based on the specified name and leg conventions.
`static ImmutableIborIborSwapConvention`	`of(String name, IborRateSwapLegConvention spreadLeg, IborRateSwapLegConvention flatLeg, DaysAdjustment spotDateOffset)` Obtains a convention based on the specified name and leg conventions.
`ImmutableIborIborSwapConvention.Builder`	`toBuilder()` Returns a builder that allows this bean to be mutated.
`String`	`toString()`
`SwapTrade`	`toTrade(TradeInfo tradeInfo, LocalDate startDate, LocalDate endDate, BuySell buySell, double notional, double spread)` Creates a trade based on this convention.

Methods inherited from class java.lang.Object
clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.opengamma.strata.product.swap.type.IborIborSwapConvention
createTrade, createTrade, extendedEnum, of, toTrade

Methods inherited from interface com.opengamma.strata.product.swap.type.SingleCurrencySwapConvention
calculateSpotDateFromTradeDate

Methods inherited from interface com.opengamma.strata.collect.named.Named
of

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

- Method Detail
  - of
```
public static ImmutableIborIborSwapConvention of(String name,
                                                 IborRateSwapLegConvention spreadLeg,
                                                 IborRateSwapLegConvention flatLeg)
```
    Obtains a convention based on the specified name and leg conventions.
    The two leg conventions must be in the same currency. The spot date offset is set to be the effective date offset of the index of the spread leg.
    
    Parameters:
    
    name - the unique name of the convention
    
    spreadLeg - the market convention for the leg that the spread is added to
    
    flatLeg - the market convention for the other leg, known as the flat leg
    
    Returns:
    
    the convention
  - of
```
public static ImmutableIborIborSwapConvention of(String name,
                                                 IborRateSwapLegConvention spreadLeg,
                                                 IborRateSwapLegConvention flatLeg,
                                                 DaysAdjustment spotDateOffset)
```
    Obtains a convention based on the specified name and leg conventions.
    The two leg conventions must be in the same currency.
    
    Parameters:
    
    name - the unique name of the convention
    
    spreadLeg - the market convention for the leg that the spread is added to
    
    flatLeg - the market convention for the other leg, known as the flat leg
    
    spotDateOffset - the offset of the spot value date from the trade date
    
    Returns:
    
    the convention
  - toTrade
```
public SwapTrade toTrade(TradeInfo tradeInfo,
                         LocalDate startDate,
                         LocalDate endDate,
                         BuySell buySell,
                         double notional,
                         double spread)
```
    Description copied from interface: IborIborSwapConvention
    
    Creates a trade based on this convention.
    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 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.
    
    Specified by:
    
    toTrade in interface IborIborSwapConvention
    
    Specified by:
    
    toTrade in interface SingleCurrencySwapConvention
    
    Parameters:
    
    tradeInfo - additional information about the trade
    
    startDate - the start date
    
    endDate - the end date
    
    buySell - the buy/sell flag
    
    notional - the notional amount
    
    spread - the spread, typically derived from the market
    
    Returns:
    
    the trade
  - toString
```
public String toString()
```
    Overrides:
    
    toString in class Object
  - meta
```
public static ImmutableIborIborSwapConvention.Meta meta()
```
    The meta-bean for ImmutableIborIborSwapConvention.
    
    Returns:
    
    the meta-bean, not null
  - builder
```
public static ImmutableIborIborSwapConvention.Builder builder()
```
    Returns a builder used to create an instance of the bean.
    
    Returns:
    
    the builder, not null
  - metaBean
```
public ImmutableIborIborSwapConvention.Meta metaBean()
```
    Specified by:
    
    metaBean in interface org.joda.beans.Bean
  - getName
```
public String getName()
```
    Gets the convention name, such as 'USD-LIBOR-3M-LIBOR-6M'.
    
    Specified by:
    
    getName in interface Named
    
    Specified by:
    
    getName in interface IborIborSwapConvention
    
    Specified by:
    
    getName in interface SingleCurrencySwapConvention
    
    Returns:
    
    the value of the property, not null
  - getSpreadLeg
```
public IborRateSwapLegConvention getSpreadLeg()
```
    Gets the market convention of the floating leg that has the spread applied.
    The spread is the market price of the instrument. It is added to the observed interest rate.
    
    Specified by:
    
    getSpreadLeg in interface IborIborSwapConvention
    
    Returns:
    
    the value of the property, not null
  - getFlatLeg
```
public IborRateSwapLegConvention getFlatLeg()
```
    Gets the market convention of the floating leg that does not have the spread applied.
    
    Specified by:
    
    getFlatLeg in interface IborIborSwapConvention
    
    Returns:
    
    the value of the property, not null
  - getSpotDateOffset
```
public DaysAdjustment getSpotDateOffset()
```
    Gets the offset of the spot value date from the trade date.
    The offset is applied to the trade date to find the start date. A typical value is "plus 2 business days".
    
    Specified by:
    
    getSpotDateOffset in interface SingleCurrencySwapConvention
    
    Returns:
    
    the value of the property, not null
  - toBuilder
```
public ImmutableIborIborSwapConvention.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

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

Class ImmutableIborIborSwapConvention

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

Methods inherited from interface com.opengamma.strata.product.swap.type.IborIborSwapConvention

Methods inherited from interface com.opengamma.strata.product.swap.type.SingleCurrencySwapConvention

Methods inherited from interface com.opengamma.strata.collect.named.Named

Methods inherited from interface org.joda.beans.Bean

Method Detail

of

of

toTrade

toString

meta

builder

metaBean

getName

getSpreadLeg

getFlatLeg

getSpotDateOffset

toBuilder

equals

hashCode