org.jfin.date.accrual.impl

Class FloatAccrualPeriod

java.lang.Object

org.jfin.date.Period

org.jfin.date.accrual.AccrualPeriod

org.jfin.date.accrual.impl.FloatAccrualPeriod

All Implemented Interfaces:

java.lang.Comparable, Initialisable

public class FloatAccrualPeriod
extends AccrualPeriod

Concrete implementation of AccrualPeriod that models a floating rate period which requires fixing (e.g. the float leg of a Swap).

Constructor Summary

Constructors

Constructor and Description
FloatAccrualPeriod() Default constructor

Method Summary

Modifier and Type	Method and Description
FloatAccrualPeriod	clone()
java.util.Calendar	getAdjustedFixingCalendar() Gets the adjusted fixing date
FixingAdjustmentType	getFixingAdjustmentType() Gets the fixing adjustment type
BusinessDayConvention	getFixingBusinessDayConvention() Gets the business day convention used for adjusting the fixing date
java.util.Calendar	getFixingCalendar() Gets the unadjusted fixing date
int	getFixingCalendarOffsetAmount() Gets the offset from the payment date (in business days) for the fixing date, typically this will be 0 (for GBP LIBOR) or -2 (for other indexes)
HolidayCalendar	getFixingHolidayCalendar() Gets the holiday calendar used for adjusting the fixing date
double	getFixingRate() Gets the fixing rate which has been applied to to this period or Double.NaN if the rate is not set.
double	getPaymentAmount(double notional) Returns the payment amount for this period based upon the provided notional
void	initialise() Initialises this period setting (if possible) the fixing date based upon the start date, fixing holiday calendar and fixing offset amount.
boolean	isPaymentPossible()
void	setFixingAdjustmentType(FixingAdjustmentType fixingAdjustmentType) Sets the fixing adjustment type
void	setFixingBusinessDayConvention(BusinessDayConvention fixingBusinessDayConvention) Sets the business day convention used for adjusting the fixing date
void	setFixingCalendar(java.util.Calendar fixingCalendar) Sets the unadjusted fixing date
void	setFixingCalendarOffsetAmount(int fixingCalendarOffsetAmount) Sets the offset from the payment date (in business days) for the fixing date, typically this will be 0 (for GBP LIBOR) or -2 (for other indexes)
void	setFixingHolidayCalendar(HolidayCalendar fixingHolidayCalendar) Sets the holiday calendar used for adjusting the fixing date
void	setFixingRate(double fixingRate) Sets the fixing rate which has been applied to to this period or Double.NaN if the rate is not set

Methods inherited from class org.jfin.date.accrual.AccrualPeriod

getAccrualBusinessDayConvention, getAccrualHolidayCalendar, getAdjustedDaycountFraction, getAdjustedEndCalendar, getAdjustedPaymentCalendar, getAdjustedStartCalendar, getDaycountCalculator, getPaymentBusinessDayConvention, getPaymentCalendar, getPaymentHolidayCalendar, getPaymentType, setAccrualBusinessDayConvention, setAccrualHolidayCalendar, setDaycountCalculator, setPaymentBusinessDayConvention, setPaymentCalendar, setPaymentHolidayCalendar, setPaymentType

Methods inherited from class org.jfin.date.Period

compareTo, getEndCalendar, getReferenceEndCalendar, getReferenceStartCalendar, getStartCalendar, setEndCalendar, setReferenceEndCalendar, setReferenceStartCalendar, setStartCalendar, toString

Methods inherited from class java.lang.Object

equals, getClass, hashCode, notify, notifyAll, wait, wait, wait

Constructor Detail

FloatAccrualPeriod

public FloatAccrualPeriod()

Default constructor

Method Detail

clone

public FloatAccrualPeriod clone()

Overrides:

clone in class Period

initialise

public void initialise()

Initialises this period setting (if possible) the fixing date based upon the start date, fixing holiday calendar and fixing offset amount.

Specified by:

initialise in interface Initialisable

Overrides:

initialise in class AccrualPeriod

getPaymentAmount

public double getPaymentAmount(double notional)
                        throws java.lang.Exception

Returns the payment amount for this period based upon the provided notional

Specified by:

getPaymentAmount in class AccrualPeriod

Parameters:

notional - The notional amount

Returns:

The payment amount

Throws:

java.lang.Exception - Throws an exception if the daycount fraction cannot be calculated or if the fixingRate has not been set (isNaN)

isPaymentPossible

public boolean isPaymentPossible()

Specified by:

isPaymentPossible in class AccrualPeriod

getAdjustedFixingCalendar

public java.util.Calendar getAdjustedFixingCalendar()
                                             throws AccrualException

Gets the adjusted fixing date

Returns:

The adjusted fixing date as a calendar

Throws:

AccrualException - If there is a problem creating the adjusted fixing calendar

getFixingCalendar

public java.util.Calendar getFixingCalendar()

Gets the unadjusted fixing date

Returns:

The fixing date as a calendar

setFixingCalendar

public void setFixingCalendar(java.util.Calendar fixingCalendar)

Sets the unadjusted fixing date

Parameters:

fixingCalendar - The fixing date as a calendar

getFixingAdjustmentType

public FixingAdjustmentType getFixingAdjustmentType()

Gets the fixing adjustment type

Returns:

The fixing adjustment type

setFixingAdjustmentType

public void setFixingAdjustmentType(FixingAdjustmentType fixingAdjustmentType)

Sets the fixing adjustment type

Parameters:

fixingAdjustmentType - The fixing adjustment type

getFixingBusinessDayConvention

public BusinessDayConvention getFixingBusinessDayConvention()

Gets the business day convention used for adjusting the fixing date

Returns:

The fixing business day convention

setFixingBusinessDayConvention

public void setFixingBusinessDayConvention(BusinessDayConvention fixingBusinessDayConvention)

Sets the business day convention used for adjusting the fixing date

Parameters:

fixingBusinessDayConvention - The fixing business day convention

getFixingHolidayCalendar

public HolidayCalendar getFixingHolidayCalendar()

Gets the holiday calendar used for adjusting the fixing date

Returns:

The fixing holiday calendar

setFixingHolidayCalendar

public void setFixingHolidayCalendar(HolidayCalendar fixingHolidayCalendar)

Sets the holiday calendar used for adjusting the fixing date

Parameters:

fixingHolidayCalendar - The fixing holiday calendar

getFixingCalendarOffsetAmount

public int getFixingCalendarOffsetAmount()

Gets the offset from the payment date (in business days) for the fixing date, typically this will be 0 (for GBP LIBOR) or -2 (for other indexes)

Returns:

The fixing offset amount

setFixingCalendarOffsetAmount

public void setFixingCalendarOffsetAmount(int fixingCalendarOffsetAmount)

Sets the offset from the payment date (in business days) for the fixing date, typically this will be 0 (for GBP LIBOR) or -2 (for other indexes)

Parameters:

fixingCalendarOffsetAmount - The fixing offset amount

getFixingRate

public double getFixingRate()

Gets the fixing rate which has been applied to to this period or Double.NaN if the rate is not set.

Returns:

The fixing rate

setFixingRate

public void setFixingRate(double fixingRate)

Sets the fixing rate which has been applied to to this period or Double.NaN if the rate is not set

Parameters:

fixingRate - The fixing rate