MarketTenor (OpenGamma Strata) 外汇on tn sn

A code used in the market to indicate both the start date and tenor of a financial instrument.

In Strata, a Tenor is the actual tenor of an instrument, from start to end. This class represents the code used in the market which also effectively describes the start date. Four key dates are needed to understand how this code works.

Trade date, the date that the trade is agreed Spot date, the base for date calculations, typically 2 business days after the trade date, known as the spot lag Start date, the date on which accrual starts, generally the spot date unless forward starting End date, the date on which accrual ends

The period from start date to end date is represented by Tenor. MarketTenor includes the tenor, but also allows the market conventional spot lag to be overridden.

MarketTenor represents the 4 special cases used in the market as well as more normal tenors:

ON - Overnight, from today to tomorrow, spot lag of 0 and tenor of 1 day TN - Tomorrow-Next, from tomorrow to the next day, spot lag of 1 and tenor of 1 day SN - Spot-Next, from spot to the next day, market conventional spot lag and tenor of 1 day SW - Spot-Week, from spot for one week, market conventional spot lag and tenor of 1 week "Normal" tenors - 2W, 1M, 1Y etc - from spot for the specified period, market conventional spot lag

Note that if the market conventional spot lag is 1 day, TN and SN would resolve to the same dates. Note also that SN and SW exist for clarity, they might also be expressed as 1D and 1W with the spot implied. Other date combinations are possible in theory but tend not to exist in the market, for example a three day trade starting tomorrow, something which might require a code like T3D.