Package net.finmath.smartcontract.product.xml

Class FxAccrualForward

java.lang.Object
net.finmath.smartcontract.product.xml.Product
net.finmath.smartcontract.product.xml.FxAccrualForward
public class FxAccrualForward extends Product
The product defines a schedule of expiry and delivery dates which specify settlement periods. The product further defines a schedule of fixing (or observation) dates and defines regions of spot where the product settlement amounts will accrue. There are n total fixings. One accumulates a fixed proportion of Notional (1/n) for every observation date that spot fixes within the pre-defined limits of the accrual regions. If spot breaks the limits, the Notional stops accumulating during the fixings outside the limits, but continues accruing once spot comes back to the accruing region. At expiry, one buys the accrued Notional at the pre-agreed hedge rate. Payout can be cash or physical. The variation of this product include: Accrual Forward (European and American), Double Accrual Forward (DAF), Boosted Accrual Forward, Fading Forward, Leveraged Accrual Forward, Accrual Forward with Collars, etc.

Java class for FxAccrualForward complex type.

The following schema fragment specifies the expected content contained within this class. 

 <complexType name="FxAccrualForward">
   <complexContent>
     <extension base="{http://www.fpml.org/FpML-5/confirmation}Product">
       <sequence>
         <element name="notionalAmount" type="{http://www.fpml.org/FpML-5/confirmation}NonNegativeAmountSchedule"/>
         <element name="accrual" type="{http://www.fpml.org/FpML-5/confirmation}FxAccrual"/>
         <group ref="{http://www.fpml.org/FpML-5/confirmation}FxExpiryDateOrSchedule.model"/>
         <group ref="{http://www.fpml.org/FpML-5/confirmation}FxSettlementDateOrSchedule.model"/>
         <element name="spotRate" type="{http://www.fpml.org/FpML-5/confirmation}PositiveDecimal" minOccurs="0"/>
         <element name="linearPayoffRegion" type="{http://www.fpml.org/FpML-5/confirmation}FxAccrualLinearPayoffRegion" maxOccurs="unbounded"/>
         <element name="averageRate" type="{http://www.fpml.org/FpML-5/confirmation}FxAverageRate" minOccurs="0"/>
         <element name="barrier" type="{http://www.fpml.org/FpML-5/confirmation}FxAccrualBarrier" maxOccurs="unbounded" minOccurs="0"/>
         <element name="additionalPayment" type="{http://www.fpml.org/FpML-5/confirmation}SimplePayment" maxOccurs="unbounded" minOccurs="0"/>
         <element name="cashSettlement" type="{http://www.fpml.org/FpML-5/confirmation}FxCashSettlementSimple" minOccurs="0"/>
         <element name="settlementPeriodSchedule" type="{http://www.fpml.org/FpML-5/confirmation}FxAccrualSettlementPeriodSchedule" minOccurs="0"/>
       </sequence>
     </extension>
   </complexContent>
 </complexType>

  • Field Details

  • Constructor Details

    • FxAccrualForward

      public FxAccrualForward()

  • Method Details

    • getNotionalAmount

      public NonNegativeAmountSchedule getNotionalAmount()
      Gets the value of the notionalAmount property.
      Returns:
      possible object is NonNegativeAmountSchedule

    • setNotionalAmount

      public void setNotionalAmount​(NonNegativeAmountSchedule value)
      Sets the value of the notionalAmount property.
      Parameters:
      value - allowed object is NonNegativeAmountSchedule

    • getAccrual

      public FxAccrual getAccrual()
      Gets the value of the accrual property.
      Returns:
      possible object is FxAccrual

    • setAccrual

      public void setAccrual​(FxAccrual value)
      Sets the value of the accrual property.
      Parameters:
      value - allowed object is FxAccrual

    • getExpiryDate

      public FxExpiryDate getExpiryDate()
      Gets the value of the expiryDate property.
      Returns:
      possible object is FxExpiryDate

    • setExpiryDate

      public void setExpiryDate​(FxExpiryDate value)
      Sets the value of the expiryDate property.
      Parameters:
      value - allowed object is FxExpiryDate

    • getExpirySchedule

      public FxExpirySchedule getExpirySchedule()
      Gets the value of the expirySchedule property.
      Returns:
      possible object is FxExpirySchedule

    • setExpirySchedule

      public void setExpirySchedule​(FxExpirySchedule value)
      Sets the value of the expirySchedule property.
      Parameters:
      value - allowed object is FxExpirySchedule

    • getSettlementDate

      public FxAdjustedDateAndDateAdjustments getSettlementDate()
      Gets the value of the settlementDate property.
      Returns:
      possible object is FxAdjustedDateAndDateAdjustments

    • setSettlementDate

      public void setSettlementDate​(FxAdjustedDateAndDateAdjustments value)
      Sets the value of the settlementDate property.
      Parameters:
      value - allowed object is FxAdjustedDateAndDateAdjustments

    • getSettlementSchedule

      public FxSettlementSchedule getSettlementSchedule()
      Gets the value of the settlementSchedule property.
      Returns:
      possible object is FxSettlementSchedule

    • setSettlementSchedule

      public void setSettlementSchedule​(FxSettlementSchedule value)
      Sets the value of the settlementSchedule property.
      Parameters:
      value - allowed object is FxSettlementSchedule

    • getSpotRate

      public BigDecimal getSpotRate()
      Gets the value of the spotRate property.
      Returns:
      possible object is BigDecimal

    • setSpotRate

      public void setSpotRate​(BigDecimal value)
      Sets the value of the spotRate property.
      Parameters:
      value - allowed object is BigDecimal

    • getLinearPayoffRegion

      public List<FxAccrualLinearPayoffRegion> getLinearPayoffRegion()
      Gets the value of the linearPayoffRegion property.

      This accessor method returns a reference to the live list, not a snapshot. Therefore any modification you make to the returned list will be present inside the Jakarta XML Binding object. This is why there is not a set method for the linearPayoffRegion property.

      For example, to add a new item, do as follows: 

          getLinearPayoffRegion().add(newItem);

      Objects of the following type(s) are allowed in the list FxAccrualLinearPayoffRegion

    • getAverageRate

      public FxAverageRate getAverageRate()
      Gets the value of the averageRate property.
      Returns:
      possible object is FxAverageRate

    • setAverageRate

      public void setAverageRate​(FxAverageRate value)
      Sets the value of the averageRate property.
      Parameters:
      value - allowed object is FxAverageRate

    • getBarrier

      public List<FxAccrualBarrier> getBarrier()
      Gets the value of the barrier property.

      This accessor method returns a reference to the live list, not a snapshot. Therefore any modification you make to the returned list will be present inside the Jakarta XML Binding object. This is why there is not a set method for the barrier property.

      For example, to add a new item, do as follows: 

          getBarrier().add(newItem);

      Objects of the following type(s) are allowed in the list FxAccrualBarrier

    • getAdditionalPayment

      public List<SimplePayment> getAdditionalPayment()
      Gets the value of the additionalPayment property.

      This accessor method returns a reference to the live list, not a snapshot. Therefore any modification you make to the returned list will be present inside the Jakarta XML Binding object. This is why there is not a set method for the additionalPayment property.

      For example, to add a new item, do as follows: 

          getAdditionalPayment().add(newItem);

      Objects of the following type(s) are allowed in the list SimplePayment

    • getCashSettlement

      public FxCashSettlementSimple getCashSettlement()
      Gets the value of the cashSettlement property.
      Returns:
      possible object is FxCashSettlementSimple

    • setCashSettlement

      public void setCashSettlement​(FxCashSettlementSimple value)
      Sets the value of the cashSettlement property.
      Parameters:
      value - allowed object is FxCashSettlementSimple

    • getSettlementPeriodSchedule

      public FxAccrualSettlementPeriodSchedule getSettlementPeriodSchedule()
      Gets the value of the settlementPeriodSchedule property.
      Returns:
      possible object is FxAccrualSettlementPeriodSchedule

    • setSettlementPeriodSchedule

      public void setSettlementPeriodSchedule​(FxAccrualSettlementPeriodSchedule value)
      Sets the value of the settlementPeriodSchedule property.
      Parameters:
      value - allowed object is FxAccrualSettlementPeriodSchedule