Swaption (OpenGamma Strata Product)

java.lang.Object
- com.opengamma.strata.product.swaption.Swaption

All Implemented Interfaces:

Resolvable<ResolvedSwaption>, Product, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class Swaption
extends Object
implements Product, Resolvable<ResolvedSwaption>, org.joda.beans.ImmutableBean, Serializable
```
An option on an underlying swap.
A swaption is a financial instrument that provides an option based on the future value of a swap. The underlying swap must be a single currency, Fixed-Float swap with a single index. The index may be Ibor or Overnight.
Strata supports European swaptions for pricing. However, the trade model supports Bermudan and American exercise.

See Also:

Serialized Form

Nested Class Summary

Nested Classes
Modifier and Type Class and Description

static class Swaption.Builder
The bean-builder for Swaption.

static class Swaption.Meta
The meta-bean for Swaption.

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

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`ImmutableSet<Currency>`	`allCurrencies()` Returns the set of currencies the product refers to.
`static Swaption.Builder`	`builder()` Returns a builder used to create an instance of the bean.
`boolean`	`equals(Object obj)`
`Swap`	`exercise(LocalDate exerciseDate, ReferenceData refData)` Exercises the swaption into a swap at one of the optional exercise dates.
`Currency`	`getCurrency()` Gets the currency of the swaption.
`Optional<SwaptionExercise>`	`getExerciseInfo()` Gets the exercise information, optional.
`ZonedDateTime`	`getExpiry()` Gets the expiry date-time.
`AdjustableDate`	`getExpiryDate()` Gets the expiry date of the option.
`LocalTime`	`getExpiryTime()` Gets the expiry time of the option.
`ZoneId`	`getExpiryZone()` Gets the time-zone of the expiry time.
`RateIndex`	`getIndex()` Gets the index of the underlying swap.
`LongShort`	`getLongShort()` Gets whether the option is long or short.
`SwaptionSettlement`	`getSwaptionSettlement()` Gets settlement method.
`Swap`	`getUnderlying()` Gets the underlying swap.
`int`	`hashCode()`
`static Swaption.Meta`	`meta()` The meta-bean for `Swaption`.
`Swaption.Meta`	`metaBean()`
`ResolvedSwaption`	`resolve(ReferenceData refData)`
`Swaption`	`selectExerciseDate(LocalDate exerciseDate, ReferenceData refData)` Selects one of the exercise dates.
`Swaption.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.Product
allPaymentCurrencies, isCrossCurrency

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

- Method Detail
  - getExpiry
```
public ZonedDateTime getExpiry()
```
    Gets the expiry date-time.
    The option expires at this date and time.
    The result is returned by combining the expiry date, time and time-zone.
    
    Returns:
    
    the expiry date and time
  - getCurrency
```
public Currency getCurrency()
```
    Gets the currency of the swaption.
    This is the currency of the underlying swap, which is not allowed to be cross-currency.
    
    Returns:
    
    the expiry date and time
  - allCurrencies
```
public ImmutableSet<Currency> allCurrencies()
```
    Description copied from interface: Product
    
    Returns the set of currencies the product refers to.
    This returns the complete set of currencies, not just the payment currencies. For example, the sets will differ when one of the currencies is non-deliverable.
    
    Specified by:
    
    allCurrencies in interface Product
    
    Returns:
    
    the set of currencies the product refers to
  - getIndex
```
public RateIndex getIndex()
```
    Gets the index of the underlying swap.
    
    Returns:
    
    the index of the underlying swap
  - selectExerciseDate
```
public Swaption selectExerciseDate(LocalDate exerciseDate,
                                   ReferenceData refData)
```
    Selects one of the exercise dates.
    This returns a swaption with the exerciseInfo removed. The expiry date and underlying swap will be set in accordance with the selected exercise date. If the swaption has no exercise information, this checks that the exercise date matches the expiry date.
    The date is matched as an adjusted date first, then as an unadjusted date. If the date can only be an adjusted date, the result will use BusinessDayAdjustment.NONE.
    
    Parameters:
    
    exerciseDate - the exercise date, which must be valid for the swaption
    
    refData - the reference data
    
    Returns:
    
    the swaption in European form with the specified exercise date
    
    Throws:
    
    IllegalArgumentException - if the proposed exercise date is not valid
  - exercise
```
public Swap exercise(LocalDate exerciseDate,
                     ReferenceData refData)
```
    Exercises the swaption into a swap at one of the optional exercise dates.
    The start date of the swap will be set in accordance with the selected exercise date. See selectExerciseDate(LocalDate, ReferenceData) for more info.
    
    Parameters:
    
    exerciseDate - the exercise date, which must be valid for the swaption
    
    refData - the reference data
    
    Returns:
    
    the exercised swap
    
    Throws:
    
    IllegalArgumentException - if the proposed exercise date is not valid
  - resolve
```
public ResolvedSwaption resolve(ReferenceData refData)
```
    Specified by:
    
    resolve in interface Resolvable<ResolvedSwaption>
  - meta
```
public static Swaption.Meta meta()
```
    The meta-bean for Swaption.
    
    Returns:
    
    the meta-bean, not null
  - builder
```
public static Swaption.Builder builder()
```
    Returns a builder used to create an instance of the bean.
    
    Returns:
    
    the builder, not null
  - metaBean
```
public Swaption.Meta metaBean()
```
    Specified by:
    
    metaBean in interface org.joda.beans.Bean
  - getLongShort
```
public LongShort getLongShort()
```
    Gets whether the option is long or short.
    Long indicates that the owner wants the option to be in the money at expiry. Short indicates that the owner wants the option to be out of the money at expiry.
    
    Returns:
    
    the value of the property, not null
  - getSwaptionSettlement
```
public SwaptionSettlement getSwaptionSettlement()
```
    Gets settlement method.
    The settlement of the option is specified by SwaptionSettlement.
    
    Returns:
    
    the value of the property, not null
  - getExerciseInfo
```
public Optional<SwaptionExercise> getExerciseInfo()
```
    Gets the exercise information, optional.
    A swaption can have three different kinds of exercise - European, American and Bermudan. A European swaption has one exercise date, an American can exercise on any date, and a Bermudan can exercise on a fixed set of dates.
    If not present, the swaption is considered to be a European swaption as per the expiry date.
    
    Returns:
    
    the optional value of the property, not null
  - getExpiryDate
```
public AdjustableDate getExpiryDate()
```
    Gets the expiry date of the option.
    This is the last date that the swaption can be exercised. To represent Bermudan and American swaptions, or to represent a European swaption where the swap start date is calculated dynamically, see the exerciseOptions field.
    This date is typically set to be a valid business day. However, the businessDayAdjustment property may be set to provide a rule for adjustment.
    
    Returns:
    
    the value of the property, not null
  - getExpiryTime
```
public LocalTime getExpiryTime()
```
    Gets the expiry time of the option.
    The expiry time is related to the expiry date and time-zone.
    
    Returns:
    
    the value of the property, not null
  - getExpiryZone
```
public ZoneId getExpiryZone()
```
    Gets the time-zone of the expiry time.
    The expiry time-zone is related to the expiry date and time.
    
    Returns:
    
    the value of the property, not null
  - getUnderlying
```
public Swap getUnderlying()
```
    Gets the underlying swap.
    At expiry, if the option is exercised, this swap will be entered into. The swap description is the swap as viewed by the party long the option.
    
    Returns:
    
    the value of the property, not null
  - toBuilder
```
public Swaption.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 Swaption

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

Methods inherited from interface com.opengamma.strata.product.Product

Methods inherited from interface org.joda.beans.Bean

Method Detail

getExpiry

getCurrency

allCurrencies

getIndex

selectExerciseDate

exercise

resolve

meta

builder

metaBean

getLongShort

getSwaptionSettlement

getExerciseInfo

getExpiryDate

getExpiryTime

getExpiryZone

getUnderlying

toBuilder

equals

hashCode

toString