com.opengamma.strata.product.swap.SwapLeg Maven / Gradle / Ivy
/*
* Copyright (C) 2014 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.swap;
import java.time.LocalDate;
import com.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.ReferenceDataId;
import com.opengamma.strata.basics.ReferenceDataNotFoundException;
import com.opengamma.strata.basics.Resolvable;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.date.AdjustableDate;
import com.opengamma.strata.basics.index.Index;
import com.opengamma.strata.product.common.PayReceive;
import com.opengamma.strata.product.swaption.Swaption;
/**
* A single leg of a swap.
*
* A swap leg is one element of a {@link Swap}.
* In most cases, a swap has two legs, one expressing the obligations of the seller
* and one expressing the obligations of the buyer. However, it is possible to
* represent more complex swaps, with one, three or more legs.
*
* This interface imposes few restrictions on the swap leg. A leg must have a start and
* end date, where the start date can be before or after the date that the swap is traded.
* A single swap leg must produce payments in a single currency.
*
* In most cases, a swap will consist of a list of payment periods, but this is not
* required by this interface. The {@link ResolvedSwapLeg} class, which this leg can
* be converted to, does define the swap in terms of payment periods.
*
* Implementations must be immutable and thread-safe beans.
*/
public interface SwapLeg extends Resolvable {
/**
* Gets the type of the leg, such as Fixed or Ibor.
*
* This provides a high level categorization of the swap leg.
*
* @return the leg type
*/
public abstract SwapLegType getType();
/**
* Gets whether the leg is pay or receive.
*
* A value of 'Pay' implies that the resulting amount is paid to the counterparty.
* A value of 'Receive' implies that the resulting amount is received from the counterparty.
* Note that negative interest rates can result in a payment in the opposite
* direction to that implied by this indicator.
*
* @return the pay receive flag
*/
public abstract PayReceive getPayReceive();
/**
* Gets the accrual start date of the leg.
*
* This is the first accrual date in the leg, often known as the effective date.
*
* Defined as the effective date by the 2006 ISDA definitions article 3.2.
*
* @return the start date of the leg
*/
public abstract AdjustableDate getStartDate();
/**
* Gets the accrual end date of the leg.
*
* This is the last accrual date in the leg, often known as the termination date.
*
* Defined as the termination date by the 2006 ISDA definitions article 3.3.
*
* @return the end date of the leg
*/
public abstract AdjustableDate getEndDate();
//-------------------------------------------------------------------------
/**
* Gets the payment currency of the leg.
*
* A swap leg has a single payment currency.
*
* @return the payment currency of the leg
*/
public abstract Currency getCurrency();
/**
* Returns the set of currencies referred to by the leg.
*
* This returns the complete set of currencies for the leg, not just the payment currencies.
* For example, if there is an FX reset, then this set contains both the currency of the
* payment and the currency of the notional.
*
* @return the set of currencies referred to by this leg
*/
public default ImmutableSet allCurrencies() {
ImmutableSet.Builder builder = ImmutableSet.builder();
collectCurrencies(builder);
return builder.build();
}
/**
* Collects all the currencies referred to by this leg.
*
* This collects the complete set of currencies for the leg, not just the payment currencies.
*
* @param builder the builder to populate
*/
public abstract void collectCurrencies(ImmutableSet.Builder builder);
//-------------------------------------------------------------------------
/**
* Returns the set of indices referred to by the leg.
*
* A leg will typically refer to at least one index, such as 'GBP-LIBOR-3M'.
* Calling this method will return the complete list of indices, including
* any associated with FX reset.
*
* @return the set of indices referred to by this leg
*/
public default ImmutableSet allIndices() {
ImmutableSet.Builder builder = ImmutableSet.builder();
collectIndices(builder);
return builder.build();
}
/**
* Collects all the indices referred to by this leg.
*
* A swap leg will typically refer to at least one index, such as 'GBP-LIBOR-3M'.
* Each index that is referred to must be added to the specified builder.
*
* @param builder the builder to populate
*/
public abstract void collectIndices(ImmutableSet.Builder builder);
//-------------------------------------------------------------------------
/**
* Returns an instance based on this leg with the start date replaced.
*
* This is used to change the start date of the leg, and is currently used by {@link Swaption}.
*
* See each implementation for details of how the override is performed.
*
* @param adjustedStartDate the new adjusted start date
* @return the updated leg
* @throws IllegalArgumentException if the start date cannot be replaced with the proposed start date
* @throws UnsupportedOperationException if changing the start date is not supported
*/
public default SwapLeg replaceStartDate(LocalDate adjustedStartDate) {
throw new UnsupportedOperationException("Unable to change start date: " + getClass().getSimpleName());
}
//-------------------------------------------------------------------------
/**
* Resolves this swap leg using the specified reference data.
*
* This converts the swap leg to the equivalent resolved form.
* All {@link ReferenceDataId} identifiers in this instance will be resolved.
* The resolved form will typically be a type that is optimized for pricing.
*
* Resolved objects may be bound to data that changes over time, such as holiday calendars.
* If the data changes, such as the addition of a new holiday, the resolved form will not be updated.
* Care must be taken when placing the resolved form in a cache or persistence layer.
*
* @param refData the reference data to use when resolving
* @return the resolved instance
* @throws ReferenceDataNotFoundException if an identifier cannot be resolved in the reference data
* @throws RuntimeException if unable to resolve due to an invalid definition
*/
@Override
public abstract ResolvedSwapLeg resolve(ReferenceData refData);
}