/**
* Copyright (C) 2015 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.fx.type;
import java.time.LocalDate;
import java.time.Period;
import org.joda.convert.FromString;
import org.joda.convert.ToString;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.ReferenceDataNotFoundException;
import com.opengamma.strata.basics.currency.CurrencyPair;
import com.opengamma.strata.basics.date.DaysAdjustment;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.collect.named.ExtendedEnum;
import com.opengamma.strata.collect.named.Named;
import com.opengamma.strata.product.TradeConvention;
import com.opengamma.strata.product.TradeInfo;
import com.opengamma.strata.product.common.BuySell;
import com.opengamma.strata.product.fx.FxSwapTrade;
/**
* A market convention for FX Swap trades.
* <p>
* This defines the market convention for a FX swap based on a particular currency pair.
* <p>
* To manually create a convention, see {@link ImmutableFxSwapConvention}.
* To register a specific convention, see {@code FxSwapConvention.ini}.
*/
public interface FxSwapConvention
extends TradeConvention, Named {
/**
* Obtains an instance from the specified unique name.
*
* @param uniqueName the unique name
* @return the convention
* @throws IllegalArgumentException if the name is not known
*/
@FromString
public static FxSwapConvention of(String uniqueName) {
ArgChecker.notNull(uniqueName, "uniqueName");
return extendedEnum().lookup(uniqueName);
}
/**
* Gets the extended enum helper.
* <p>
* This helper allows instances of the convention to be looked up.
* It also provides the complete set of available instances.
*
* @return the extended enum helper
*/
public static ExtendedEnum<FxSwapConvention> extendedEnum() {
return FxSwapConventions.ENUM_LOOKUP;
}
//-------------------------------------------------------------------------
/**
* Gets the currency pair of the convention.
*
* @return the currency pair
*/
public abstract CurrencyPair getCurrencyPair();
/**
* Gets the offset of the spot value date from the trade date.
* <p>
* The offset is applied to the trade date to find the start date.
* A typical value is "plus 2 business days".
*
* @return the spot date offset, not null
*/
public abstract DaysAdjustment getSpotDateOffset();
//-------------------------------------------------------------------------
/**
* Creates a trade based on this convention.
* <p>
* This returns a trade based on the specified periods.
* For example, a '3M x 6M' FX swap has a period from spot to the start date of 3 months and
* a period from spot to the end date of 6 months
* <p>
* The notional is unsigned, with buy/sell determining the direction of the trade.
* If buying the FX Swap, the amount in the first currency of the pair is received in the near leg and paid in the
* far leg, while the second currency is paid in the near leg and received in the far leg.
*
* @param tradeDate the date of the trade
* @param periodToNear the period between the spot date and the near date
* @param periodToFar the period between the spot date and the far date
* @param buySell the buy/sell flag
* @param notional the notional amount, in the first currency of the currency pair
* @param nearFxRate the FX rate for the near leg
* @param farLegForwardPoints the FX points to be added to the FX rate at the far leg
* @param refData the reference data, used to resolve the trade dates
* @return the trade
* @throws ReferenceDataNotFoundException if an identifier cannot be resolved in the reference data
*/
public default FxSwapTrade createTrade(
LocalDate tradeDate,
Period periodToNear,
Period periodToFar,
BuySell buySell,
double notional,
double nearFxRate,
double farLegForwardPoints,
ReferenceData refData) {
LocalDate spotValue = calculateSpotDateFromTradeDate(tradeDate, refData);
LocalDate startDate = spotValue.plus(periodToNear);
LocalDate endDate = spotValue.plus(periodToFar);
return toTrade(tradeDate, startDate, endDate, buySell, notional, nearFxRate, farLegForwardPoints);
}
/**
* Creates a trade based on this convention.
* <p>
* 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 FX Swap, the amount in the first currency of the pair is received in the near leg and paid in the
* far leg, while the second currency is paid in the near leg and received in the far leg.
*
* @param tradeDate the date of the trade
* @param startDate the start date
* @param endDate the end date
* @param buySell the buy/sell flag
* @param notional the notional amount, in the payment currency of the template
* @param nearFxRate the FX rate for the near leg
* @param farLegForwardPoints the FX points to be added to the FX rate at the far leg
* @return the trade
*/
public default FxSwapTrade toTrade(
LocalDate tradeDate,
LocalDate startDate,
LocalDate endDate,
BuySell buySell,
double notional,
double nearFxRate,
double farLegForwardPoints) {
TradeInfo tradeInfo = TradeInfo.of(tradeDate);
return toTrade(tradeInfo, startDate, endDate, buySell, notional, nearFxRate, farLegForwardPoints);
}
/**
* Creates a trade based on this convention.
* <p>
* 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 FX Swap, the amount in the first currency of the pair is received in the near leg and paid in the
* far leg, while the second currency is paid in the near leg and received in the far leg.
*
* @param tradeInfo additional information about the trade
* @param startDate the start date
* @param endDate the end date
* @param buySell the buy/sell flag
* @param notional the notional amount, in the payment currency of the template
* @param nearFxRate the FX rate for the near leg
* @param farLegForwardPoints the FX points to be added to the FX rate at the far leg
* @return the trade
*/
public abstract FxSwapTrade toTrade(
TradeInfo tradeInfo,
LocalDate startDate,
LocalDate endDate,
BuySell buySell,
double notional,
double nearFxRate,
double farLegForwardPoints);
//-------------------------------------------------------------------------
/**
* Calculates the spot date from the trade date.
*
* @param tradeDate the trade date
* @param refData the reference data, used to resolve the date
* @return the spot date
* @throws ReferenceDataNotFoundException if an identifier cannot be resolved in the reference data
*/
public default LocalDate calculateSpotDateFromTradeDate(LocalDate tradeDate, ReferenceData refData) {
return getSpotDateOffset().adjust(tradeDate, refData);
}
//-------------------------------------------------------------------------
/**
* Gets the name that uniquely identifies this convention.
* <p>
* This name is used in serialization and can be parsed using {@link #of(String)}.
*
* @return the unique name
*/
@ToString
@Override
public abstract String getName();
}