com.opengamma.strata.product.swap.type

Class ImmutableXCcyOvernightOvernightSwapConvention

java.lang.Object

com.opengamma.strata.product.swap.type.ImmutableXCcyOvernightOvernightSwapConvention

All Implemented Interfaces:

Named, XCcyOvernightOvernightSwapConvention, TradeConvention, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class ImmutableXCcyOvernightOvernightSwapConvention
extends Object
implements XCcyOvernightOvernightSwapConvention, org.joda.beans.ImmutableBean, Serializable

A market convention for cross-currency overnight-overnight swap trades.

This defines the market convention for a overnight-overnight cross-currency swap without reset. 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".

For example, a 'EUR/USD' basis swap has 'EUR-ESTR' as the spread leg and 'USD-SOFR' as the flat leg.

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	ImmutableXCcyOvernightOvernightSwapConvention.Builder The bean-builder for ImmutableXCcyOvernightOvernightSwapConvention.
static class	ImmutableXCcyOvernightOvernightSwapConvention.Meta The meta-bean for ImmutableXCcyOvernightOvernightSwapConvention.

Method Summary

Modifier and Type	Method and Description
static ImmutableXCcyOvernightOvernightSwapConvention.Builder	builder() Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
OvernightRateSwapLegConvention	getFlatLeg() Gets the market convention of the floating leg that does not have the spread applied.
String	getName() Gets the convention name, such as 'EUR-EURIBOR-3M-USD-LIBOR-3M'.
DaysAdjustment	getSpotDateOffset() Gets the offset of the spot value date from the trade date.
OvernightRateSwapLegConvention	getSpreadLeg() Gets the market convention of the floating leg that has the spread applied.
int	hashCode()
static ImmutableXCcyOvernightOvernightSwapConvention.Meta	meta() The meta-bean for ImmutableXCcyOvernightOvernightSwapConvention.
ImmutableXCcyOvernightOvernightSwapConvention.Meta	metaBean()
static ImmutableXCcyOvernightOvernightSwapConvention	of(String name, OvernightRateSwapLegConvention spreadLeg, OvernightRateSwapLegConvention flatLeg, DaysAdjustment spotDateOffset) Obtains a convention based on the specified name and leg conventions.
ImmutableXCcyOvernightOvernightSwapConvention.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 notionalSpreadLeg, double notionalFlatLeg, 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.XCcyOvernightOvernightSwapConvention

calculateSpotDateFromTradeDate, createTrade, createTrade, extendedEnum, getCurrencyPair, of, toTrade

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 ImmutableXCcyOvernightOvernightSwapConvention of(String name,
                                                               OvernightRateSwapLegConvention spreadLeg,
                                                               OvernightRateSwapLegConvention flatLeg,
                                                               DaysAdjustment spotDateOffset)

Obtains a convention based on the specified name and leg conventions.

The two leg conventions must be in different currencies.

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 notionalSpreadLeg,
                         double notionalFlatLeg,
                         double spread)

Description copied from interface: XCcyOvernightOvernightSwapConvention

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, with the rate of the spread leg being paid. If selling the swap, the opposite occurs.

Specified by:

toTrade in interface XCcyOvernightOvernightSwapConvention

Parameters:

tradeInfo - additional information about the trade.

startDate - the start date

endDate - the end date

buySell - the buy/sell flag

notionalSpreadLeg - the notional amount for the spread leg

notionalFlatLeg - the notional amount for the flat leg

spread - the spread, typically derived from the market

Returns:

the trade

toString

public String toString()

Overrides:

toString in class Object

meta

public static ImmutableXCcyOvernightOvernightSwapConvention.Meta meta()

The meta-bean for ImmutableXCcyOvernightOvernightSwapConvention.

Returns:

the meta-bean, not null

builder

public static ImmutableXCcyOvernightOvernightSwapConvention.Builder builder()

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

Returns:

the builder, not null

metaBean

public ImmutableXCcyOvernightOvernightSwapConvention.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getName

public String getName()

Gets the convention name, such as 'EUR-EURIBOR-3M-USD-LIBOR-3M'.

Specified by:

getName in interface Named

Specified by:

getName in interface XCcyOvernightOvernightSwapConvention

Returns:

the value of the property, not null

getSpreadLeg

public OvernightRateSwapLegConvention 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 XCcyOvernightOvernightSwapConvention

Returns:

the value of the property, not null

getFlatLeg

public OvernightRateSwapLegConvention getFlatLeg()

Gets the market convention of the floating leg that does not have the spread applied.

Specified by:

getFlatLeg in interface XCcyOvernightOvernightSwapConvention

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 XCcyOvernightOvernightSwapConvention

Returns:

the value of the property, not null

toBuilder

public ImmutableXCcyOvernightOvernightSwapConvention.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