com.opengamma.strata.market.curve

Class SwapIsdaCreditCurveNode

java.lang.Object

com.opengamma.strata.market.curve.SwapIsdaCreditCurveNode

All Implemented Interfaces:

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

public final class SwapIsdaCreditCurveNode
extends Object
implements IsdaCreditCurveNode, org.joda.beans.ImmutableBean, Serializable

An ISDA compliant curve node whose instrument is a standard Fixed-Ibor interest rate swap.

This node contains the information on the fixed leg of the swap. It is assumed that the compounding not involved, the common business day adjustment is applied to start date, end date and accrual schedule, and the fixed rate is paid on the end date of each payment period.

observableId is used to access the market data value of the swap par rate.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
static SwapIsdaCreditCurveNode.Builder	builder() Returns a builder used to create an instance of the bean.
LocalDate	date(LocalDate tradeDate, ReferenceData refData) Calculates the date associated with the node.
boolean	equals(Object obj)
BusinessDayAdjustment	getBusinessDayAdjustment() Gets the business day adjustment to apply to the start date, end date and accrual schedule.
DayCount	getDayCount() Gets the day count convention applicable.
String	getLabel() Gets the label to use for the node, defaulted.
ObservableId	getObservableId() Gets the identifier of the market data value that provides the rate.
Frequency	getPaymentFrequency() Gets the periodic frequency of payments, optional with defaulting getter.
DaysAdjustment	getSpotDateOffset() Gets the offset of the start date from the trade date.
Tenor	getTenor() Gets the tenor of the swap.
int	hashCode()
static SwapIsdaCreditCurveNode.Meta	meta() The meta-bean for SwapIsdaCreditCurveNode.
SwapIsdaCreditCurveNode.Meta	metaBean()
TenorDateParameterMetadata	metadata(LocalDate nodeDate) Returns metadata for the node from the node date.
static SwapIsdaCreditCurveNode	of(ObservableId observableId, DaysAdjustment spotDateOffset, BusinessDayAdjustment businessDayAdjustment, Tenor tenor, DayCount dayCount, Frequency paymentFrequency) Returns a curve node for a standard fixed-Ibor swap.
SwapIsdaCreditCurveNode.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 SwapIsdaCreditCurveNode of(ObservableId observableId,
                                         DaysAdjustment spotDateOffset,
                                         BusinessDayAdjustment businessDayAdjustment,
                                         Tenor tenor,
                                         DayCount dayCount,
                                         Frequency paymentFrequency)

Returns a curve node for a standard fixed-Ibor swap.

The label will be created from tenor.

Parameters:

observableId - the observable ID

spotDateOffset - the spot date offset

businessDayAdjustment - the business day adjustment

tenor - the tenor

dayCount - the day count

paymentFrequency - the payment frequency

Returns:

the curve node

date

public LocalDate date(LocalDate tradeDate,
                      ReferenceData refData)

Description copied from interface: IsdaCreditCurveNode

Calculates the date associated with the node.

Each curve node has an associated date which defines the x-value in the curve. This is typically the adjusted end date of the instrument.

Specified by:

date in interface IsdaCreditCurveNode

Parameters:

tradeDate - the trade date

refData - the reference data

Returns:

the node date

metadata

public TenorDateParameterMetadata metadata(LocalDate nodeDate)

Description copied from interface: IsdaCreditCurveNode

Returns metadata for the node from the node date.

The node date must be computed by IsdaCreditCurveNode.date(LocalDate, ReferenceData).

Specified by:

metadata in interface IsdaCreditCurveNode

Parameters:

nodeDate - the node date used when calibrating the curve

Returns:

metadata for the node

meta

public static SwapIsdaCreditCurveNode.Meta meta()

The meta-bean for SwapIsdaCreditCurveNode.

Returns:

the meta-bean, not null

builder

public static SwapIsdaCreditCurveNode.Builder builder()

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

Returns:

the builder, not null

metaBean

public SwapIsdaCreditCurveNode.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getLabel

public String getLabel()

Gets the label to use for the node, defaulted.

When building, this will default based on the tenor if not specified.

Specified by:

getLabel in interface IsdaCreditCurveNode

Returns:

the value of the property, not empty

getObservableId

public ObservableId getObservableId()

Gets the identifier of the market data value that provides the rate.

Specified by:

getObservableId in interface IsdaCreditCurveNode

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

getSpotDateOffset

public DaysAdjustment getSpotDateOffset()

Gets the offset of the start date from the trade date.

The offset is applied to the trade date and is typically plus 2 business days.

Returns:

the value of the property, not null

getBusinessDayAdjustment

public BusinessDayAdjustment getBusinessDayAdjustment()

Gets the business day adjustment to apply to the start date, end date and accrual schedule.

The date property is an unadjusted date and as such might be a weekend or holiday. The adjustment specified here is used to convert a relevant date to a valid business day.

Returns:

the value of the property, not null

getDayCount

public DayCount getDayCount()

Gets the day count convention applicable.

This is used to convert schedule period dates to a numerical value.

Returns:

the value of the property, not null

getPaymentFrequency

public Frequency getPaymentFrequency()

Gets the periodic frequency of payments, optional with defaulting getter.

Regular payments will be made at the specified periodic frequency. The compounding is not allowed in this node. Thus the frequency is the same as the accrual periodic frequency.

Returns:

the value of the property, not null

toBuilder

public SwapIsdaCreditCurveNode.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