From cfa248e5da9694018efc957d2de57cb8c6bed547 Mon Sep 17 00:00:00 2001
From: Yuki Iwashita <yukiiwashita@users.noreply.github.com>
Date: Wed, 16 Oct 2024 09:55:48 +0100
Subject: [PATCH] Overnight Rate Cap Floor Model (#2677)

* overnight cap product

* tests

* javadoc

* line

* clean

* white spaces

* failing test for accrual
---
 .../opengamma/strata/product/ProductType.java |   7 +
 .../capfloor/OvernightInArrearsCapFloor.java  | 398 ++++++++
 .../OvernightInArrearsCapFloorLeg.java        | 888 ++++++++++++++++++
 .../OvernightInArrearsCapFloorTrade.java      | 516 ++++++++++
 ...vernightInArrearsCapletFloorletPeriod.java |   2 +-
 .../ResolvedOvernightInArrearsCapFloor.java   | 420 +++++++++
 ...ResolvedOvernightInArrearsCapFloorLeg.java | 468 +++++++++
 ...solvedOvernightInArrearsCapFloorTrade.java | 449 +++++++++
 .../OvernightInArrearsCapFloorLegTest.java    | 305 ++++++
 .../OvernightInArrearsCapFloorTest.java       | 167 ++++
 .../OvernightInArrearsCapFloorTradeTest.java  | 194 ++++
 ...lvedOvernightInArrearsCapFloorLegTest.java | 186 ++++
 ...esolvedOvernightInArrearsCapFloorTest.java | 176 ++++
 ...edOvernightInArrearsCapFloorTradeTest.java |  80 ++
 14 files changed, 4255 insertions(+), 1 deletion(-)
 create mode 100644 modules/product/src/main/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloor.java
 create mode 100644 modules/product/src/main/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorLeg.java
 create mode 100644 modules/product/src/main/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorTrade.java
 create mode 100644 modules/product/src/main/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloor.java
 create mode 100644 modules/product/src/main/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorLeg.java
 create mode 100644 modules/product/src/main/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorTrade.java
 create mode 100644 modules/product/src/test/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorLegTest.java
 create mode 100644 modules/product/src/test/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorTest.java
 create mode 100644 modules/product/src/test/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorTradeTest.java
 create mode 100644 modules/product/src/test/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorLegTest.java
 create mode 100644 modules/product/src/test/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorTest.java
 create mode 100644 modules/product/src/test/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorTradeTest.java

diff --git a/modules/product/src/main/java/com/opengamma/strata/product/ProductType.java b/modules/product/src/main/java/com/opengamma/strata/product/ProductType.java
index 270f7fd3ce..5d37f1aa5d 100644
--- a/modules/product/src/main/java/com/opengamma/strata/product/ProductType.java
+++ b/modules/product/src/main/java/com/opengamma/strata/product/ProductType.java
@@ -16,6 +16,7 @@
 import com.opengamma.strata.product.bond.CapitalIndexedBond;
 import com.opengamma.strata.product.bond.FixedCouponBond;
 import com.opengamma.strata.product.capfloor.IborCapFloor;
+import com.opengamma.strata.product.capfloor.OvernightInArrearsCapFloor;
 import com.opengamma.strata.product.cms.Cms;
 import com.opengamma.strata.product.credit.Cds;
 import com.opengamma.strata.product.credit.CdsIndex;
@@ -110,6 +111,12 @@ public final class ProductType
    * A {@link IborCapFloor}.
    */
   public static final ProductType IBOR_CAP_FLOOR = ProductType.of("IborCapFloor", "Cap/Floor");
+  /**
+   * A {@link OvernightInArrearsCapFloor}.
+   */
+  public static final ProductType OVERNIGHT_IN_ARREARS_CAP_FLOOR = ProductType.of(
+      "OvernightInArrearsCapFloor",
+      "Overnight In Arrears Cap/Floor");
   /**
    * A {@link IborFuture}.
    */
diff --git a/modules/product/src/main/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloor.java b/modules/product/src/main/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloor.java
new file mode 100644
index 0000000000..e47673bb9d
--- /dev/null
+++ b/modules/product/src/main/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloor.java
@@ -0,0 +1,398 @@
+/*
+ * Copyright (C) 2024 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.product.capfloor;
+
+import java.io.Serializable;
+import java.util.Map;
+import java.util.NoSuchElementException;
+import java.util.Optional;
+
+import org.joda.beans.Bean;
+import org.joda.beans.BeanBuilder;
+import org.joda.beans.ImmutableBean;
+import org.joda.beans.JodaBeanUtils;
+import org.joda.beans.MetaBean;
+import org.joda.beans.MetaProperty;
+import org.joda.beans.gen.BeanDefinition;
+import org.joda.beans.gen.ImmutableValidator;
+import org.joda.beans.gen.PropertyDefinition;
+import org.joda.beans.impl.direct.DirectMetaBean;
+import org.joda.beans.impl.direct.DirectMetaProperty;
+import org.joda.beans.impl.direct.DirectMetaPropertyMap;
+import org.joda.beans.impl.direct.DirectPrivateBeanBuilder;
+
+import com.google.common.collect.ImmutableSet;
+import com.opengamma.strata.basics.ReferenceData;
+import com.opengamma.strata.basics.Resolvable;
+import com.opengamma.strata.basics.currency.Currency;
+import com.opengamma.strata.basics.index.Index;
+import com.opengamma.strata.collect.ArgChecker;
+import com.opengamma.strata.product.Product;
+import com.opengamma.strata.product.swap.SwapLeg;
+
+/**
+ * An overnight rate in arrears cap/floor product.
+ * <p>
+ * The overnight rate in arrears cap/floor product consists of two legs, a cap/floor leg and a pay leg.
+ * The cap/floor leg involves a set of call/put options on successive compounded overnight index rates.
+ * The pay leg is any swap leg from a standard interest rate swap.
+ * The pay leg is absent for typical overnight rate in arrears cap/floor products,
+ * with the premium paid upfront instead, as defined in {@link OvernightInArrearsCapFloorTrade}.
+ */
+@BeanDefinition(builderScope = "private")
+public final class OvernightInArrearsCapFloor
+    implements Product, Resolvable<ResolvedOvernightInArrearsCapFloor>, ImmutableBean, Serializable {
+
+  /**
+   * The cap/floor leg of the product.
+   * <p>
+   * This is associated with periodic payments based on overnight index rate.
+   * The payments are caplets or floorlets.
+   */
+  @PropertyDefinition(validate = "notNull")
+  private final OvernightInArrearsCapFloorLeg capFloorLeg;
+  /**
+   * The optional pay leg of the product.
+   * <p>
+   * These periodic payments are not made for typical cap/floor products.
+   * Instead the premium is paid upfront.
+   */
+  @PropertyDefinition(get = "optional")
+  private final SwapLeg payLeg;
+
+  //-------------------------------------------------------------------------
+  /**
+   * Obtains an instance from a cap/floor leg with no pay leg.
+   * <p>
+   * The pay leg is absent in the resulting cap/floor.
+   *
+   * @param capFloorLeg the cap/floor leg
+   * @return the cap/floor
+   */
+  public static OvernightInArrearsCapFloor of(OvernightInArrearsCapFloorLeg capFloorLeg) {
+    return new OvernightInArrearsCapFloor(capFloorLeg, null);
+  }
+
+  /**
+   * Obtains an instance from a cap/floor leg and a pay leg.
+   *
+   * @param capFloorLeg the cap/floor leg
+   * @param payLeg the pay leg
+   * @return the cap/floor
+   */
+  public static OvernightInArrearsCapFloor of(OvernightInArrearsCapFloorLeg capFloorLeg, SwapLeg payLeg) {
+    return new OvernightInArrearsCapFloor(capFloorLeg, payLeg);
+  }
+
+  //-------------------------------------------------------------------------
+  @ImmutableValidator
+  private void validate() {
+    if (payLeg != null) {
+      ArgChecker.isFalse(
+          payLeg.getPayReceive().equals(capFloorLeg.getPayReceive()),
+          "Legs must have different Pay/Receive flag, but both were {}", payLeg.getPayReceive());
+    }
+  }
+
+  //-------------------------------------------------------------------------
+  @Override
+  public ImmutableSet<Currency> allPaymentCurrencies() {
+    if (payLeg == null) {
+      return ImmutableSet.of(capFloorLeg.getCurrency());
+    }
+    return ImmutableSet.of(capFloorLeg.getCurrency(), payLeg.getCurrency());
+  }
+
+  @Override
+  public ImmutableSet<Currency> allCurrencies() {
+    if (payLeg == null) {
+      return ImmutableSet.of(capFloorLeg.getCurrency());
+    }
+    ImmutableSet.Builder<Currency> builder = ImmutableSet.builder();
+    builder.add(capFloorLeg.getCurrency());
+    builder.addAll(payLeg.allCurrencies());
+    return builder.build();
+  }
+
+  /**
+   * Returns the set of indices referred to by the cap/floor.
+   * <p>
+   * A cap/floor will typically refer to one index, such as 'GBP-SONIA'.
+   * Calling this method will return the complete list of indices.
+   *
+   * @return the set of indices referred to by this cap/floor
+   */
+  public ImmutableSet<Index> allIndices() {
+    ImmutableSet.Builder<Index> builder = ImmutableSet.builder();
+    builder.add(capFloorLeg.getCalculation().getIndex());
+    if (payLeg != null) {
+      payLeg.collectIndices(builder);
+    }
+    return builder.build();
+  }
+
+  //-------------------------------------------------------------------------
+  @Override
+  public ResolvedOvernightInArrearsCapFloor resolve(ReferenceData refData) {
+    if (payLeg == null) {
+      return ResolvedOvernightInArrearsCapFloor.of(capFloorLeg.resolve(refData));
+    }
+    return ResolvedOvernightInArrearsCapFloor.of(capFloorLeg.resolve(refData), payLeg.resolve(refData));
+  }
+
+  //------------------------- AUTOGENERATED START -------------------------
+  /**
+   * The meta-bean for {@code OvernightInArrearsCapFloor}.
+   * @return the meta-bean, not null
+   */
+  public static OvernightInArrearsCapFloor.Meta meta() {
+    return OvernightInArrearsCapFloor.Meta.INSTANCE;
+  }
+
+  static {
+    MetaBean.register(OvernightInArrearsCapFloor.Meta.INSTANCE);
+  }
+
+  /**
+   * The serialization version id.
+   */
+  private static final long serialVersionUID = 1L;
+
+  private OvernightInArrearsCapFloor(
+      OvernightInArrearsCapFloorLeg capFloorLeg,
+      SwapLeg payLeg) {
+    JodaBeanUtils.notNull(capFloorLeg, "capFloorLeg");
+    this.capFloorLeg = capFloorLeg;
+    this.payLeg = payLeg;
+    validate();
+  }
+
+  @Override
+  public OvernightInArrearsCapFloor.Meta metaBean() {
+    return OvernightInArrearsCapFloor.Meta.INSTANCE;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the cap/floor leg of the product.
+   * <p>
+   * This is associated with periodic payments based on overnight index rate.
+   * The payments are caplets or floorlets.
+   * @return the value of the property, not null
+   */
+  public OvernightInArrearsCapFloorLeg getCapFloorLeg() {
+    return capFloorLeg;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the optional pay leg of the product.
+   * <p>
+   * These periodic payments are not made for typical cap/floor products.
+   * Instead the premium is paid upfront.
+   * @return the optional value of the property, not null
+   */
+  public Optional<SwapLeg> getPayLeg() {
+    return Optional.ofNullable(payLeg);
+  }
+
+  //-----------------------------------------------------------------------
+  @Override
+  public boolean equals(Object obj) {
+    if (obj == this) {
+      return true;
+    }
+    if (obj != null && obj.getClass() == this.getClass()) {
+      OvernightInArrearsCapFloor other = (OvernightInArrearsCapFloor) obj;
+      return JodaBeanUtils.equal(capFloorLeg, other.capFloorLeg) &&
+          JodaBeanUtils.equal(payLeg, other.payLeg);
+    }
+    return false;
+  }
+
+  @Override
+  public int hashCode() {
+    int hash = getClass().hashCode();
+    hash = hash * 31 + JodaBeanUtils.hashCode(capFloorLeg);
+    hash = hash * 31 + JodaBeanUtils.hashCode(payLeg);
+    return hash;
+  }
+
+  @Override
+  public String toString() {
+    StringBuilder buf = new StringBuilder(96);
+    buf.append("OvernightInArrearsCapFloor{");
+    buf.append("capFloorLeg").append('=').append(JodaBeanUtils.toString(capFloorLeg)).append(',').append(' ');
+    buf.append("payLeg").append('=').append(JodaBeanUtils.toString(payLeg));
+    buf.append('}');
+    return buf.toString();
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * The meta-bean for {@code OvernightInArrearsCapFloor}.
+   */
+  public static final class Meta extends DirectMetaBean {
+    /**
+     * The singleton instance of the meta-bean.
+     */
+    static final Meta INSTANCE = new Meta();
+
+    /**
+     * The meta-property for the {@code capFloorLeg} property.
+     */
+    private final MetaProperty<OvernightInArrearsCapFloorLeg> capFloorLeg = DirectMetaProperty.ofImmutable(
+        this, "capFloorLeg", OvernightInArrearsCapFloor.class, OvernightInArrearsCapFloorLeg.class);
+    /**
+     * The meta-property for the {@code payLeg} property.
+     */
+    private final MetaProperty<SwapLeg> payLeg = DirectMetaProperty.ofImmutable(
+        this, "payLeg", OvernightInArrearsCapFloor.class, SwapLeg.class);
+    /**
+     * The meta-properties.
+     */
+    private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
+        this, null,
+        "capFloorLeg",
+        "payLeg");
+
+    /**
+     * Restricted constructor.
+     */
+    private Meta() {
+    }
+
+    @Override
+    protected MetaProperty<?> metaPropertyGet(String propertyName) {
+      switch (propertyName.hashCode()) {
+        case 2124672084:  // capFloorLeg
+          return capFloorLeg;
+        case -995239866:  // payLeg
+          return payLeg;
+      }
+      return super.metaPropertyGet(propertyName);
+    }
+
+    @Override
+    public BeanBuilder<? extends OvernightInArrearsCapFloor> builder() {
+      return new OvernightInArrearsCapFloor.Builder();
+    }
+
+    @Override
+    public Class<? extends OvernightInArrearsCapFloor> beanType() {
+      return OvernightInArrearsCapFloor.class;
+    }
+
+    @Override
+    public Map<String, MetaProperty<?>> metaPropertyMap() {
+      return metaPropertyMap$;
+    }
+
+    //-----------------------------------------------------------------------
+    /**
+     * The meta-property for the {@code capFloorLeg} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<OvernightInArrearsCapFloorLeg> capFloorLeg() {
+      return capFloorLeg;
+    }
+
+    /**
+     * The meta-property for the {@code payLeg} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<SwapLeg> payLeg() {
+      return payLeg;
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
+      switch (propertyName.hashCode()) {
+        case 2124672084:  // capFloorLeg
+          return ((OvernightInArrearsCapFloor) bean).getCapFloorLeg();
+        case -995239866:  // payLeg
+          return ((OvernightInArrearsCapFloor) bean).payLeg;
+      }
+      return super.propertyGet(bean, propertyName, quiet);
+    }
+
+    @Override
+    protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) {
+      metaProperty(propertyName);
+      if (quiet) {
+        return;
+      }
+      throw new UnsupportedOperationException("Property cannot be written: " + propertyName);
+    }
+
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * The bean-builder for {@code OvernightInArrearsCapFloor}.
+   */
+  private static final class Builder extends DirectPrivateBeanBuilder<OvernightInArrearsCapFloor> {
+
+    private OvernightInArrearsCapFloorLeg capFloorLeg;
+    private SwapLeg payLeg;
+
+    /**
+     * Restricted constructor.
+     */
+    private Builder() {
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    public Object get(String propertyName) {
+      switch (propertyName.hashCode()) {
+        case 2124672084:  // capFloorLeg
+          return capFloorLeg;
+        case -995239866:  // payLeg
+          return payLeg;
+        default:
+          throw new NoSuchElementException("Unknown property: " + propertyName);
+      }
+    }
+
+    @Override
+    public Builder set(String propertyName, Object newValue) {
+      switch (propertyName.hashCode()) {
+        case 2124672084:  // capFloorLeg
+          this.capFloorLeg = (OvernightInArrearsCapFloorLeg) newValue;
+          break;
+        case -995239866:  // payLeg
+          this.payLeg = (SwapLeg) newValue;
+          break;
+        default:
+          throw new NoSuchElementException("Unknown property: " + propertyName);
+      }
+      return this;
+    }
+
+    @Override
+    public OvernightInArrearsCapFloor build() {
+      return new OvernightInArrearsCapFloor(
+          capFloorLeg,
+          payLeg);
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    public String toString() {
+      StringBuilder buf = new StringBuilder(96);
+      buf.append("OvernightInArrearsCapFloor.Builder{");
+      buf.append("capFloorLeg").append('=').append(JodaBeanUtils.toString(capFloorLeg)).append(',').append(' ');
+      buf.append("payLeg").append('=').append(JodaBeanUtils.toString(payLeg));
+      buf.append('}');
+      return buf.toString();
+    }
+
+  }
+
+  //-------------------------- AUTOGENERATED END --------------------------
+}
diff --git a/modules/product/src/main/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorLeg.java b/modules/product/src/main/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorLeg.java
new file mode 100644
index 0000000000..af60401eb9
--- /dev/null
+++ b/modules/product/src/main/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorLeg.java
@@ -0,0 +1,888 @@
+/*
+ * Copyright (C) 2024 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.product.capfloor;
+
+import java.io.Serializable;
+import java.time.LocalDate;
+import java.util.List;
+import java.util.Map;
+import java.util.NoSuchElementException;
+import java.util.Optional;
+
+import org.joda.beans.Bean;
+import org.joda.beans.ImmutableBean;
+import org.joda.beans.JodaBeanUtils;
+import org.joda.beans.MetaBean;
+import org.joda.beans.MetaProperty;
+import org.joda.beans.gen.BeanDefinition;
+import org.joda.beans.gen.ImmutableConstructor;
+import org.joda.beans.gen.ImmutableDefaults;
+import org.joda.beans.gen.PropertyDefinition;
+import org.joda.beans.impl.direct.DirectFieldsBeanBuilder;
+import org.joda.beans.impl.direct.DirectMetaBean;
+import org.joda.beans.impl.direct.DirectMetaProperty;
+import org.joda.beans.impl.direct.DirectMetaPropertyMap;
+
+import com.google.common.collect.ImmutableList;
+import com.opengamma.strata.basics.ReferenceData;
+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.date.DateAdjuster;
+import com.opengamma.strata.basics.date.DaysAdjustment;
+import com.opengamma.strata.basics.index.OvernightIndex;
+import com.opengamma.strata.basics.schedule.PeriodicSchedule;
+import com.opengamma.strata.basics.schedule.Schedule;
+import com.opengamma.strata.basics.schedule.SchedulePeriod;
+import com.opengamma.strata.basics.schedule.StubConvention;
+import com.opengamma.strata.basics.value.ValueSchedule;
+import com.opengamma.strata.collect.ArgChecker;
+import com.opengamma.strata.collect.array.DoubleArray;
+import com.opengamma.strata.product.common.PayReceive;
+import com.opengamma.strata.product.rate.OvernightCompoundedRateComputation;
+import com.opengamma.strata.product.swap.OvernightAccrualMethod;
+import com.opengamma.strata.product.swap.OvernightRateCalculation;
+import com.opengamma.strata.product.swap.RateAccrualPeriod;
+
+/**
+ * An overnight rate in arrears cap/floor leg of a cap/floor product.
+ * <p>
+ * This defines a single cap/floor leg for an overnight rate in arrears cap/floor product.
+ * The cap/floor instruments are defined as a set of call/put options on successive compounded overnight index rates.
+ * <p>
+ * The periodic payments in the resolved leg are caplets or floorlets depending on the data in this leg.
+ * The {@code capSchedule} field is used to represent strike values of individual caplets,
+ * whereas {@code floorSchedule} is used to represent strike values of individual floorlets.
+ * Either {@code capSchedule} or {@code floorSchedule} must be present, and not both.
+ */
+@BeanDefinition
+public final class OvernightInArrearsCapFloorLeg
+    implements Resolvable<ResolvedOvernightInArrearsCapFloorLeg>, ImmutableBean, Serializable {
+
+  /**
+   * Whether the leg is pay or receive.
+   * <p>
+   * 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.
+   */
+  @PropertyDefinition(validate = "notNull")
+  private final PayReceive payReceive;
+  /**
+   * The periodic payment schedule.
+   * <p>
+   * This is used to define the periodic payment periods.
+   * These are used directly or indirectly to determine other dates in the leg.
+   */
+  @PropertyDefinition(validate = "notNull")
+  private final PeriodicSchedule paymentSchedule;
+  /**
+   * The offset of payment from the base calculation period date, defaulted to 'None'.
+   * <p>
+   * The offset is applied to the adjusted end date of each payment period.
+   * Offset can be based on calendar days or business days.
+   */
+  @PropertyDefinition(validate = "notNull")
+  private final DaysAdjustment paymentDateOffset;
+  /**
+   * The currency of the leg associated with the notional.
+   * <p>
+   * This is the currency of the leg and the currency that payoff calculation is made in.
+   * The amounts of the notional are expressed in terms of this currency.
+   */
+  @PropertyDefinition(validate = "notNull")
+  private final Currency currency;
+  /**
+   * The notional amount, must be non-negative.
+   * <p>
+   * The notional amount applicable during the period.
+   * The currency of the notional is specified by {@code currency}.
+   */
+  @PropertyDefinition(validate = "notNull")
+  private final ValueSchedule notional;
+  /**
+   * The interest rate accrual calculation.
+   * <p>
+   * The interest rate accrual is based on overnight index.
+   * The overnight rate accrual method should be compounded.
+   */
+  @PropertyDefinition(validate = "notNull")
+  private final OvernightRateCalculation calculation;
+  /**
+   * The cap schedule, optional.
+   * <p>
+   * This defines the strike value of a cap as an initial value and a list of adjustments.
+   * Thus individual caplets may have different strike values.
+   * The cap rate is only allowed to change at payment period boundaries.
+   * <p>
+   * If the product is not a cap, the cap schedule will be absent.
+   */
+  @PropertyDefinition(get = "optional")
+  private final ValueSchedule capSchedule;
+  /**
+   * The floor schedule, optional.
+   * <p>
+   * This defines the strike value of a floor as an initial value and a list of adjustments.
+   * Thus individual floorlets may have different strike values.
+   * The floor rate is only allowed to change at payment period boundaries.
+   * <p>
+   * If the product is not a floor, the floor schedule will be absent.
+   */
+  @PropertyDefinition(get = "optional")
+  private final ValueSchedule floorSchedule;
+
+  //-------------------------------------------------------------------------
+  @ImmutableDefaults
+  private static void applyDefaults(Builder builder) {
+    builder.paymentDateOffset(DaysAdjustment.NONE);
+  }
+
+  @ImmutableConstructor
+  private OvernightInArrearsCapFloorLeg(
+      PayReceive payReceive,
+      PeriodicSchedule paymentSchedule,
+      DaysAdjustment paymentDateOffset,
+      Currency currency,
+      ValueSchedule notional,
+      OvernightRateCalculation calculation,
+      ValueSchedule capSchedule,
+      ValueSchedule floorSchedule) {
+
+    this.payReceive = ArgChecker.notNull(payReceive, "payReceive");
+    this.paymentSchedule = ArgChecker.notNull(paymentSchedule, "paymentSchedule");
+    this.paymentDateOffset = ArgChecker.notNull(paymentDateOffset, "paymentDateOffset");
+    this.currency = currency != null ? currency : calculation.getIndex().getCurrency();
+    this.notional = notional;
+    this.calculation = ArgChecker.notNull(calculation, "calculation");
+    this.capSchedule = capSchedule;
+    this.floorSchedule = floorSchedule;
+    ArgChecker.isTrue(!this.getPaymentSchedule().getStubConvention().isPresent() ||
+        this.getPaymentSchedule().getStubConvention().get().equals(StubConvention.NONE), "Stub period is not allowed");
+    ArgChecker.isFalse(this.getCapSchedule().isPresent() == this.getFloorSchedule().isPresent(),
+        "One of cap schedule and floor schedule should be empty");
+    ArgChecker.isTrue(this.getCalculation().getAccrualMethod().equals(OvernightAccrualMethod.COMPOUNDED),
+        "Overnight accrual method should be compounded");
+  }
+
+  //-------------------------------------------------------------------------
+  /**
+   * Gets the accrual start date of the leg.
+   * <p>
+   * This is the first accrual date in the leg, often known as the effective date.
+   *
+   * @return the start date of the leg
+   */
+  public AdjustableDate getStartDate() {
+    return paymentSchedule.calculatedStartDate();
+  }
+
+  /**
+   * Gets the accrual end date of the leg.
+   * <p>
+   * This is the last accrual date in the leg, often known as the termination date.
+   *
+   * @return the end date of the leg
+   */
+  public AdjustableDate getEndDate() {
+    return paymentSchedule.calculatedEndDate();
+  }
+
+  /**
+   * Gets the overnight index.
+   * <p>
+   * The rate to be paid is based on this index
+   * It will be a well known market index such as 'GBP-SONIA'.
+   *
+   * @return the overnight index
+   */
+  public OvernightIndex getIndex() {
+    return calculation.getIndex();
+  }
+
+  //-------------------------------------------------------------------------
+  @Override
+  public ResolvedOvernightInArrearsCapFloorLeg resolve(ReferenceData refData) {
+    Schedule adjustedSchedule = paymentSchedule.createSchedule(refData);
+    DoubleArray cap = getCapSchedule().isPresent() ? capSchedule.resolveValues(adjustedSchedule) : null;
+    DoubleArray floor = getFloorSchedule().isPresent() ? floorSchedule.resolveValues(adjustedSchedule) : null;
+    DoubleArray notionals = notional.resolveValues(adjustedSchedule);
+    List<RateAccrualPeriod> accrualPeriods = calculation.createAccrualPeriods(adjustedSchedule, adjustedSchedule, refData);
+    DateAdjuster paymentDateAdjuster = paymentDateOffset.resolve(refData);
+    ImmutableList.Builder<OvernightInArrearsCapletFloorletPeriod> periodsBuild = ImmutableList.builder();
+    for (int i = 0; i < adjustedSchedule.size(); i++) {
+      SchedulePeriod period = adjustedSchedule.getPeriod(i);
+      LocalDate paymentDate = paymentDateAdjuster.adjust(period.getEndDate());
+      double signedNotional = payReceive.normalize(notionals.get(i));
+      periodsBuild.add(OvernightInArrearsCapletFloorletPeriod.builder()
+          .unadjustedStartDate(period.getUnadjustedStartDate())
+          .unadjustedEndDate(period.getUnadjustedEndDate())
+          .startDate(period.getStartDate())
+          .endDate(period.getEndDate())
+          .overnightRate((OvernightCompoundedRateComputation) accrualPeriods.get(i).getRateComputation()) // arg checked
+          .paymentDate(paymentDate)
+          .notional(signedNotional)
+          .currency(currency)
+          .yearFraction(period.yearFraction(calculation.getDayCount(), adjustedSchedule))
+          .caplet(cap != null ? cap.get(i) : null)
+          .floorlet(floor != null ? floor.get(i) : null)
+          .build());
+    }
+    return ResolvedOvernightInArrearsCapFloorLeg.builder()
+        .capletFloorletPeriods(periodsBuild.build())
+        .payReceive(payReceive)
+        .build();
+  }
+
+  //------------------------- AUTOGENERATED START -------------------------
+  /**
+   * The meta-bean for {@code OvernightInArrearsCapFloorLeg}.
+   * @return the meta-bean, not null
+   */
+  public static OvernightInArrearsCapFloorLeg.Meta meta() {
+    return OvernightInArrearsCapFloorLeg.Meta.INSTANCE;
+  }
+
+  static {
+    MetaBean.register(OvernightInArrearsCapFloorLeg.Meta.INSTANCE);
+  }
+
+  /**
+   * The serialization version id.
+   */
+  private static final long serialVersionUID = 1L;
+
+  /**
+   * Returns a builder used to create an instance of the bean.
+   * @return the builder, not null
+   */
+  public static OvernightInArrearsCapFloorLeg.Builder builder() {
+    return new OvernightInArrearsCapFloorLeg.Builder();
+  }
+
+  @Override
+  public OvernightInArrearsCapFloorLeg.Meta metaBean() {
+    return OvernightInArrearsCapFloorLeg.Meta.INSTANCE;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets whether the leg is pay or receive.
+   * <p>
+   * 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.
+   * @return the value of the property, not null
+   */
+  public PayReceive getPayReceive() {
+    return payReceive;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the periodic payment schedule.
+   * <p>
+   * This is used to define the periodic payment periods.
+   * These are used directly or indirectly to determine other dates in the leg.
+   * @return the value of the property, not null
+   */
+  public PeriodicSchedule getPaymentSchedule() {
+    return paymentSchedule;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the offset of payment from the base calculation period date, defaulted to 'None'.
+   * <p>
+   * The offset is applied to the adjusted end date of each payment period.
+   * Offset can be based on calendar days or business days.
+   * @return the value of the property, not null
+   */
+  public DaysAdjustment getPaymentDateOffset() {
+    return paymentDateOffset;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the currency of the leg associated with the notional.
+   * <p>
+   * This is the currency of the leg and the currency that payoff calculation is made in.
+   * The amounts of the notional are expressed in terms of this currency.
+   * @return the value of the property, not null
+   */
+  public Currency getCurrency() {
+    return currency;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the notional amount, must be non-negative.
+   * <p>
+   * The notional amount applicable during the period.
+   * The currency of the notional is specified by {@code currency}.
+   * @return the value of the property, not null
+   */
+  public ValueSchedule getNotional() {
+    return notional;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the interest rate accrual calculation.
+   * <p>
+   * The interest rate accrual is based on overnight index.
+   * The overnight rate accrual method should be compounded.
+   * @return the value of the property, not null
+   */
+  public OvernightRateCalculation getCalculation() {
+    return calculation;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the cap schedule, optional.
+   * <p>
+   * This defines the strike value of a cap as an initial value and a list of adjustments.
+   * Thus individual caplets may have different strike values.
+   * The cap rate is only allowed to change at payment period boundaries.
+   * <p>
+   * If the product is not a cap, the cap schedule will be absent.
+   * @return the optional value of the property, not null
+   */
+  public Optional<ValueSchedule> getCapSchedule() {
+    return Optional.ofNullable(capSchedule);
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the floor schedule, optional.
+   * <p>
+   * This defines the strike value of a floor as an initial value and a list of adjustments.
+   * Thus individual floorlets may have different strike values.
+   * The floor rate is only allowed to change at payment period boundaries.
+   * <p>
+   * If the product is not a floor, the floor schedule will be absent.
+   * @return the optional value of the property, not null
+   */
+  public Optional<ValueSchedule> getFloorSchedule() {
+    return Optional.ofNullable(floorSchedule);
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Returns a builder that allows this bean to be mutated.
+   * @return the mutable builder, not null
+   */
+  public Builder toBuilder() {
+    return new Builder(this);
+  }
+
+  @Override
+  public boolean equals(Object obj) {
+    if (obj == this) {
+      return true;
+    }
+    if (obj != null && obj.getClass() == this.getClass()) {
+      OvernightInArrearsCapFloorLeg other = (OvernightInArrearsCapFloorLeg) obj;
+      return JodaBeanUtils.equal(payReceive, other.payReceive) &&
+          JodaBeanUtils.equal(paymentSchedule, other.paymentSchedule) &&
+          JodaBeanUtils.equal(paymentDateOffset, other.paymentDateOffset) &&
+          JodaBeanUtils.equal(currency, other.currency) &&
+          JodaBeanUtils.equal(notional, other.notional) &&
+          JodaBeanUtils.equal(calculation, other.calculation) &&
+          JodaBeanUtils.equal(capSchedule, other.capSchedule) &&
+          JodaBeanUtils.equal(floorSchedule, other.floorSchedule);
+    }
+    return false;
+  }
+
+  @Override
+  public int hashCode() {
+    int hash = getClass().hashCode();
+    hash = hash * 31 + JodaBeanUtils.hashCode(payReceive);
+    hash = hash * 31 + JodaBeanUtils.hashCode(paymentSchedule);
+    hash = hash * 31 + JodaBeanUtils.hashCode(paymentDateOffset);
+    hash = hash * 31 + JodaBeanUtils.hashCode(currency);
+    hash = hash * 31 + JodaBeanUtils.hashCode(notional);
+    hash = hash * 31 + JodaBeanUtils.hashCode(calculation);
+    hash = hash * 31 + JodaBeanUtils.hashCode(capSchedule);
+    hash = hash * 31 + JodaBeanUtils.hashCode(floorSchedule);
+    return hash;
+  }
+
+  @Override
+  public String toString() {
+    StringBuilder buf = new StringBuilder(288);
+    buf.append("OvernightInArrearsCapFloorLeg{");
+    buf.append("payReceive").append('=').append(JodaBeanUtils.toString(payReceive)).append(',').append(' ');
+    buf.append("paymentSchedule").append('=').append(JodaBeanUtils.toString(paymentSchedule)).append(',').append(' ');
+    buf.append("paymentDateOffset").append('=').append(JodaBeanUtils.toString(paymentDateOffset)).append(',').append(' ');
+    buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
+    buf.append("notional").append('=').append(JodaBeanUtils.toString(notional)).append(',').append(' ');
+    buf.append("calculation").append('=').append(JodaBeanUtils.toString(calculation)).append(',').append(' ');
+    buf.append("capSchedule").append('=').append(JodaBeanUtils.toString(capSchedule)).append(',').append(' ');
+    buf.append("floorSchedule").append('=').append(JodaBeanUtils.toString(floorSchedule));
+    buf.append('}');
+    return buf.toString();
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * The meta-bean for {@code OvernightInArrearsCapFloorLeg}.
+   */
+  public static final class Meta extends DirectMetaBean {
+    /**
+     * The singleton instance of the meta-bean.
+     */
+    static final Meta INSTANCE = new Meta();
+
+    /**
+     * The meta-property for the {@code payReceive} property.
+     */
+    private final MetaProperty<PayReceive> payReceive = DirectMetaProperty.ofImmutable(
+        this, "payReceive", OvernightInArrearsCapFloorLeg.class, PayReceive.class);
+    /**
+     * The meta-property for the {@code paymentSchedule} property.
+     */
+    private final MetaProperty<PeriodicSchedule> paymentSchedule = DirectMetaProperty.ofImmutable(
+        this, "paymentSchedule", OvernightInArrearsCapFloorLeg.class, PeriodicSchedule.class);
+    /**
+     * The meta-property for the {@code paymentDateOffset} property.
+     */
+    private final MetaProperty<DaysAdjustment> paymentDateOffset = DirectMetaProperty.ofImmutable(
+        this, "paymentDateOffset", OvernightInArrearsCapFloorLeg.class, DaysAdjustment.class);
+    /**
+     * The meta-property for the {@code currency} property.
+     */
+    private final MetaProperty<Currency> currency = DirectMetaProperty.ofImmutable(
+        this, "currency", OvernightInArrearsCapFloorLeg.class, Currency.class);
+    /**
+     * The meta-property for the {@code notional} property.
+     */
+    private final MetaProperty<ValueSchedule> notional = DirectMetaProperty.ofImmutable(
+        this, "notional", OvernightInArrearsCapFloorLeg.class, ValueSchedule.class);
+    /**
+     * The meta-property for the {@code calculation} property.
+     */
+    private final MetaProperty<OvernightRateCalculation> calculation = DirectMetaProperty.ofImmutable(
+        this, "calculation", OvernightInArrearsCapFloorLeg.class, OvernightRateCalculation.class);
+    /**
+     * The meta-property for the {@code capSchedule} property.
+     */
+    private final MetaProperty<ValueSchedule> capSchedule = DirectMetaProperty.ofImmutable(
+        this, "capSchedule", OvernightInArrearsCapFloorLeg.class, ValueSchedule.class);
+    /**
+     * The meta-property for the {@code floorSchedule} property.
+     */
+    private final MetaProperty<ValueSchedule> floorSchedule = DirectMetaProperty.ofImmutable(
+        this, "floorSchedule", OvernightInArrearsCapFloorLeg.class, ValueSchedule.class);
+    /**
+     * The meta-properties.
+     */
+    private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
+        this, null,
+        "payReceive",
+        "paymentSchedule",
+        "paymentDateOffset",
+        "currency",
+        "notional",
+        "calculation",
+        "capSchedule",
+        "floorSchedule");
+
+    /**
+     * Restricted constructor.
+     */
+    private Meta() {
+    }
+
+    @Override
+    protected MetaProperty<?> metaPropertyGet(String propertyName) {
+      switch (propertyName.hashCode()) {
+        case -885469925:  // payReceive
+          return payReceive;
+        case -1499086147:  // paymentSchedule
+          return paymentSchedule;
+        case -716438393:  // paymentDateOffset
+          return paymentDateOffset;
+        case 575402001:  // currency
+          return currency;
+        case 1585636160:  // notional
+          return notional;
+        case -934682935:  // calculation
+          return calculation;
+        case -596212599:  // capSchedule
+          return capSchedule;
+        case -1562227005:  // floorSchedule
+          return floorSchedule;
+      }
+      return super.metaPropertyGet(propertyName);
+    }
+
+    @Override
+    public OvernightInArrearsCapFloorLeg.Builder builder() {
+      return new OvernightInArrearsCapFloorLeg.Builder();
+    }
+
+    @Override
+    public Class<? extends OvernightInArrearsCapFloorLeg> beanType() {
+      return OvernightInArrearsCapFloorLeg.class;
+    }
+
+    @Override
+    public Map<String, MetaProperty<?>> metaPropertyMap() {
+      return metaPropertyMap$;
+    }
+
+    //-----------------------------------------------------------------------
+    /**
+     * The meta-property for the {@code payReceive} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<PayReceive> payReceive() {
+      return payReceive;
+    }
+
+    /**
+     * The meta-property for the {@code paymentSchedule} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<PeriodicSchedule> paymentSchedule() {
+      return paymentSchedule;
+    }
+
+    /**
+     * The meta-property for the {@code paymentDateOffset} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<DaysAdjustment> paymentDateOffset() {
+      return paymentDateOffset;
+    }
+
+    /**
+     * The meta-property for the {@code currency} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<Currency> currency() {
+      return currency;
+    }
+
+    /**
+     * The meta-property for the {@code notional} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<ValueSchedule> notional() {
+      return notional;
+    }
+
+    /**
+     * The meta-property for the {@code calculation} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<OvernightRateCalculation> calculation() {
+      return calculation;
+    }
+
+    /**
+     * The meta-property for the {@code capSchedule} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<ValueSchedule> capSchedule() {
+      return capSchedule;
+    }
+
+    /**
+     * The meta-property for the {@code floorSchedule} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<ValueSchedule> floorSchedule() {
+      return floorSchedule;
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
+      switch (propertyName.hashCode()) {
+        case -885469925:  // payReceive
+          return ((OvernightInArrearsCapFloorLeg) bean).getPayReceive();
+        case -1499086147:  // paymentSchedule
+          return ((OvernightInArrearsCapFloorLeg) bean).getPaymentSchedule();
+        case -716438393:  // paymentDateOffset
+          return ((OvernightInArrearsCapFloorLeg) bean).getPaymentDateOffset();
+        case 575402001:  // currency
+          return ((OvernightInArrearsCapFloorLeg) bean).getCurrency();
+        case 1585636160:  // notional
+          return ((OvernightInArrearsCapFloorLeg) bean).getNotional();
+        case -934682935:  // calculation
+          return ((OvernightInArrearsCapFloorLeg) bean).getCalculation();
+        case -596212599:  // capSchedule
+          return ((OvernightInArrearsCapFloorLeg) bean).capSchedule;
+        case -1562227005:  // floorSchedule
+          return ((OvernightInArrearsCapFloorLeg) bean).floorSchedule;
+      }
+      return super.propertyGet(bean, propertyName, quiet);
+    }
+
+    @Override
+    protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) {
+      metaProperty(propertyName);
+      if (quiet) {
+        return;
+      }
+      throw new UnsupportedOperationException("Property cannot be written: " + propertyName);
+    }
+
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * The bean-builder for {@code OvernightInArrearsCapFloorLeg}.
+   */
+  public static final class Builder extends DirectFieldsBeanBuilder<OvernightInArrearsCapFloorLeg> {
+
+    private PayReceive payReceive;
+    private PeriodicSchedule paymentSchedule;
+    private DaysAdjustment paymentDateOffset;
+    private Currency currency;
+    private ValueSchedule notional;
+    private OvernightRateCalculation calculation;
+    private ValueSchedule capSchedule;
+    private ValueSchedule floorSchedule;
+
+    /**
+     * Restricted constructor.
+     */
+    private Builder() {
+      applyDefaults(this);
+    }
+
+    /**
+     * Restricted copy constructor.
+     * @param beanToCopy  the bean to copy from, not null
+     */
+    private Builder(OvernightInArrearsCapFloorLeg beanToCopy) {
+      this.payReceive = beanToCopy.getPayReceive();
+      this.paymentSchedule = beanToCopy.getPaymentSchedule();
+      this.paymentDateOffset = beanToCopy.getPaymentDateOffset();
+      this.currency = beanToCopy.getCurrency();
+      this.notional = beanToCopy.getNotional();
+      this.calculation = beanToCopy.getCalculation();
+      this.capSchedule = beanToCopy.capSchedule;
+      this.floorSchedule = beanToCopy.floorSchedule;
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    public Object get(String propertyName) {
+      switch (propertyName.hashCode()) {
+        case -885469925:  // payReceive
+          return payReceive;
+        case -1499086147:  // paymentSchedule
+          return paymentSchedule;
+        case -716438393:  // paymentDateOffset
+          return paymentDateOffset;
+        case 575402001:  // currency
+          return currency;
+        case 1585636160:  // notional
+          return notional;
+        case -934682935:  // calculation
+          return calculation;
+        case -596212599:  // capSchedule
+          return capSchedule;
+        case -1562227005:  // floorSchedule
+          return floorSchedule;
+        default:
+          throw new NoSuchElementException("Unknown property: " + propertyName);
+      }
+    }
+
+    @Override
+    public Builder set(String propertyName, Object newValue) {
+      switch (propertyName.hashCode()) {
+        case -885469925:  // payReceive
+          this.payReceive = (PayReceive) newValue;
+          break;
+        case -1499086147:  // paymentSchedule
+          this.paymentSchedule = (PeriodicSchedule) newValue;
+          break;
+        case -716438393:  // paymentDateOffset
+          this.paymentDateOffset = (DaysAdjustment) newValue;
+          break;
+        case 575402001:  // currency
+          this.currency = (Currency) newValue;
+          break;
+        case 1585636160:  // notional
+          this.notional = (ValueSchedule) newValue;
+          break;
+        case -934682935:  // calculation
+          this.calculation = (OvernightRateCalculation) newValue;
+          break;
+        case -596212599:  // capSchedule
+          this.capSchedule = (ValueSchedule) newValue;
+          break;
+        case -1562227005:  // floorSchedule
+          this.floorSchedule = (ValueSchedule) newValue;
+          break;
+        default:
+          throw new NoSuchElementException("Unknown property: " + propertyName);
+      }
+      return this;
+    }
+
+    @Override
+    public Builder set(MetaProperty<?> property, Object value) {
+      super.set(property, value);
+      return this;
+    }
+
+    @Override
+    public OvernightInArrearsCapFloorLeg build() {
+      return new OvernightInArrearsCapFloorLeg(
+          payReceive,
+          paymentSchedule,
+          paymentDateOffset,
+          currency,
+          notional,
+          calculation,
+          capSchedule,
+          floorSchedule);
+    }
+
+    //-----------------------------------------------------------------------
+    /**
+     * Sets whether the leg is pay or receive.
+     * <p>
+     * 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.
+     * @param payReceive  the new value, not null
+     * @return this, for chaining, not null
+     */
+    public Builder payReceive(PayReceive payReceive) {
+      JodaBeanUtils.notNull(payReceive, "payReceive");
+      this.payReceive = payReceive;
+      return this;
+    }
+
+    /**
+     * Sets the periodic payment schedule.
+     * <p>
+     * This is used to define the periodic payment periods.
+     * These are used directly or indirectly to determine other dates in the leg.
+     * @param paymentSchedule  the new value, not null
+     * @return this, for chaining, not null
+     */
+    public Builder paymentSchedule(PeriodicSchedule paymentSchedule) {
+      JodaBeanUtils.notNull(paymentSchedule, "paymentSchedule");
+      this.paymentSchedule = paymentSchedule;
+      return this;
+    }
+
+    /**
+     * Sets the offset of payment from the base calculation period date, defaulted to 'None'.
+     * <p>
+     * The offset is applied to the adjusted end date of each payment period.
+     * Offset can be based on calendar days or business days.
+     * @param paymentDateOffset  the new value, not null
+     * @return this, for chaining, not null
+     */
+    public Builder paymentDateOffset(DaysAdjustment paymentDateOffset) {
+      JodaBeanUtils.notNull(paymentDateOffset, "paymentDateOffset");
+      this.paymentDateOffset = paymentDateOffset;
+      return this;
+    }
+
+    /**
+     * Sets the currency of the leg associated with the notional.
+     * <p>
+     * This is the currency of the leg and the currency that payoff calculation is made in.
+     * The amounts of the notional are expressed in terms of this currency.
+     * @param currency  the new value, not null
+     * @return this, for chaining, not null
+     */
+    public Builder currency(Currency currency) {
+      JodaBeanUtils.notNull(currency, "currency");
+      this.currency = currency;
+      return this;
+    }
+
+    /**
+     * Sets the notional amount, must be non-negative.
+     * <p>
+     * The notional amount applicable during the period.
+     * The currency of the notional is specified by {@code currency}.
+     * @param notional  the new value, not null
+     * @return this, for chaining, not null
+     */
+    public Builder notional(ValueSchedule notional) {
+      JodaBeanUtils.notNull(notional, "notional");
+      this.notional = notional;
+      return this;
+    }
+
+    /**
+     * Sets the interest rate accrual calculation.
+     * <p>
+     * The interest rate accrual is based on overnight index.
+     * The overnight rate accrual method should be compounded.
+     * @param calculation  the new value, not null
+     * @return this, for chaining, not null
+     */
+    public Builder calculation(OvernightRateCalculation calculation) {
+      JodaBeanUtils.notNull(calculation, "calculation");
+      this.calculation = calculation;
+      return this;
+    }
+
+    /**
+     * Sets the cap schedule, optional.
+     * <p>
+     * This defines the strike value of a cap as an initial value and a list of adjustments.
+     * Thus individual caplets may have different strike values.
+     * The cap rate is only allowed to change at payment period boundaries.
+     * <p>
+     * If the product is not a cap, the cap schedule will be absent.
+     * @param capSchedule  the new value
+     * @return this, for chaining, not null
+     */
+    public Builder capSchedule(ValueSchedule capSchedule) {
+      this.capSchedule = capSchedule;
+      return this;
+    }
+
+    /**
+     * Sets the floor schedule, optional.
+     * <p>
+     * This defines the strike value of a floor as an initial value and a list of adjustments.
+     * Thus individual floorlets may have different strike values.
+     * The floor rate is only allowed to change at payment period boundaries.
+     * <p>
+     * If the product is not a floor, the floor schedule will be absent.
+     * @param floorSchedule  the new value
+     * @return this, for chaining, not null
+     */
+    public Builder floorSchedule(ValueSchedule floorSchedule) {
+      this.floorSchedule = floorSchedule;
+      return this;
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    public String toString() {
+      StringBuilder buf = new StringBuilder(288);
+      buf.append("OvernightInArrearsCapFloorLeg.Builder{");
+      buf.append("payReceive").append('=').append(JodaBeanUtils.toString(payReceive)).append(',').append(' ');
+      buf.append("paymentSchedule").append('=').append(JodaBeanUtils.toString(paymentSchedule)).append(',').append(' ');
+      buf.append("paymentDateOffset").append('=').append(JodaBeanUtils.toString(paymentDateOffset)).append(',').append(' ');
+      buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
+      buf.append("notional").append('=').append(JodaBeanUtils.toString(notional)).append(',').append(' ');
+      buf.append("calculation").append('=').append(JodaBeanUtils.toString(calculation)).append(',').append(' ');
+      buf.append("capSchedule").append('=').append(JodaBeanUtils.toString(capSchedule)).append(',').append(' ');
+      buf.append("floorSchedule").append('=').append(JodaBeanUtils.toString(floorSchedule));
+      buf.append('}');
+      return buf.toString();
+    }
+
+  }
+
+  //-------------------------- AUTOGENERATED END --------------------------
+}
diff --git a/modules/product/src/main/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorTrade.java b/modules/product/src/main/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorTrade.java
new file mode 100644
index 0000000000..e9c195814a
--- /dev/null
+++ b/modules/product/src/main/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorTrade.java
@@ -0,0 +1,516 @@
+/*
+ * Copyright (C) 2024 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.product.capfloor;
+
+import java.io.Serializable;
+import java.util.Map;
+import java.util.NoSuchElementException;
+import java.util.Optional;
+
+import org.joda.beans.Bean;
+import org.joda.beans.ImmutableBean;
+import org.joda.beans.JodaBeanUtils;
+import org.joda.beans.MetaBean;
+import org.joda.beans.MetaProperty;
+import org.joda.beans.gen.BeanDefinition;
+import org.joda.beans.gen.ImmutableDefaults;
+import org.joda.beans.gen.PropertyDefinition;
+import org.joda.beans.impl.direct.DirectFieldsBeanBuilder;
+import org.joda.beans.impl.direct.DirectMetaBean;
+import org.joda.beans.impl.direct.DirectMetaProperty;
+import org.joda.beans.impl.direct.DirectMetaPropertyMap;
+
+import com.opengamma.strata.basics.ReferenceData;
+import com.opengamma.strata.basics.currency.AdjustablePayment;
+import com.opengamma.strata.product.PortfolioItemInfo;
+import com.opengamma.strata.product.PortfolioItemSummary;
+import com.opengamma.strata.product.ProductTrade;
+import com.opengamma.strata.product.ProductType;
+import com.opengamma.strata.product.ResolvableTrade;
+import com.opengamma.strata.product.TradeInfo;
+import com.opengamma.strata.product.common.SummarizerUtils;
+
+/**
+ * A trade in an overnight rate in arrears cap/floor.
+ * <p>
+ * An Over-The-Counter (OTC) trade in a {@link OvernightInArrearsCapFloor}.
+ * <p>
+ * An overnight rate in arrears cap/floor is a financial instrument that provides a set of call/put options on
+ * successive compounded overnight index rates.
+ */
+@BeanDefinition
+public final class OvernightInArrearsCapFloorTrade
+    implements ProductTrade, ResolvableTrade<ResolvedOvernightInArrearsCapFloorTrade>, ImmutableBean, Serializable {
+
+  /**
+   * The additional trade information, defaulted to an empty instance.
+   * <p>
+   * This allows additional information to be attached to the trade.
+   */
+  @PropertyDefinition(validate = "notNull", overrideGet = true)
+  private final TradeInfo info;
+  /**
+   * The cap/floor product that was agreed when the trade occurred.
+   * <p>
+   * The product captures the contracted financial details of the trade.
+   */
+  @PropertyDefinition(validate = "notNull", overrideGet = true)
+  private final OvernightInArrearsCapFloor product;
+  /**
+   * The optional premium of the product.
+   * <p>
+   * For most cap/floor products, a premium is paid upfront. This typically occurs instead
+   * of periodic payments based on fixed or rate index rates over the lifetime of the product.
+   * <p>
+   * The premium sign must be compatible with the product Pay/Receive flag.
+   */
+  @PropertyDefinition(get = "optional")
+  private final AdjustablePayment premium;
+
+  //-------------------------------------------------------------------------
+  @ImmutableDefaults
+  private static void applyDefaults(Builder builder) {
+    builder.info = TradeInfo.empty();
+  }
+
+  //-------------------------------------------------------------------------
+  @Override
+  public OvernightInArrearsCapFloorTrade withInfo(PortfolioItemInfo info) {
+    return new OvernightInArrearsCapFloorTrade(TradeInfo.from(info), product, premium);
+  }
+
+  //-------------------------------------------------------------------------
+  @Override
+  public PortfolioItemSummary summarize() {
+    // 5Y USD 2mm Rec Compounded USD-SOFR Cap 1% / Pay Premium : 21Jan17-21Jan22
+    StringBuilder buf = new StringBuilder(96);
+    OvernightInArrearsCapFloorLeg mainLeg = product.getCapFloorLeg();
+    buf.append(
+        SummarizerUtils.datePeriod(
+        mainLeg.getStartDate().getUnadjusted(),
+        mainLeg.getEndDate().getUnadjusted()));
+    buf.append(' ');
+    buf.append(SummarizerUtils.amount(mainLeg.getCurrency(), mainLeg.getNotional().getInitialValue()));
+    buf.append(' ');
+    if (mainLeg.getPayReceive().isReceive()) {
+      buf.append("Rec ");
+      summarizeMainLeg(mainLeg, buf);
+      buf.append(getPremium().isPresent() ?
+          " / Pay Premium" :
+          (product.getPayLeg().isPresent() ? " /  Pay Periodic" : ""));
+    } else {
+      buf.append(getPremium().isPresent() ?
+          "Rec Premium / Pay " :
+          (product.getPayLeg().isPresent() ? "Rec Periodic / Pay " : ""));
+      summarizeMainLeg(mainLeg, buf);
+    }
+    buf.append(" : ");
+    buf.append(SummarizerUtils.dateRange(mainLeg.getStartDate().getUnadjusted(), mainLeg.getEndDate().getUnadjusted()));
+    return SummarizerUtils.summary(
+        this,
+        ProductType.OVERNIGHT_IN_ARREARS_CAP_FLOOR,
+        buf.toString(),
+        mainLeg.getCurrency());
+  }
+
+  // summarize the main leg
+  private void summarizeMainLeg(OvernightInArrearsCapFloorLeg mainLeg, StringBuilder buf) {
+    buf.append(mainLeg.getCalculation().getAccrualMethod());
+    buf.append(' ');
+    buf.append(mainLeg.getIndex());
+    buf.append(' ');
+    if (mainLeg.getCapSchedule().isPresent()) {
+      buf.append("Cap ");
+      buf.append(SummarizerUtils.percent(mainLeg.getCapSchedule().get().getInitialValue()));
+    }
+    if (mainLeg.getFloorSchedule().isPresent()) {
+      buf.append("Floor ");
+      buf.append(SummarizerUtils.percent(mainLeg.getFloorSchedule().get().getInitialValue()));
+    }
+  }
+
+  @Override
+  public ResolvedOvernightInArrearsCapFloorTrade resolve(ReferenceData refData) {
+    return ResolvedOvernightInArrearsCapFloorTrade.builder()
+        .info(info)
+        .product(product.resolve(refData))
+        .premium(premium != null ? premium.resolve(refData) : null)
+        .build();
+  }
+
+  //------------------------- AUTOGENERATED START -------------------------
+  /**
+   * The meta-bean for {@code OvernightInArrearsCapFloorTrade}.
+   * @return the meta-bean, not null
+   */
+  public static OvernightInArrearsCapFloorTrade.Meta meta() {
+    return OvernightInArrearsCapFloorTrade.Meta.INSTANCE;
+  }
+
+  static {
+    MetaBean.register(OvernightInArrearsCapFloorTrade.Meta.INSTANCE);
+  }
+
+  /**
+   * The serialization version id.
+   */
+  private static final long serialVersionUID = 1L;
+
+  /**
+   * Returns a builder used to create an instance of the bean.
+   * @return the builder, not null
+   */
+  public static OvernightInArrearsCapFloorTrade.Builder builder() {
+    return new OvernightInArrearsCapFloorTrade.Builder();
+  }
+
+  private OvernightInArrearsCapFloorTrade(
+      TradeInfo info,
+      OvernightInArrearsCapFloor product,
+      AdjustablePayment premium) {
+    JodaBeanUtils.notNull(info, "info");
+    JodaBeanUtils.notNull(product, "product");
+    this.info = info;
+    this.product = product;
+    this.premium = premium;
+  }
+
+  @Override
+  public OvernightInArrearsCapFloorTrade.Meta metaBean() {
+    return OvernightInArrearsCapFloorTrade.Meta.INSTANCE;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the additional trade information, defaulted to an empty instance.
+   * <p>
+   * This allows additional information to be attached to the trade.
+   * @return the value of the property, not null
+   */
+  @Override
+  public TradeInfo getInfo() {
+    return info;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the cap/floor product that was agreed when the trade occurred.
+   * <p>
+   * The product captures the contracted financial details of the trade.
+   * @return the value of the property, not null
+   */
+  @Override
+  public OvernightInArrearsCapFloor getProduct() {
+    return product;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the optional premium of the product.
+   * <p>
+   * For most cap/floor products, a premium is paid upfront. This typically occurs instead
+   * of periodic payments based on fixed or rate index rates over the lifetime of the product.
+   * <p>
+   * The premium sign must be compatible with the product Pay/Receive flag.
+   * @return the optional value of the property, not null
+   */
+  public Optional<AdjustablePayment> getPremium() {
+    return Optional.ofNullable(premium);
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Returns a builder that allows this bean to be mutated.
+   * @return the mutable builder, not null
+   */
+  public Builder toBuilder() {
+    return new Builder(this);
+  }
+
+  @Override
+  public boolean equals(Object obj) {
+    if (obj == this) {
+      return true;
+    }
+    if (obj != null && obj.getClass() == this.getClass()) {
+      OvernightInArrearsCapFloorTrade other = (OvernightInArrearsCapFloorTrade) obj;
+      return JodaBeanUtils.equal(info, other.info) &&
+          JodaBeanUtils.equal(product, other.product) &&
+          JodaBeanUtils.equal(premium, other.premium);
+    }
+    return false;
+  }
+
+  @Override
+  public int hashCode() {
+    int hash = getClass().hashCode();
+    hash = hash * 31 + JodaBeanUtils.hashCode(info);
+    hash = hash * 31 + JodaBeanUtils.hashCode(product);
+    hash = hash * 31 + JodaBeanUtils.hashCode(premium);
+    return hash;
+  }
+
+  @Override
+  public String toString() {
+    StringBuilder buf = new StringBuilder(128);
+    buf.append("OvernightInArrearsCapFloorTrade{");
+    buf.append("info").append('=').append(JodaBeanUtils.toString(info)).append(',').append(' ');
+    buf.append("product").append('=').append(JodaBeanUtils.toString(product)).append(',').append(' ');
+    buf.append("premium").append('=').append(JodaBeanUtils.toString(premium));
+    buf.append('}');
+    return buf.toString();
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * The meta-bean for {@code OvernightInArrearsCapFloorTrade}.
+   */
+  public static final class Meta extends DirectMetaBean {
+    /**
+     * The singleton instance of the meta-bean.
+     */
+    static final Meta INSTANCE = new Meta();
+
+    /**
+     * The meta-property for the {@code info} property.
+     */
+    private final MetaProperty<TradeInfo> info = DirectMetaProperty.ofImmutable(
+        this, "info", OvernightInArrearsCapFloorTrade.class, TradeInfo.class);
+    /**
+     * The meta-property for the {@code product} property.
+     */
+    private final MetaProperty<OvernightInArrearsCapFloor> product = DirectMetaProperty.ofImmutable(
+        this, "product", OvernightInArrearsCapFloorTrade.class, OvernightInArrearsCapFloor.class);
+    /**
+     * The meta-property for the {@code premium} property.
+     */
+    private final MetaProperty<AdjustablePayment> premium = DirectMetaProperty.ofImmutable(
+        this, "premium", OvernightInArrearsCapFloorTrade.class, AdjustablePayment.class);
+    /**
+     * The meta-properties.
+     */
+    private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
+        this, null,
+        "info",
+        "product",
+        "premium");
+
+    /**
+     * Restricted constructor.
+     */
+    private Meta() {
+    }
+
+    @Override
+    protected MetaProperty<?> metaPropertyGet(String propertyName) {
+      switch (propertyName.hashCode()) {
+        case 3237038:  // info
+          return info;
+        case -309474065:  // product
+          return product;
+        case -318452137:  // premium
+          return premium;
+      }
+      return super.metaPropertyGet(propertyName);
+    }
+
+    @Override
+    public OvernightInArrearsCapFloorTrade.Builder builder() {
+      return new OvernightInArrearsCapFloorTrade.Builder();
+    }
+
+    @Override
+    public Class<? extends OvernightInArrearsCapFloorTrade> beanType() {
+      return OvernightInArrearsCapFloorTrade.class;
+    }
+
+    @Override
+    public Map<String, MetaProperty<?>> metaPropertyMap() {
+      return metaPropertyMap$;
+    }
+
+    //-----------------------------------------------------------------------
+    /**
+     * The meta-property for the {@code info} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<TradeInfo> info() {
+      return info;
+    }
+
+    /**
+     * The meta-property for the {@code product} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<OvernightInArrearsCapFloor> product() {
+      return product;
+    }
+
+    /**
+     * The meta-property for the {@code premium} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<AdjustablePayment> premium() {
+      return premium;
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
+      switch (propertyName.hashCode()) {
+        case 3237038:  // info
+          return ((OvernightInArrearsCapFloorTrade) bean).getInfo();
+        case -309474065:  // product
+          return ((OvernightInArrearsCapFloorTrade) bean).getProduct();
+        case -318452137:  // premium
+          return ((OvernightInArrearsCapFloorTrade) bean).premium;
+      }
+      return super.propertyGet(bean, propertyName, quiet);
+    }
+
+    @Override
+    protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) {
+      metaProperty(propertyName);
+      if (quiet) {
+        return;
+      }
+      throw new UnsupportedOperationException("Property cannot be written: " + propertyName);
+    }
+
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * The bean-builder for {@code OvernightInArrearsCapFloorTrade}.
+   */
+  public static final class Builder extends DirectFieldsBeanBuilder<OvernightInArrearsCapFloorTrade> {
+
+    private TradeInfo info;
+    private OvernightInArrearsCapFloor product;
+    private AdjustablePayment premium;
+
+    /**
+     * Restricted constructor.
+     */
+    private Builder() {
+      applyDefaults(this);
+    }
+
+    /**
+     * Restricted copy constructor.
+     * @param beanToCopy  the bean to copy from, not null
+     */
+    private Builder(OvernightInArrearsCapFloorTrade beanToCopy) {
+      this.info = beanToCopy.getInfo();
+      this.product = beanToCopy.getProduct();
+      this.premium = beanToCopy.premium;
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    public Object get(String propertyName) {
+      switch (propertyName.hashCode()) {
+        case 3237038:  // info
+          return info;
+        case -309474065:  // product
+          return product;
+        case -318452137:  // premium
+          return premium;
+        default:
+          throw new NoSuchElementException("Unknown property: " + propertyName);
+      }
+    }
+
+    @Override
+    public Builder set(String propertyName, Object newValue) {
+      switch (propertyName.hashCode()) {
+        case 3237038:  // info
+          this.info = (TradeInfo) newValue;
+          break;
+        case -309474065:  // product
+          this.product = (OvernightInArrearsCapFloor) newValue;
+          break;
+        case -318452137:  // premium
+          this.premium = (AdjustablePayment) newValue;
+          break;
+        default:
+          throw new NoSuchElementException("Unknown property: " + propertyName);
+      }
+      return this;
+    }
+
+    @Override
+    public Builder set(MetaProperty<?> property, Object value) {
+      super.set(property, value);
+      return this;
+    }
+
+    @Override
+    public OvernightInArrearsCapFloorTrade build() {
+      return new OvernightInArrearsCapFloorTrade(
+          info,
+          product,
+          premium);
+    }
+
+    //-----------------------------------------------------------------------
+    /**
+     * Sets the additional trade information, defaulted to an empty instance.
+     * <p>
+     * This allows additional information to be attached to the trade.
+     * @param info  the new value, not null
+     * @return this, for chaining, not null
+     */
+    public Builder info(TradeInfo info) {
+      JodaBeanUtils.notNull(info, "info");
+      this.info = info;
+      return this;
+    }
+
+    /**
+     * Sets the cap/floor product that was agreed when the trade occurred.
+     * <p>
+     * The product captures the contracted financial details of the trade.
+     * @param product  the new value, not null
+     * @return this, for chaining, not null
+     */
+    public Builder product(OvernightInArrearsCapFloor product) {
+      JodaBeanUtils.notNull(product, "product");
+      this.product = product;
+      return this;
+    }
+
+    /**
+     * Sets the optional premium of the product.
+     * <p>
+     * For most cap/floor products, a premium is paid upfront. This typically occurs instead
+     * of periodic payments based on fixed or rate index rates over the lifetime of the product.
+     * <p>
+     * The premium sign must be compatible with the product Pay/Receive flag.
+     * @param premium  the new value
+     * @return this, for chaining, not null
+     */
+    public Builder premium(AdjustablePayment premium) {
+      this.premium = premium;
+      return this;
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    public String toString() {
+      StringBuilder buf = new StringBuilder(128);
+      buf.append("OvernightInArrearsCapFloorTrade.Builder{");
+      buf.append("info").append('=').append(JodaBeanUtils.toString(info)).append(',').append(' ');
+      buf.append("product").append('=').append(JodaBeanUtils.toString(product)).append(',').append(' ');
+      buf.append("premium").append('=').append(JodaBeanUtils.toString(premium));
+      buf.append('}');
+      return buf.toString();
+    }
+
+  }
+
+  //-------------------------- AUTOGENERATED END --------------------------
+}
diff --git a/modules/product/src/main/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapletFloorletPeriod.java b/modules/product/src/main/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapletFloorletPeriod.java
index 66ed183438..2d33087b80 100644
--- a/modules/product/src/main/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapletFloorletPeriod.java
+++ b/modules/product/src/main/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapletFloorletPeriod.java
@@ -35,7 +35,7 @@
 import com.opengamma.strata.product.rate.OvernightCompoundedRateComputation;
 
 /**
- * A period over which an caplet/floorlet on overnight composition in-arrears is paid. 
+ * A period over which a caplet/floorlet on overnight composition in-arrears is paid.
  * <p>
  * The payoff depend on the level of the compounded rate over the period. The option is 
  * of Asian type with the averaging mechanism given by the composition.
diff --git a/modules/product/src/main/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloor.java b/modules/product/src/main/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloor.java
new file mode 100644
index 0000000000..314cebe2c8
--- /dev/null
+++ b/modules/product/src/main/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloor.java
@@ -0,0 +1,420 @@
+/*
+ * Copyright (C) 2024 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.product.capfloor;
+
+import java.io.Serializable;
+import java.util.Map;
+import java.util.NoSuchElementException;
+import java.util.Optional;
+
+import org.joda.beans.Bean;
+import org.joda.beans.BeanBuilder;
+import org.joda.beans.ImmutableBean;
+import org.joda.beans.JodaBeanUtils;
+import org.joda.beans.MetaBean;
+import org.joda.beans.MetaProperty;
+import org.joda.beans.gen.BeanDefinition;
+import org.joda.beans.gen.ImmutableConstructor;
+import org.joda.beans.gen.PropertyDefinition;
+import org.joda.beans.impl.direct.DirectMetaBean;
+import org.joda.beans.impl.direct.DirectMetaProperty;
+import org.joda.beans.impl.direct.DirectMetaPropertyMap;
+import org.joda.beans.impl.direct.DirectPrivateBeanBuilder;
+
+import com.google.common.collect.ImmutableSet;
+import com.opengamma.strata.basics.ReferenceData;
+import com.opengamma.strata.basics.currency.Currency;
+import com.opengamma.strata.basics.index.Index;
+import com.opengamma.strata.collect.ArgChecker;
+import com.opengamma.strata.product.ResolvedProduct;
+import com.opengamma.strata.product.swap.ResolvedSwapLeg;
+
+/**
+ * An overnight rate in arrears cap/floor, resolved for pricing.
+ * <p>
+ * This is the resolved form of {@link OvernightInArrearsCapFloor} and is an input to the pricers.
+ * Applications will typically create a {@code ResolvedOvernightInArrearsCapFloor}
+ * from a {@code OvernightInArrearsCapFloor} using {@link OvernightInArrearsCapFloor#resolve(ReferenceData)}.
+ * <p>
+ * A {@code ResolvedOvernightInArrearsCapFloor} is 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.
+ */
+@BeanDefinition(builderScope = "private")
+public final class ResolvedOvernightInArrearsCapFloor
+    implements ResolvedProduct, ImmutableBean, Serializable {
+
+  /**
+   * The overnight rate in arrears cap/floor leg of the product.
+   * <p>
+   * This is associated with periodic payments based on overnight index rate.
+   * The payments are overnight rate in arrears caplets or floorlets.
+   */
+  @PropertyDefinition(validate = "notNull")
+  private final ResolvedOvernightInArrearsCapFloorLeg capFloorLeg;
+  /**
+   * The optional pay leg of the product.
+   * <p>
+   * These periodic payments are not made for typical cap/floor products. Instead the premium is paid upfront.
+   */
+  @PropertyDefinition(get = "optional")
+  private final ResolvedSwapLeg payLeg;
+  /**
+   * The set of currencies.
+   */
+  private final transient ImmutableSet<Currency> currencies;  // not a property, derived and cached from input data
+  /**
+   * The set of indices.
+   */
+  private final transient ImmutableSet<Index> indices;  // not a property, derived and cached from input data
+
+  //-------------------------------------------------------------------------
+  /**
+   * Obtains an instance from a cap/floor leg with no pay leg.
+   * <p>
+   * The pay leg is absent in the resulting cap/floor.
+   *
+   * @param capFloorLeg the cap/floor leg
+   * @return the cap/floor
+   */
+  public static ResolvedOvernightInArrearsCapFloor of(ResolvedOvernightInArrearsCapFloorLeg capFloorLeg) {
+    ArgChecker.notNull(capFloorLeg, "capFloorLeg");
+    return new ResolvedOvernightInArrearsCapFloor(capFloorLeg, null);
+  }
+
+  /**
+   * Obtains an instance from a cap/floor leg and a pay leg.
+   *
+   * @param capFloorLeg the cap/floor leg
+   * @param payLeg the pay leg
+   * @return the cap/floor
+   */
+  public static ResolvedOvernightInArrearsCapFloor of(
+      ResolvedOvernightInArrearsCapFloorLeg capFloorLeg,
+      ResolvedSwapLeg payLeg) {
+
+    ArgChecker.notNull(capFloorLeg, "capFloorLeg");
+    ArgChecker.notNull(payLeg, "payLeg");
+    return new ResolvedOvernightInArrearsCapFloor(capFloorLeg, payLeg);
+  }
+
+  //-------------------------------------------------------------------------
+  @ImmutableConstructor
+  private ResolvedOvernightInArrearsCapFloor(
+      ResolvedOvernightInArrearsCapFloorLeg capFloorLeg,
+      ResolvedSwapLeg payLeg) {
+
+    JodaBeanUtils.notNull(capFloorLeg, "capFloorLeg");
+    if (payLeg != null) {
+      ArgChecker.isFalse(
+          payLeg.getPayReceive().equals(capFloorLeg.getPayReceive()),
+          "Legs must have different Pay/Receive flag, but both were {}", payLeg.getPayReceive());
+    }
+    this.capFloorLeg = capFloorLeg;
+    this.payLeg = payLeg;
+    this.currencies = buildCurrencies(capFloorLeg, payLeg);
+    this.indices = buildIndices(capFloorLeg, payLeg);
+  }
+
+  // collect the set of currencies
+  private static ImmutableSet<Currency> buildCurrencies(
+      ResolvedOvernightInArrearsCapFloorLeg capFloorLeg,
+      ResolvedSwapLeg payLeg) {
+
+    ImmutableSet.Builder<Currency> builder = ImmutableSet.builder();
+    builder.add(capFloorLeg.getCurrency());
+    if (payLeg != null) {
+      builder.add(payLeg.getCurrency());
+    }
+    return builder.build();
+  }
+
+  // collect the set of indices
+  private static ImmutableSet<Index> buildIndices(
+      ResolvedOvernightInArrearsCapFloorLeg capFloorLeg,
+      ResolvedSwapLeg payLeg) {
+
+    ImmutableSet.Builder<Index> builder = ImmutableSet.builder();
+    builder.add(capFloorLeg.getIndex());
+    if (payLeg != null) {
+      payLeg.collectIndices(builder);
+    }
+    return builder.build();
+  }
+
+  // ensure standard constructor is invoked
+  private Object readResolve() {
+    return new ResolvedOvernightInArrearsCapFloor(capFloorLeg, payLeg);
+  }
+
+  //-------------------------------------------------------------------------
+  /**
+   * Returns the set of payment currencies referred to by the cap/floor.
+   * <p>
+   * This returns the complete set of payment currencies for the cap/floor.
+   * This will typically return one currency, but could return two.
+   *
+   * @return the set of payment currencies referred to by this swap
+   */
+  public ImmutableSet<Currency> allPaymentCurrencies() {
+    return currencies;
+  }
+
+  /**
+   * Returns the set of indices referred to by the cap/floor.
+   * <p>
+   * A cap/floor will typically refer to one index, such as 'GBP-SONIA'.
+   * Calling this method will return the complete list of indices.
+   *
+   * @return the set of indices referred to by this cap/floor
+   */
+  public ImmutableSet<Index> allIndices() {
+    return indices;
+  }
+
+  //------------------------- AUTOGENERATED START -------------------------
+  /**
+   * The meta-bean for {@code ResolvedOvernightInArrearsCapFloor}.
+   * @return the meta-bean, not null
+   */
+  public static ResolvedOvernightInArrearsCapFloor.Meta meta() {
+    return ResolvedOvernightInArrearsCapFloor.Meta.INSTANCE;
+  }
+
+  static {
+    MetaBean.register(ResolvedOvernightInArrearsCapFloor.Meta.INSTANCE);
+  }
+
+  /**
+   * The serialization version id.
+   */
+  private static final long serialVersionUID = 1L;
+
+  @Override
+  public ResolvedOvernightInArrearsCapFloor.Meta metaBean() {
+    return ResolvedOvernightInArrearsCapFloor.Meta.INSTANCE;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the overnight rate in arrears cap/floor leg of the product.
+   * <p>
+   * This is associated with periodic payments based on overnight index rate.
+   * The payments are overnight rate in arrears caplets or floorlets.
+   * @return the value of the property, not null
+   */
+  public ResolvedOvernightInArrearsCapFloorLeg getCapFloorLeg() {
+    return capFloorLeg;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the optional pay leg of the product.
+   * <p>
+   * These periodic payments are not made for typical cap/floor products. Instead the premium is paid upfront.
+   * @return the optional value of the property, not null
+   */
+  public Optional<ResolvedSwapLeg> getPayLeg() {
+    return Optional.ofNullable(payLeg);
+  }
+
+  //-----------------------------------------------------------------------
+  @Override
+  public boolean equals(Object obj) {
+    if (obj == this) {
+      return true;
+    }
+    if (obj != null && obj.getClass() == this.getClass()) {
+      ResolvedOvernightInArrearsCapFloor other = (ResolvedOvernightInArrearsCapFloor) obj;
+      return JodaBeanUtils.equal(capFloorLeg, other.capFloorLeg) &&
+          JodaBeanUtils.equal(payLeg, other.payLeg);
+    }
+    return false;
+  }
+
+  @Override
+  public int hashCode() {
+    int hash = getClass().hashCode();
+    hash = hash * 31 + JodaBeanUtils.hashCode(capFloorLeg);
+    hash = hash * 31 + JodaBeanUtils.hashCode(payLeg);
+    return hash;
+  }
+
+  @Override
+  public String toString() {
+    StringBuilder buf = new StringBuilder(96);
+    buf.append("ResolvedOvernightInArrearsCapFloor{");
+    buf.append("capFloorLeg").append('=').append(JodaBeanUtils.toString(capFloorLeg)).append(',').append(' ');
+    buf.append("payLeg").append('=').append(JodaBeanUtils.toString(payLeg));
+    buf.append('}');
+    return buf.toString();
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * The meta-bean for {@code ResolvedOvernightInArrearsCapFloor}.
+   */
+  public static final class Meta extends DirectMetaBean {
+    /**
+     * The singleton instance of the meta-bean.
+     */
+    static final Meta INSTANCE = new Meta();
+
+    /**
+     * The meta-property for the {@code capFloorLeg} property.
+     */
+    private final MetaProperty<ResolvedOvernightInArrearsCapFloorLeg> capFloorLeg = DirectMetaProperty.ofImmutable(
+        this, "capFloorLeg", ResolvedOvernightInArrearsCapFloor.class, ResolvedOvernightInArrearsCapFloorLeg.class);
+    /**
+     * The meta-property for the {@code payLeg} property.
+     */
+    private final MetaProperty<ResolvedSwapLeg> payLeg = DirectMetaProperty.ofImmutable(
+        this, "payLeg", ResolvedOvernightInArrearsCapFloor.class, ResolvedSwapLeg.class);
+    /**
+     * The meta-properties.
+     */
+    private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
+        this, null,
+        "capFloorLeg",
+        "payLeg");
+
+    /**
+     * Restricted constructor.
+     */
+    private Meta() {
+    }
+
+    @Override
+    protected MetaProperty<?> metaPropertyGet(String propertyName) {
+      switch (propertyName.hashCode()) {
+        case 2124672084:  // capFloorLeg
+          return capFloorLeg;
+        case -995239866:  // payLeg
+          return payLeg;
+      }
+      return super.metaPropertyGet(propertyName);
+    }
+
+    @Override
+    public BeanBuilder<? extends ResolvedOvernightInArrearsCapFloor> builder() {
+      return new ResolvedOvernightInArrearsCapFloor.Builder();
+    }
+
+    @Override
+    public Class<? extends ResolvedOvernightInArrearsCapFloor> beanType() {
+      return ResolvedOvernightInArrearsCapFloor.class;
+    }
+
+    @Override
+    public Map<String, MetaProperty<?>> metaPropertyMap() {
+      return metaPropertyMap$;
+    }
+
+    //-----------------------------------------------------------------------
+    /**
+     * The meta-property for the {@code capFloorLeg} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<ResolvedOvernightInArrearsCapFloorLeg> capFloorLeg() {
+      return capFloorLeg;
+    }
+
+    /**
+     * The meta-property for the {@code payLeg} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<ResolvedSwapLeg> payLeg() {
+      return payLeg;
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
+      switch (propertyName.hashCode()) {
+        case 2124672084:  // capFloorLeg
+          return ((ResolvedOvernightInArrearsCapFloor) bean).getCapFloorLeg();
+        case -995239866:  // payLeg
+          return ((ResolvedOvernightInArrearsCapFloor) bean).payLeg;
+      }
+      return super.propertyGet(bean, propertyName, quiet);
+    }
+
+    @Override
+    protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) {
+      metaProperty(propertyName);
+      if (quiet) {
+        return;
+      }
+      throw new UnsupportedOperationException("Property cannot be written: " + propertyName);
+    }
+
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * The bean-builder for {@code ResolvedOvernightInArrearsCapFloor}.
+   */
+  private static final class Builder extends DirectPrivateBeanBuilder<ResolvedOvernightInArrearsCapFloor> {
+
+    private ResolvedOvernightInArrearsCapFloorLeg capFloorLeg;
+    private ResolvedSwapLeg payLeg;
+
+    /**
+     * Restricted constructor.
+     */
+    private Builder() {
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    public Object get(String propertyName) {
+      switch (propertyName.hashCode()) {
+        case 2124672084:  // capFloorLeg
+          return capFloorLeg;
+        case -995239866:  // payLeg
+          return payLeg;
+        default:
+          throw new NoSuchElementException("Unknown property: " + propertyName);
+      }
+    }
+
+    @Override
+    public Builder set(String propertyName, Object newValue) {
+      switch (propertyName.hashCode()) {
+        case 2124672084:  // capFloorLeg
+          this.capFloorLeg = (ResolvedOvernightInArrearsCapFloorLeg) newValue;
+          break;
+        case -995239866:  // payLeg
+          this.payLeg = (ResolvedSwapLeg) newValue;
+          break;
+        default:
+          throw new NoSuchElementException("Unknown property: " + propertyName);
+      }
+      return this;
+    }
+
+    @Override
+    public ResolvedOvernightInArrearsCapFloor build() {
+      return new ResolvedOvernightInArrearsCapFloor(
+          capFloorLeg,
+          payLeg);
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    public String toString() {
+      StringBuilder buf = new StringBuilder(96);
+      buf.append("ResolvedOvernightInArrearsCapFloor.Builder{");
+      buf.append("capFloorLeg").append('=').append(JodaBeanUtils.toString(capFloorLeg)).append(',').append(' ');
+      buf.append("payLeg").append('=').append(JodaBeanUtils.toString(payLeg));
+      buf.append('}');
+      return buf.toString();
+    }
+
+  }
+
+  //-------------------------- AUTOGENERATED END --------------------------
+}
diff --git a/modules/product/src/main/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorLeg.java b/modules/product/src/main/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorLeg.java
new file mode 100644
index 0000000000..fe94ad2f8f
--- /dev/null
+++ b/modules/product/src/main/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorLeg.java
@@ -0,0 +1,468 @@
+/*
+ * Copyright (C) 2024 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.product.capfloor;
+
+import java.io.Serializable;
+import java.time.LocalDate;
+import java.util.List;
+import java.util.Map;
+import java.util.NoSuchElementException;
+import java.util.Set;
+import java.util.stream.Collectors;
+
+import org.joda.beans.Bean;
+import org.joda.beans.ImmutableBean;
+import org.joda.beans.JodaBeanUtils;
+import org.joda.beans.MetaBean;
+import org.joda.beans.MetaProperty;
+import org.joda.beans.gen.BeanDefinition;
+import org.joda.beans.gen.ImmutableConstructor;
+import org.joda.beans.gen.PropertyDefinition;
+import org.joda.beans.impl.direct.DirectFieldsBeanBuilder;
+import org.joda.beans.impl.direct.DirectMetaBean;
+import org.joda.beans.impl.direct.DirectMetaProperty;
+import org.joda.beans.impl.direct.DirectMetaPropertyMap;
+
+import com.google.common.collect.ImmutableList;
+import com.opengamma.strata.basics.ReferenceData;
+import com.opengamma.strata.basics.currency.Currency;
+import com.opengamma.strata.basics.index.OvernightIndex;
+import com.opengamma.strata.collect.ArgChecker;
+import com.opengamma.strata.product.common.PayReceive;
+
+/**
+ * A cap/floor leg of an overnight rate in arrears cap/floor product, resolved for pricing.
+ * <p>
+ * This is the resolved form of {@link OvernightInArrearsCapFloorLeg} and is an input to the pricers.
+ * Applications will typically create a {@code ResolvedOvernightInArrearsCapFloorLeg}
+ * from a {@code OvernightInArrearsCapFloorLeg} using {@link OvernightInArrearsCapFloorLeg#resolve(ReferenceData)}.
+ * <p>
+ * This defines a single leg for an overnight rate in arrears cap/floor product and is formed from a number of periods.
+ * Each period may be a caplet or floorlet.
+ * The cap/floor instruments are defined as a set of call/put options on successive compounded overnight index rates.
+ * <p>
+ * A {@code ResolvedOvernightInArrearsCapFloorLeg} is 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.
+ */
+@BeanDefinition
+public final class ResolvedOvernightInArrearsCapFloorLeg
+    implements ImmutableBean, Serializable {
+
+  /**
+   * Whether the leg is pay or receive.
+   * <p>
+   * 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.
+   * <p>
+   * The value of this flag should match the signs of the payment period notionals.
+   */
+  @PropertyDefinition(validate = "notNull")
+  private final PayReceive payReceive;
+  /**
+   * The periodic payments based on the successive observed values of compounded overnight index rates.
+   * <p>
+   * Each payment period represents part of the life-time of the leg.
+   * In most cases, the periods do not overlap. However, since each payment period
+   * is essentially independent the data model allows overlapping periods.
+   */
+  @PropertyDefinition(validate = "notEmpty")
+  private final ImmutableList<OvernightInArrearsCapletFloorletPeriod> capletFloorletPeriods;
+
+  //-------------------------------------------------------------------------
+  @ImmutableConstructor
+  private ResolvedOvernightInArrearsCapFloorLeg(
+      PayReceive payReceive,
+      List<OvernightInArrearsCapletFloorletPeriod> capletFloorletPeriods) {
+
+    this.payReceive = ArgChecker.notNull(payReceive, "payReceive");
+    this.capletFloorletPeriods = ImmutableList.copyOf(capletFloorletPeriods);
+    Set<Currency> currencies =
+        this.capletFloorletPeriods.stream().map(OvernightInArrearsCapletFloorletPeriod::getCurrency).collect(Collectors.toSet());
+    ArgChecker.isTrue(currencies.size() == 1, "Leg must have a single currency, found: " + currencies);
+    Set<OvernightIndex> indices =
+        this.capletFloorletPeriods.stream().map(OvernightInArrearsCapletFloorletPeriod::getIndex).collect(Collectors.toSet());
+    ArgChecker.isTrue(indices.size() == 1, "Leg must have a single overnight index: " + indices);
+  }
+
+  //-------------------------------------------------------------------------
+  /**
+   * Gets the accrual start date of the leg.
+   * <p>
+   * This is the first accrual date in the leg, often known as the effective date.
+   * This date has typically been adjusted to be a valid business day.
+   *
+   * @return the start date of the leg
+   */
+  public LocalDate getStartDate() {
+    return capletFloorletPeriods.get(0).getStartDate();
+  }
+
+  /**
+   * Gets the accrual end date of the leg.
+   * <p>
+   * This is the last accrual date in the leg, often known as the termination date.
+   * This date has typically been adjusted to be a valid business day.
+   *
+   * @return the end date of the leg
+   */
+  public LocalDate getEndDate() {
+    return capletFloorletPeriods.get(capletFloorletPeriods.size() - 1).getEndDate();
+  }
+
+  /**
+   * Gets the final caplet/floorlet period.
+   *
+   * @return the final period
+   */
+  public OvernightInArrearsCapletFloorletPeriod getFinalPeriod() {
+    return capletFloorletPeriods.get(capletFloorletPeriods.size() - 1);
+  }
+
+  /**
+   * Gets the currency of the leg.
+   * <p>
+   * All periods in the leg will have this currency.
+   *
+   * @return the currency
+   */
+  public Currency getCurrency() {
+    return capletFloorletPeriods.get(0).getCurrency();
+  }
+
+  /**
+   * Gets the overnight index of the leg.
+   * <p>
+   * All periods in the leg will have this index.
+   *
+   * @return the index
+   */
+  public OvernightIndex getIndex() {
+    return capletFloorletPeriods.get(0).getIndex();
+  }
+
+  //------------------------- AUTOGENERATED START -------------------------
+  /**
+   * The meta-bean for {@code ResolvedOvernightInArrearsCapFloorLeg}.
+   * @return the meta-bean, not null
+   */
+  public static ResolvedOvernightInArrearsCapFloorLeg.Meta meta() {
+    return ResolvedOvernightInArrearsCapFloorLeg.Meta.INSTANCE;
+  }
+
+  static {
+    MetaBean.register(ResolvedOvernightInArrearsCapFloorLeg.Meta.INSTANCE);
+  }
+
+  /**
+   * The serialization version id.
+   */
+  private static final long serialVersionUID = 1L;
+
+  /**
+   * Returns a builder used to create an instance of the bean.
+   * @return the builder, not null
+   */
+  public static ResolvedOvernightInArrearsCapFloorLeg.Builder builder() {
+    return new ResolvedOvernightInArrearsCapFloorLeg.Builder();
+  }
+
+  @Override
+  public ResolvedOvernightInArrearsCapFloorLeg.Meta metaBean() {
+    return ResolvedOvernightInArrearsCapFloorLeg.Meta.INSTANCE;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets whether the leg is pay or receive.
+   * <p>
+   * 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.
+   * <p>
+   * The value of this flag should match the signs of the payment period notionals.
+   * @return the value of the property, not null
+   */
+  public PayReceive getPayReceive() {
+    return payReceive;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the periodic payments based on the successive observed values of compounded overnight index rates.
+   * <p>
+   * Each payment period represents part of the life-time of the leg.
+   * In most cases, the periods do not overlap. However, since each payment period
+   * is essentially independent the data model allows overlapping periods.
+   * @return the value of the property, not empty
+   */
+  public ImmutableList<OvernightInArrearsCapletFloorletPeriod> getCapletFloorletPeriods() {
+    return capletFloorletPeriods;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Returns a builder that allows this bean to be mutated.
+   * @return the mutable builder, not null
+   */
+  public Builder toBuilder() {
+    return new Builder(this);
+  }
+
+  @Override
+  public boolean equals(Object obj) {
+    if (obj == this) {
+      return true;
+    }
+    if (obj != null && obj.getClass() == this.getClass()) {
+      ResolvedOvernightInArrearsCapFloorLeg other = (ResolvedOvernightInArrearsCapFloorLeg) obj;
+      return JodaBeanUtils.equal(payReceive, other.payReceive) &&
+          JodaBeanUtils.equal(capletFloorletPeriods, other.capletFloorletPeriods);
+    }
+    return false;
+  }
+
+  @Override
+  public int hashCode() {
+    int hash = getClass().hashCode();
+    hash = hash * 31 + JodaBeanUtils.hashCode(payReceive);
+    hash = hash * 31 + JodaBeanUtils.hashCode(capletFloorletPeriods);
+    return hash;
+  }
+
+  @Override
+  public String toString() {
+    StringBuilder buf = new StringBuilder(96);
+    buf.append("ResolvedOvernightInArrearsCapFloorLeg{");
+    buf.append("payReceive").append('=').append(JodaBeanUtils.toString(payReceive)).append(',').append(' ');
+    buf.append("capletFloorletPeriods").append('=').append(JodaBeanUtils.toString(capletFloorletPeriods));
+    buf.append('}');
+    return buf.toString();
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * The meta-bean for {@code ResolvedOvernightInArrearsCapFloorLeg}.
+   */
+  public static final class Meta extends DirectMetaBean {
+    /**
+     * The singleton instance of the meta-bean.
+     */
+    static final Meta INSTANCE = new Meta();
+
+    /**
+     * The meta-property for the {@code payReceive} property.
+     */
+    private final MetaProperty<PayReceive> payReceive = DirectMetaProperty.ofImmutable(
+        this, "payReceive", ResolvedOvernightInArrearsCapFloorLeg.class, PayReceive.class);
+    /**
+     * The meta-property for the {@code capletFloorletPeriods} property.
+     */
+    @SuppressWarnings({"unchecked", "rawtypes" })
+    private final MetaProperty<ImmutableList<OvernightInArrearsCapletFloorletPeriod>> capletFloorletPeriods = DirectMetaProperty.ofImmutable(
+        this, "capletFloorletPeriods", ResolvedOvernightInArrearsCapFloorLeg.class, (Class) ImmutableList.class);
+    /**
+     * The meta-properties.
+     */
+    private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
+        this, null,
+        "payReceive",
+        "capletFloorletPeriods");
+
+    /**
+     * Restricted constructor.
+     */
+    private Meta() {
+    }
+
+    @Override
+    protected MetaProperty<?> metaPropertyGet(String propertyName) {
+      switch (propertyName.hashCode()) {
+        case -885469925:  // payReceive
+          return payReceive;
+        case 1504863482:  // capletFloorletPeriods
+          return capletFloorletPeriods;
+      }
+      return super.metaPropertyGet(propertyName);
+    }
+
+    @Override
+    public ResolvedOvernightInArrearsCapFloorLeg.Builder builder() {
+      return new ResolvedOvernightInArrearsCapFloorLeg.Builder();
+    }
+
+    @Override
+    public Class<? extends ResolvedOvernightInArrearsCapFloorLeg> beanType() {
+      return ResolvedOvernightInArrearsCapFloorLeg.class;
+    }
+
+    @Override
+    public Map<String, MetaProperty<?>> metaPropertyMap() {
+      return metaPropertyMap$;
+    }
+
+    //-----------------------------------------------------------------------
+    /**
+     * The meta-property for the {@code payReceive} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<PayReceive> payReceive() {
+      return payReceive;
+    }
+
+    /**
+     * The meta-property for the {@code capletFloorletPeriods} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<ImmutableList<OvernightInArrearsCapletFloorletPeriod>> capletFloorletPeriods() {
+      return capletFloorletPeriods;
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
+      switch (propertyName.hashCode()) {
+        case -885469925:  // payReceive
+          return ((ResolvedOvernightInArrearsCapFloorLeg) bean).getPayReceive();
+        case 1504863482:  // capletFloorletPeriods
+          return ((ResolvedOvernightInArrearsCapFloorLeg) bean).getCapletFloorletPeriods();
+      }
+      return super.propertyGet(bean, propertyName, quiet);
+    }
+
+    @Override
+    protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) {
+      metaProperty(propertyName);
+      if (quiet) {
+        return;
+      }
+      throw new UnsupportedOperationException("Property cannot be written: " + propertyName);
+    }
+
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * The bean-builder for {@code ResolvedOvernightInArrearsCapFloorLeg}.
+   */
+  public static final class Builder extends DirectFieldsBeanBuilder<ResolvedOvernightInArrearsCapFloorLeg> {
+
+    private PayReceive payReceive;
+    private List<OvernightInArrearsCapletFloorletPeriod> capletFloorletPeriods = ImmutableList.of();
+
+    /**
+     * Restricted constructor.
+     */
+    private Builder() {
+    }
+
+    /**
+     * Restricted copy constructor.
+     * @param beanToCopy  the bean to copy from, not null
+     */
+    private Builder(ResolvedOvernightInArrearsCapFloorLeg beanToCopy) {
+      this.payReceive = beanToCopy.getPayReceive();
+      this.capletFloorletPeriods = beanToCopy.getCapletFloorletPeriods();
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    public Object get(String propertyName) {
+      switch (propertyName.hashCode()) {
+        case -885469925:  // payReceive
+          return payReceive;
+        case 1504863482:  // capletFloorletPeriods
+          return capletFloorletPeriods;
+        default:
+          throw new NoSuchElementException("Unknown property: " + propertyName);
+      }
+    }
+
+    @SuppressWarnings("unchecked")
+    @Override
+    public Builder set(String propertyName, Object newValue) {
+      switch (propertyName.hashCode()) {
+        case -885469925:  // payReceive
+          this.payReceive = (PayReceive) newValue;
+          break;
+        case 1504863482:  // capletFloorletPeriods
+          this.capletFloorletPeriods = (List<OvernightInArrearsCapletFloorletPeriod>) newValue;
+          break;
+        default:
+          throw new NoSuchElementException("Unknown property: " + propertyName);
+      }
+      return this;
+    }
+
+    @Override
+    public Builder set(MetaProperty<?> property, Object value) {
+      super.set(property, value);
+      return this;
+    }
+
+    @Override
+    public ResolvedOvernightInArrearsCapFloorLeg build() {
+      return new ResolvedOvernightInArrearsCapFloorLeg(
+          payReceive,
+          capletFloorletPeriods);
+    }
+
+    //-----------------------------------------------------------------------
+    /**
+     * Sets whether the leg is pay or receive.
+     * <p>
+     * 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.
+     * <p>
+     * The value of this flag should match the signs of the payment period notionals.
+     * @param payReceive  the new value, not null
+     * @return this, for chaining, not null
+     */
+    public Builder payReceive(PayReceive payReceive) {
+      JodaBeanUtils.notNull(payReceive, "payReceive");
+      this.payReceive = payReceive;
+      return this;
+    }
+
+    /**
+     * Sets the periodic payments based on the successive observed values of compounded overnight index rates.
+     * <p>
+     * Each payment period represents part of the life-time of the leg.
+     * In most cases, the periods do not overlap. However, since each payment period
+     * is essentially independent the data model allows overlapping periods.
+     * @param capletFloorletPeriods  the new value, not empty
+     * @return this, for chaining, not null
+     */
+    public Builder capletFloorletPeriods(List<OvernightInArrearsCapletFloorletPeriod> capletFloorletPeriods) {
+      JodaBeanUtils.notEmpty(capletFloorletPeriods, "capletFloorletPeriods");
+      this.capletFloorletPeriods = capletFloorletPeriods;
+      return this;
+    }
+
+    /**
+     * Sets the {@code capletFloorletPeriods} property in the builder
+     * from an array of objects.
+     * @param capletFloorletPeriods  the new value, not empty
+     * @return this, for chaining, not null
+     */
+    public Builder capletFloorletPeriods(OvernightInArrearsCapletFloorletPeriod... capletFloorletPeriods) {
+      return capletFloorletPeriods(ImmutableList.copyOf(capletFloorletPeriods));
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    public String toString() {
+      StringBuilder buf = new StringBuilder(96);
+      buf.append("ResolvedOvernightInArrearsCapFloorLeg.Builder{");
+      buf.append("payReceive").append('=').append(JodaBeanUtils.toString(payReceive)).append(',').append(' ');
+      buf.append("capletFloorletPeriods").append('=').append(JodaBeanUtils.toString(capletFloorletPeriods));
+      buf.append('}');
+      return buf.toString();
+    }
+
+  }
+
+  //-------------------------- AUTOGENERATED END --------------------------
+}
diff --git a/modules/product/src/main/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorTrade.java b/modules/product/src/main/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorTrade.java
new file mode 100644
index 0000000000..25c27db7e7
--- /dev/null
+++ b/modules/product/src/main/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorTrade.java
@@ -0,0 +1,449 @@
+/*
+ * Copyright (C) 2024 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.product.capfloor;
+
+import java.io.Serializable;
+import java.util.Map;
+import java.util.NoSuchElementException;
+import java.util.Optional;
+
+import org.joda.beans.Bean;
+import org.joda.beans.ImmutableBean;
+import org.joda.beans.JodaBeanUtils;
+import org.joda.beans.MetaBean;
+import org.joda.beans.MetaProperty;
+import org.joda.beans.gen.BeanDefinition;
+import org.joda.beans.gen.ImmutableDefaults;
+import org.joda.beans.gen.PropertyDefinition;
+import org.joda.beans.impl.direct.DirectFieldsBeanBuilder;
+import org.joda.beans.impl.direct.DirectMetaBean;
+import org.joda.beans.impl.direct.DirectMetaProperty;
+import org.joda.beans.impl.direct.DirectMetaPropertyMap;
+
+import com.opengamma.strata.basics.ReferenceData;
+import com.opengamma.strata.basics.currency.Payment;
+import com.opengamma.strata.product.ResolvedTrade;
+import com.opengamma.strata.product.TradeInfo;
+
+/**
+ * A trade in an overnight rate in arrears cap/floor, resolved for pricing.
+ * <p>
+ * This is the resolved form of {@link OvernightInArrearsCapFloorTrade} and is the primary input to the pricers.
+ * Applications will typically create a {@code ResolvedOvernightInArrearsCapFloorTrade} from
+ * a {@code OvernightInArrearsCapFloorTrade} using {@link OvernightInArrearsCapFloorTrade#resolve(ReferenceData)}.
+ * <p>
+ * A {@code OvernightInArrearsCapFloorTrade} is 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.
+ */
+@BeanDefinition
+public final class ResolvedOvernightInArrearsCapFloorTrade
+    implements ResolvedTrade, ImmutableBean, Serializable {
+
+  /**
+   * The additional trade information, defaulted to an empty instance.
+   * <p>
+   * This allows additional information to be attached to the trade.
+   */
+  @PropertyDefinition(validate = "notNull", overrideGet = true)
+  private final TradeInfo info;
+  /**
+   * The resolved overnight in arrears cap/floor product.
+   * <p>
+   * The product captures the contracted financial details of the trade.
+   */
+  @PropertyDefinition(validate = "notNull", overrideGet = true)
+  private final ResolvedOvernightInArrearsCapFloor product;
+  /**
+   * The optional premium of the product.
+   * <p>
+   * For most overnight rate in arrears cap/floor products, a premium is paid upfront. This typically occurs instead
+   * of periodic payments based on fixed or rate index rates over the lifetime of the product.
+   * <p>
+   * The premium sign must be compatible with the product Pay/Receive flag.
+   */
+  @PropertyDefinition(get = "optional")
+  private final Payment premium;
+
+  //-------------------------------------------------------------------------
+  @ImmutableDefaults
+  private static void applyDefaults(Builder builder) {
+    builder.info = TradeInfo.empty();
+  }
+
+  //------------------------- AUTOGENERATED START -------------------------
+  /**
+   * The meta-bean for {@code ResolvedOvernightInArrearsCapFloorTrade}.
+   * @return the meta-bean, not null
+   */
+  public static ResolvedOvernightInArrearsCapFloorTrade.Meta meta() {
+    return ResolvedOvernightInArrearsCapFloorTrade.Meta.INSTANCE;
+  }
+
+  static {
+    MetaBean.register(ResolvedOvernightInArrearsCapFloorTrade.Meta.INSTANCE);
+  }
+
+  /**
+   * The serialization version id.
+   */
+  private static final long serialVersionUID = 1L;
+
+  /**
+   * Returns a builder used to create an instance of the bean.
+   * @return the builder, not null
+   */
+  public static ResolvedOvernightInArrearsCapFloorTrade.Builder builder() {
+    return new ResolvedOvernightInArrearsCapFloorTrade.Builder();
+  }
+
+  private ResolvedOvernightInArrearsCapFloorTrade(
+      TradeInfo info,
+      ResolvedOvernightInArrearsCapFloor product,
+      Payment premium) {
+    JodaBeanUtils.notNull(info, "info");
+    JodaBeanUtils.notNull(product, "product");
+    this.info = info;
+    this.product = product;
+    this.premium = premium;
+  }
+
+  @Override
+  public ResolvedOvernightInArrearsCapFloorTrade.Meta metaBean() {
+    return ResolvedOvernightInArrearsCapFloorTrade.Meta.INSTANCE;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the additional trade information, defaulted to an empty instance.
+   * <p>
+   * This allows additional information to be attached to the trade.
+   * @return the value of the property, not null
+   */
+  @Override
+  public TradeInfo getInfo() {
+    return info;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the resolved overnight in arrears cap/floor product.
+   * <p>
+   * The product captures the contracted financial details of the trade.
+   * @return the value of the property, not null
+   */
+  @Override
+  public ResolvedOvernightInArrearsCapFloor getProduct() {
+    return product;
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Gets the optional premium of the product.
+   * <p>
+   * For most overnight rate in arrears cap/floor products, a premium is paid upfront. This typically occurs instead
+   * of periodic payments based on fixed or rate index rates over the lifetime of the product.
+   * <p>
+   * The premium sign must be compatible with the product Pay/Receive flag.
+   * @return the optional value of the property, not null
+   */
+  public Optional<Payment> getPremium() {
+    return Optional.ofNullable(premium);
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * Returns a builder that allows this bean to be mutated.
+   * @return the mutable builder, not null
+   */
+  public Builder toBuilder() {
+    return new Builder(this);
+  }
+
+  @Override
+  public boolean equals(Object obj) {
+    if (obj == this) {
+      return true;
+    }
+    if (obj != null && obj.getClass() == this.getClass()) {
+      ResolvedOvernightInArrearsCapFloorTrade other = (ResolvedOvernightInArrearsCapFloorTrade) obj;
+      return JodaBeanUtils.equal(info, other.info) &&
+          JodaBeanUtils.equal(product, other.product) &&
+          JodaBeanUtils.equal(premium, other.premium);
+    }
+    return false;
+  }
+
+  @Override
+  public int hashCode() {
+    int hash = getClass().hashCode();
+    hash = hash * 31 + JodaBeanUtils.hashCode(info);
+    hash = hash * 31 + JodaBeanUtils.hashCode(product);
+    hash = hash * 31 + JodaBeanUtils.hashCode(premium);
+    return hash;
+  }
+
+  @Override
+  public String toString() {
+    StringBuilder buf = new StringBuilder(128);
+    buf.append("ResolvedOvernightInArrearsCapFloorTrade{");
+    buf.append("info").append('=').append(JodaBeanUtils.toString(info)).append(',').append(' ');
+    buf.append("product").append('=').append(JodaBeanUtils.toString(product)).append(',').append(' ');
+    buf.append("premium").append('=').append(JodaBeanUtils.toString(premium));
+    buf.append('}');
+    return buf.toString();
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * The meta-bean for {@code ResolvedOvernightInArrearsCapFloorTrade}.
+   */
+  public static final class Meta extends DirectMetaBean {
+    /**
+     * The singleton instance of the meta-bean.
+     */
+    static final Meta INSTANCE = new Meta();
+
+    /**
+     * The meta-property for the {@code info} property.
+     */
+    private final MetaProperty<TradeInfo> info = DirectMetaProperty.ofImmutable(
+        this, "info", ResolvedOvernightInArrearsCapFloorTrade.class, TradeInfo.class);
+    /**
+     * The meta-property for the {@code product} property.
+     */
+    private final MetaProperty<ResolvedOvernightInArrearsCapFloor> product = DirectMetaProperty.ofImmutable(
+        this, "product", ResolvedOvernightInArrearsCapFloorTrade.class, ResolvedOvernightInArrearsCapFloor.class);
+    /**
+     * The meta-property for the {@code premium} property.
+     */
+    private final MetaProperty<Payment> premium = DirectMetaProperty.ofImmutable(
+        this, "premium", ResolvedOvernightInArrearsCapFloorTrade.class, Payment.class);
+    /**
+     * The meta-properties.
+     */
+    private final Map<String, MetaProperty<?>> metaPropertyMap$ = new DirectMetaPropertyMap(
+        this, null,
+        "info",
+        "product",
+        "premium");
+
+    /**
+     * Restricted constructor.
+     */
+    private Meta() {
+    }
+
+    @Override
+    protected MetaProperty<?> metaPropertyGet(String propertyName) {
+      switch (propertyName.hashCode()) {
+        case 3237038:  // info
+          return info;
+        case -309474065:  // product
+          return product;
+        case -318452137:  // premium
+          return premium;
+      }
+      return super.metaPropertyGet(propertyName);
+    }
+
+    @Override
+    public ResolvedOvernightInArrearsCapFloorTrade.Builder builder() {
+      return new ResolvedOvernightInArrearsCapFloorTrade.Builder();
+    }
+
+    @Override
+    public Class<? extends ResolvedOvernightInArrearsCapFloorTrade> beanType() {
+      return ResolvedOvernightInArrearsCapFloorTrade.class;
+    }
+
+    @Override
+    public Map<String, MetaProperty<?>> metaPropertyMap() {
+      return metaPropertyMap$;
+    }
+
+    //-----------------------------------------------------------------------
+    /**
+     * The meta-property for the {@code info} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<TradeInfo> info() {
+      return info;
+    }
+
+    /**
+     * The meta-property for the {@code product} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<ResolvedOvernightInArrearsCapFloor> product() {
+      return product;
+    }
+
+    /**
+     * The meta-property for the {@code premium} property.
+     * @return the meta-property, not null
+     */
+    public MetaProperty<Payment> premium() {
+      return premium;
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
+      switch (propertyName.hashCode()) {
+        case 3237038:  // info
+          return ((ResolvedOvernightInArrearsCapFloorTrade) bean).getInfo();
+        case -309474065:  // product
+          return ((ResolvedOvernightInArrearsCapFloorTrade) bean).getProduct();
+        case -318452137:  // premium
+          return ((ResolvedOvernightInArrearsCapFloorTrade) bean).premium;
+      }
+      return super.propertyGet(bean, propertyName, quiet);
+    }
+
+    @Override
+    protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) {
+      metaProperty(propertyName);
+      if (quiet) {
+        return;
+      }
+      throw new UnsupportedOperationException("Property cannot be written: " + propertyName);
+    }
+
+  }
+
+  //-----------------------------------------------------------------------
+  /**
+   * The bean-builder for {@code ResolvedOvernightInArrearsCapFloorTrade}.
+   */
+  public static final class Builder extends DirectFieldsBeanBuilder<ResolvedOvernightInArrearsCapFloorTrade> {
+
+    private TradeInfo info;
+    private ResolvedOvernightInArrearsCapFloor product;
+    private Payment premium;
+
+    /**
+     * Restricted constructor.
+     */
+    private Builder() {
+      applyDefaults(this);
+    }
+
+    /**
+     * Restricted copy constructor.
+     * @param beanToCopy  the bean to copy from, not null
+     */
+    private Builder(ResolvedOvernightInArrearsCapFloorTrade beanToCopy) {
+      this.info = beanToCopy.getInfo();
+      this.product = beanToCopy.getProduct();
+      this.premium = beanToCopy.premium;
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    public Object get(String propertyName) {
+      switch (propertyName.hashCode()) {
+        case 3237038:  // info
+          return info;
+        case -309474065:  // product
+          return product;
+        case -318452137:  // premium
+          return premium;
+        default:
+          throw new NoSuchElementException("Unknown property: " + propertyName);
+      }
+    }
+
+    @Override
+    public Builder set(String propertyName, Object newValue) {
+      switch (propertyName.hashCode()) {
+        case 3237038:  // info
+          this.info = (TradeInfo) newValue;
+          break;
+        case -309474065:  // product
+          this.product = (ResolvedOvernightInArrearsCapFloor) newValue;
+          break;
+        case -318452137:  // premium
+          this.premium = (Payment) newValue;
+          break;
+        default:
+          throw new NoSuchElementException("Unknown property: " + propertyName);
+      }
+      return this;
+    }
+
+    @Override
+    public Builder set(MetaProperty<?> property, Object value) {
+      super.set(property, value);
+      return this;
+    }
+
+    @Override
+    public ResolvedOvernightInArrearsCapFloorTrade build() {
+      return new ResolvedOvernightInArrearsCapFloorTrade(
+          info,
+          product,
+          premium);
+    }
+
+    //-----------------------------------------------------------------------
+    /**
+     * Sets the additional trade information, defaulted to an empty instance.
+     * <p>
+     * This allows additional information to be attached to the trade.
+     * @param info  the new value, not null
+     * @return this, for chaining, not null
+     */
+    public Builder info(TradeInfo info) {
+      JodaBeanUtils.notNull(info, "info");
+      this.info = info;
+      return this;
+    }
+
+    /**
+     * Sets the resolved overnight in arrears cap/floor product.
+     * <p>
+     * The product captures the contracted financial details of the trade.
+     * @param product  the new value, not null
+     * @return this, for chaining, not null
+     */
+    public Builder product(ResolvedOvernightInArrearsCapFloor product) {
+      JodaBeanUtils.notNull(product, "product");
+      this.product = product;
+      return this;
+    }
+
+    /**
+     * Sets the optional premium of the product.
+     * <p>
+     * For most overnight rate in arrears cap/floor products, a premium is paid upfront. This typically occurs instead
+     * of periodic payments based on fixed or rate index rates over the lifetime of the product.
+     * <p>
+     * The premium sign must be compatible with the product Pay/Receive flag.
+     * @param premium  the new value
+     * @return this, for chaining, not null
+     */
+    public Builder premium(Payment premium) {
+      this.premium = premium;
+      return this;
+    }
+
+    //-----------------------------------------------------------------------
+    @Override
+    public String toString() {
+      StringBuilder buf = new StringBuilder(128);
+      buf.append("ResolvedOvernightInArrearsCapFloorTrade.Builder{");
+      buf.append("info").append('=').append(JodaBeanUtils.toString(info)).append(',').append(' ');
+      buf.append("product").append('=').append(JodaBeanUtils.toString(product)).append(',').append(' ');
+      buf.append("premium").append('=').append(JodaBeanUtils.toString(premium));
+      buf.append('}');
+      return buf.toString();
+    }
+
+  }
+
+  //-------------------------- AUTOGENERATED END --------------------------
+}
diff --git a/modules/product/src/test/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorLegTest.java b/modules/product/src/test/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorLegTest.java
new file mode 100644
index 0000000000..84f39867f6
--- /dev/null
+++ b/modules/product/src/test/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorLegTest.java
@@ -0,0 +1,305 @@
+/*
+ * Copyright (C) 2024 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.product.capfloor;
+
+import static com.opengamma.strata.basics.currency.Currency.EUR;
+import static com.opengamma.strata.basics.currency.Currency.GBP;
+import static com.opengamma.strata.basics.date.HolidayCalendarIds.EUTA;
+import static com.opengamma.strata.basics.index.OvernightIndices.EUR_EONIA;
+import static com.opengamma.strata.basics.index.OvernightIndices.EUR_ESTR;
+import static com.opengamma.strata.collect.TestHelper.assertSerialization;
+import static com.opengamma.strata.collect.TestHelper.coverBeanEquals;
+import static com.opengamma.strata.collect.TestHelper.coverImmutableBean;
+import static com.opengamma.strata.product.common.PayReceive.PAY;
+import static com.opengamma.strata.product.common.PayReceive.RECEIVE;
+import static org.assertj.core.api.Assertions.assertThat;
+import static org.assertj.core.api.Assertions.assertThatIllegalArgumentException;
+
+import java.time.LocalDate;
+import java.util.ArrayList;
+import java.util.List;
+
+import org.junit.jupiter.api.Test;
+
+import com.opengamma.strata.basics.ReferenceData;
+import com.opengamma.strata.basics.date.AdjustableDate;
+import com.opengamma.strata.basics.date.BusinessDayAdjustment;
+import com.opengamma.strata.basics.date.BusinessDayConventions;
+import com.opengamma.strata.basics.date.DaysAdjustment;
+import com.opengamma.strata.basics.index.OvernightIndices;
+import com.opengamma.strata.basics.schedule.Frequency;
+import com.opengamma.strata.basics.schedule.PeriodicSchedule;
+import com.opengamma.strata.basics.schedule.StubConvention;
+import com.opengamma.strata.basics.value.ValueAdjustment;
+import com.opengamma.strata.basics.value.ValueSchedule;
+import com.opengamma.strata.basics.value.ValueStep;
+import com.opengamma.strata.product.rate.OvernightCompoundedRateComputation;
+import com.opengamma.strata.product.swap.OvernightAccrualMethod;
+import com.opengamma.strata.product.swap.OvernightRateCalculation;
+
+/**
+ * Test {@link OvernightInArrearsCapFloorLeg}.
+ */
+public class OvernightInArrearsCapFloorLegTest {
+
+  private static final ReferenceData REF_DATA = ReferenceData.standard();
+  private static final LocalDate START = LocalDate.of(2011, 3, 17);
+  private static final LocalDate END = LocalDate.of(2012, 3, 17);
+  private static final OvernightRateCalculation RATE_CALCULATION = OvernightRateCalculation.of(EUR_ESTR);
+  private static final Frequency FREQUENCY = Frequency.P3M;
+  private static final BusinessDayAdjustment BUSS_ADJ =
+      BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, EUTA);
+  private static final PeriodicSchedule SCHEDULE = PeriodicSchedule.builder()
+      .startDate(START)
+      .endDate(END)
+      .frequency(FREQUENCY)
+      .businessDayAdjustment(BUSS_ADJ)
+      .stubConvention(StubConvention.NONE)
+      .build();
+  private static final DaysAdjustment PAYMENT_OFFSET = DaysAdjustment.ofBusinessDays(2, EUTA);
+
+  private static final double[] NOTIONALS = new double[] {1.0e6, 1.2e6, 0.8e6, 1.0e6};
+  private static final double[] STRIKES = new double[] {0.03, 0.0275, 0.02, 0.0345};
+  private static final ValueSchedule CAP = ValueSchedule.of(0.0325);
+  private static final List<ValueStep> FLOOR_STEPS = new ArrayList<ValueStep>();
+  private static final List<ValueStep> NOTIONAL_STEPS = new ArrayList<ValueStep>();
+  static {
+    FLOOR_STEPS.add(ValueStep.of(1, ValueAdjustment.ofReplace(STRIKES[1])));
+    FLOOR_STEPS.add(ValueStep.of(2, ValueAdjustment.ofReplace(STRIKES[2])));
+    FLOOR_STEPS.add(ValueStep.of(3, ValueAdjustment.ofReplace(STRIKES[3])));
+    NOTIONAL_STEPS.add(ValueStep.of(1, ValueAdjustment.ofReplace(NOTIONALS[1])));
+    NOTIONAL_STEPS.add(ValueStep.of(2, ValueAdjustment.ofReplace(NOTIONALS[2])));
+    NOTIONAL_STEPS.add(ValueStep.of(3, ValueAdjustment.ofReplace(NOTIONALS[3])));
+  }
+  private static final ValueSchedule FLOOR = ValueSchedule.of(STRIKES[0], FLOOR_STEPS);
+  private static final ValueSchedule NOTIONAL = ValueSchedule.of(NOTIONALS[0], NOTIONAL_STEPS);
+
+  @Test
+  public void test_builder_full() {
+    OvernightInArrearsCapFloorLeg test = OvernightInArrearsCapFloorLeg.builder()
+        .calculation(RATE_CALCULATION)
+        .capSchedule(CAP)
+        .currency(GBP)
+        .notional(NOTIONAL)
+        .paymentDateOffset(PAYMENT_OFFSET)
+        .paymentSchedule(SCHEDULE)
+        .payReceive(PAY)
+        .build();
+    assertThat(test.getCalculation()).isEqualTo(RATE_CALCULATION);
+    assertThat(test.getCapSchedule().get()).isEqualTo(CAP);
+    assertThat(test.getFloorSchedule()).isNotPresent();
+    assertThat(test.getCurrency()).isEqualTo(GBP);
+    assertThat(test.getNotional()).isEqualTo(NOTIONAL);
+    assertThat(test.getPaymentDateOffset()).isEqualTo(PAYMENT_OFFSET);
+    assertThat(test.getPaymentSchedule()).isEqualTo(SCHEDULE);
+    assertThat(test.getPayReceive()).isEqualTo(PAY);
+    assertThat(test.getStartDate()).isEqualTo(AdjustableDate.of(START, BUSS_ADJ));
+    assertThat(test.getEndDate()).isEqualTo(AdjustableDate.of(END, BUSS_ADJ));
+    assertThat(test.getIndex()).isEqualTo(EUR_ESTR);
+  }
+
+  @Test
+  public void test_builder_min() {
+    OvernightInArrearsCapFloorLeg test = OvernightInArrearsCapFloorLeg.builder()
+        .calculation(RATE_CALCULATION)
+        .floorSchedule(FLOOR)
+        .notional(NOTIONAL)
+        .paymentSchedule(SCHEDULE)
+        .payReceive(RECEIVE)
+        .build();
+    assertThat(test.getCalculation()).isEqualTo(RATE_CALCULATION);
+    assertThat(test.getCapSchedule()).isNotPresent();
+    assertThat(test.getFloorSchedule().get()).isEqualTo(FLOOR);
+    assertThat(test.getCurrency()).isEqualTo(EUR);
+    assertThat(test.getNotional()).isEqualTo(NOTIONAL);
+    assertThat(test.getPaymentDateOffset()).isEqualTo(DaysAdjustment.NONE);
+    assertThat(test.getPaymentSchedule()).isEqualTo(SCHEDULE);
+    assertThat(test.getPayReceive()).isEqualTo(RECEIVE);
+    assertThat(test.getStartDate()).isEqualTo(AdjustableDate.of(START, BUSS_ADJ));
+    assertThat(test.getEndDate()).isEqualTo(AdjustableDate.of(END, BUSS_ADJ));
+  }
+
+  @Test
+  public void test_builder_fail() {
+    // cap and floor present 
+    assertThatIllegalArgumentException()
+        .isThrownBy(() -> OvernightInArrearsCapFloorLeg.builder()
+            .calculation(RATE_CALCULATION)
+            .capSchedule(CAP)
+            .floorSchedule(FLOOR)
+            .notional(NOTIONAL)
+            .paymentSchedule(SCHEDULE)
+            .payReceive(RECEIVE)
+            .build());
+    // cap and floor missing
+    assertThatIllegalArgumentException()
+        .isThrownBy(() -> OvernightInArrearsCapFloorLeg.builder()
+            .calculation(RATE_CALCULATION)
+            .notional(NOTIONAL)
+            .paymentSchedule(PeriodicSchedule.builder()
+                .startDate(START)
+                .endDate(END)
+                .frequency(FREQUENCY)
+                .businessDayAdjustment(BUSS_ADJ)
+                .build())
+            .payReceive(RECEIVE)
+            .build());
+    // stub type
+    assertThatIllegalArgumentException()
+        .isThrownBy(() -> OvernightInArrearsCapFloorLeg.builder()
+            .calculation(RATE_CALCULATION)
+            .capSchedule(CAP)
+            .currency(GBP)
+            .notional(NOTIONAL)
+            .paymentDateOffset(PAYMENT_OFFSET)
+            .paymentSchedule(PeriodicSchedule.builder()
+                .startDate(START)
+                .endDate(END)
+                .frequency(FREQUENCY)
+                .businessDayAdjustment(BUSS_ADJ)
+                .stubConvention(StubConvention.SHORT_FINAL)
+                .build())
+            .payReceive(PAY)
+            .build());
+    // accrual method not compounded
+    assertThatIllegalArgumentException()
+        .isThrownBy(() -> OvernightInArrearsCapFloorLeg.builder()
+            .calculation(OvernightRateCalculation.builder()
+                .index(EUR_ESTR)
+                .accrualMethod(OvernightAccrualMethod.AVERAGED_DAILY)
+                .build())
+            .floorSchedule(FLOOR)
+            .notional(NOTIONAL)
+            .paymentSchedule(SCHEDULE)
+            .payReceive(RECEIVE)
+            .build());
+  }
+
+  @Test
+  public void test_resolve_cap() {
+    OvernightRateCalculation rateCalc = OvernightRateCalculation.of(EUR_EONIA);
+    OvernightInArrearsCapFloorLeg base = OvernightInArrearsCapFloorLeg.builder()
+        .calculation(rateCalc)
+        .capSchedule(CAP)
+        .notional(NOTIONAL)
+        .paymentDateOffset(PAYMENT_OFFSET)
+        .paymentSchedule(SCHEDULE)
+        .payReceive(RECEIVE)
+        .build();
+    LocalDate[] unadjustedDates = new LocalDate[]{
+        START, START.plusMonths(3),
+        START.plusMonths(6),
+        START.plusMonths(9),
+        START.plusMonths(12)};
+    OvernightInArrearsCapletFloorletPeriod[] periods = new OvernightInArrearsCapletFloorletPeriod[4];
+    for (int i = 0; i < 4; ++i) {
+      LocalDate start = BUSS_ADJ.adjust(unadjustedDates[i], REF_DATA);
+      LocalDate end = BUSS_ADJ.adjust(unadjustedDates[i + 1], REF_DATA);
+      double yearFraction = rateCalc.getDayCount().relativeYearFraction(start, end);
+      periods[i] = OvernightInArrearsCapletFloorletPeriod.builder()
+          .caplet(CAP.getInitialValue())
+          .currency(EUR)
+          .startDate(start)
+          .endDate(end)
+          .unadjustedStartDate(unadjustedDates[i])
+          .unadjustedEndDate(unadjustedDates[i + 1])
+          .paymentDate(PAYMENT_OFFSET.adjust(end, REF_DATA))
+          .notional(NOTIONALS[i])
+          .overnightRate(OvernightCompoundedRateComputation.of(EUR_EONIA, start, end, REF_DATA))
+          .yearFraction(yearFraction)
+          .build();
+    }
+    ResolvedOvernightInArrearsCapFloorLeg expected = ResolvedOvernightInArrearsCapFloorLeg.builder()
+        .capletFloorletPeriods(periods)
+        .payReceive(RECEIVE)
+        .build();
+    ResolvedOvernightInArrearsCapFloorLeg computed = base.resolve(REF_DATA);
+    assertThat(computed).isEqualTo(expected);
+  }
+
+  @Test
+  public void test_resolve_floor() {
+    OvernightInArrearsCapFloorLeg base = OvernightInArrearsCapFloorLeg.builder()
+        .calculation(RATE_CALCULATION)
+        .floorSchedule(FLOOR)
+        .currency(EUR)
+        .notional(NOTIONAL)
+        .paymentDateOffset(PAYMENT_OFFSET)
+        .paymentSchedule(SCHEDULE)
+        .payReceive(PAY)
+        .build();
+    LocalDate[] unadjustedDates = new LocalDate[] {
+        START,
+        START.plusMonths(3),
+        START.plusMonths(6),
+        START.plusMonths(9),
+        START.plusMonths(12)};
+    OvernightInArrearsCapletFloorletPeriod[] periods = new OvernightInArrearsCapletFloorletPeriod[4];
+    for (int i = 0; i < 4; ++i) {
+      LocalDate start = BUSS_ADJ.adjust(unadjustedDates[i], REF_DATA);
+      LocalDate end = BUSS_ADJ.adjust(unadjustedDates[i + 1], REF_DATA);
+      double yearFraction = RATE_CALCULATION.getDayCount().relativeYearFraction(start, end);
+      periods[i] = OvernightInArrearsCapletFloorletPeriod.builder()
+          .floorlet(STRIKES[i])
+          .currency(EUR)
+          .startDate(start)
+          .endDate(end)
+          .unadjustedStartDate(unadjustedDates[i])
+          .unadjustedEndDate(unadjustedDates[i + 1])
+          .paymentDate(PAYMENT_OFFSET.adjust(end, REF_DATA))
+          .notional(-NOTIONALS[i])
+          .overnightRate(OvernightCompoundedRateComputation.of(EUR_ESTR, start, end, REF_DATA))
+          .yearFraction(yearFraction)
+          .build();
+    }
+    ResolvedOvernightInArrearsCapFloorLeg expected = ResolvedOvernightInArrearsCapFloorLeg.builder()
+        .capletFloorletPeriods(periods)
+        .payReceive(PAY)
+        .build();
+    ResolvedOvernightInArrearsCapFloorLeg computed = base.resolve(REF_DATA);
+    assertThat(computed).isEqualTo(expected);
+  }
+
+  //-------------------------------------------------------------------------
+  @Test
+  public void coverage() {
+    OvernightInArrearsCapFloorLeg test1 = OvernightInArrearsCapFloorLeg.builder()
+        .calculation(RATE_CALCULATION)
+        .floorSchedule(FLOOR)
+        .notional(NOTIONAL)
+        .paymentSchedule(SCHEDULE)
+        .payReceive(RECEIVE)
+        .build();
+    coverImmutableBean(test1);
+    OvernightInArrearsCapFloorLeg test2 = OvernightInArrearsCapFloorLeg.builder()
+        .calculation(OvernightRateCalculation.of(OvernightIndices.GBP_SONIA))
+        .capSchedule(CAP)
+        .notional(ValueSchedule.of(1000))
+        .paymentDateOffset(PAYMENT_OFFSET)
+        .paymentSchedule(PeriodicSchedule.builder()
+            .startDate(START)
+            .endDate(END)
+            .frequency(Frequency.P6M)
+            .businessDayAdjustment(BUSS_ADJ)
+            .build())
+        .payReceive(PAY)
+        .build();
+    coverBeanEquals(test1, test2);
+  }
+
+  @Test
+  public void test_serialization() {
+    OvernightInArrearsCapFloorLeg test = OvernightInArrearsCapFloorLeg.builder()
+        .calculation(RATE_CALCULATION)
+        .floorSchedule(FLOOR)
+        .notional(NOTIONAL)
+        .paymentSchedule(SCHEDULE)
+        .payReceive(RECEIVE)
+        .build();
+    assertSerialization(test);
+  }
+
+}
diff --git a/modules/product/src/test/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorTest.java b/modules/product/src/test/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorTest.java
new file mode 100644
index 0000000000..4742548481
--- /dev/null
+++ b/modules/product/src/test/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorTest.java
@@ -0,0 +1,167 @@
+/*
+ * Copyright (C) 2024 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.product.capfloor;
+
+import static com.opengamma.strata.basics.currency.Currency.EUR;
+import static com.opengamma.strata.basics.currency.Currency.GBP;
+import static com.opengamma.strata.basics.date.DayCounts.ACT_360;
+import static com.opengamma.strata.basics.date.HolidayCalendarIds.EUTA;
+import static com.opengamma.strata.basics.index.OvernightIndices.EUR_ESTR;
+import static com.opengamma.strata.basics.index.OvernightIndices.GBP_SONIA;
+import static com.opengamma.strata.collect.TestHelper.assertSerialization;
+import static com.opengamma.strata.collect.TestHelper.coverBeanEquals;
+import static com.opengamma.strata.collect.TestHelper.coverImmutableBean;
+import static com.opengamma.strata.product.common.PayReceive.PAY;
+import static com.opengamma.strata.product.common.PayReceive.RECEIVE;
+import static org.assertj.core.api.Assertions.assertThat;
+
+import java.time.LocalDate;
+
+import org.junit.jupiter.api.Test;
+
+import com.opengamma.strata.basics.ReferenceData;
+import com.opengamma.strata.basics.date.BusinessDayAdjustment;
+import com.opengamma.strata.basics.date.BusinessDayConventions;
+import com.opengamma.strata.basics.date.DaysAdjustment;
+import com.opengamma.strata.basics.schedule.Frequency;
+import com.opengamma.strata.basics.schedule.PeriodicSchedule;
+import com.opengamma.strata.basics.value.ValueSchedule;
+import com.opengamma.strata.product.swap.FixedRateCalculation;
+import com.opengamma.strata.product.swap.NotionalSchedule;
+import com.opengamma.strata.product.swap.OvernightRateCalculation;
+import com.opengamma.strata.product.swap.PaymentSchedule;
+import com.opengamma.strata.product.swap.RateCalculationSwapLeg;
+import com.opengamma.strata.product.swap.SwapLeg;
+
+/**
+ * Test {@link OvernightInArrearsCapFloor}.
+ */
+public class OvernightInArrearsCapFloorTest {
+
+  private static final ReferenceData REF_DATA = ReferenceData.standard();
+  private static final LocalDate START = LocalDate.of(2011, 3, 17);
+  private static final LocalDate END = LocalDate.of(2016, 3, 17);
+  private static final OvernightRateCalculation RATE_CALCULATION = OvernightRateCalculation.of(EUR_ESTR);
+  private static final Frequency FREQUENCY = Frequency.P3M;
+  private static final BusinessDayAdjustment BUSS_ADJ =
+      BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, EUTA);
+  private static final PeriodicSchedule SCHEDULE = PeriodicSchedule.builder()
+      .startDate(START)
+      .endDate(END)
+      .frequency(FREQUENCY)
+      .businessDayAdjustment(BUSS_ADJ)
+      .build();
+  private static final DaysAdjustment PAYMENT_OFFSET = DaysAdjustment.ofBusinessDays(2, EUTA);
+  private static final ValueSchedule CAP = ValueSchedule.of(0.0325);
+  private static final ValueSchedule NOTIONAL = ValueSchedule.of(1.0e6);
+  private static final OvernightInArrearsCapFloorLeg CAPFLOOR_LEG = OvernightInArrearsCapFloorLeg.builder()
+      .calculation(RATE_CALCULATION)
+      .capSchedule(CAP)
+      .notional(NOTIONAL)
+      .paymentDateOffset(PAYMENT_OFFSET)
+      .paymentSchedule(SCHEDULE)
+      .payReceive(RECEIVE)
+      .build();
+  private static final SwapLeg PAY_LEG = RateCalculationSwapLeg.builder()
+      .payReceive(PAY)
+      .accrualSchedule(SCHEDULE)
+      .calculation(
+          FixedRateCalculation.of(0.001, ACT_360))
+      .paymentSchedule(
+          PaymentSchedule.builder()
+              .paymentFrequency(FREQUENCY)
+              .paymentDateOffset(DaysAdjustment.NONE)
+              .build())
+      .notionalSchedule(
+          NotionalSchedule.of(EUR, NOTIONAL))
+      .build();
+  private static final SwapLeg PAY_LEG_XCCY = RateCalculationSwapLeg.builder()
+      .payReceive(PAY)
+      .accrualSchedule(SCHEDULE)
+      .calculation(
+          OvernightRateCalculation.of(GBP_SONIA))
+      .paymentSchedule(
+          PaymentSchedule.builder()
+              .paymentFrequency(FREQUENCY)
+              .paymentDateOffset(DaysAdjustment.NONE)
+              .build())
+      .notionalSchedule(
+          NotionalSchedule.of(GBP, NOTIONAL))
+      .build();
+
+  @Test
+  public void test_of_oneLeg() {
+    OvernightInArrearsCapFloor test = OvernightInArrearsCapFloor.of(CAPFLOOR_LEG);
+    assertThat(test.getCapFloorLeg()).isEqualTo(CAPFLOOR_LEG);
+    assertThat(test.getPayLeg()).isNotPresent();
+    assertThat(test.isCrossCurrency()).isFalse();
+    assertThat(test.allPaymentCurrencies()).containsOnly(EUR);
+    assertThat(test.allCurrencies()).containsOnly(EUR);
+    assertThat(test.allIndices()).containsOnly(EUR_ESTR);
+  }
+
+  @Test
+  public void test_of_twoLegs() {
+    OvernightInArrearsCapFloor test = OvernightInArrearsCapFloor.of(CAPFLOOR_LEG, PAY_LEG);
+    assertThat(test.getCapFloorLeg()).isEqualTo(CAPFLOOR_LEG);
+    assertThat(test.getPayLeg().get()).isEqualTo(PAY_LEG);
+    assertThat(test.isCrossCurrency()).isFalse();
+    assertThat(test.allPaymentCurrencies()).containsOnly(EUR);
+    assertThat(test.allCurrencies()).containsOnly(EUR);
+    assertThat(test.allIndices()).containsOnly(EUR_ESTR);
+  }
+
+  @Test
+  public void test_of_twoLegs_xccy() {
+    OvernightInArrearsCapFloor test = OvernightInArrearsCapFloor.of(CAPFLOOR_LEG, PAY_LEG_XCCY);
+    assertThat(test.getCapFloorLeg()).isEqualTo(CAPFLOOR_LEG);
+    assertThat(test.getPayLeg().get()).isEqualTo(PAY_LEG_XCCY);
+    assertThat(test.isCrossCurrency()).isTrue();
+    assertThat(test.allPaymentCurrencies()).containsOnly(GBP, EUR);
+    assertThat(test.allCurrencies()).containsOnly(GBP, EUR);
+    assertThat(test.allIndices()).containsOnly(GBP_SONIA, EUR_ESTR);
+  }
+
+  @Test
+  public void test_resolve_oneLeg() {
+    OvernightInArrearsCapFloor base = OvernightInArrearsCapFloor.of(CAPFLOOR_LEG);
+    ResolvedOvernightInArrearsCapFloor test = base.resolve(REF_DATA);
+    assertThat(test.getCapFloorLeg()).isEqualTo(CAPFLOOR_LEG.resolve(REF_DATA));
+    assertThat(test.getPayLeg()).isNotPresent();
+  }
+
+  @Test
+  public void test_resolve_twoLegs() {
+    OvernightInArrearsCapFloor base = OvernightInArrearsCapFloor.of(CAPFLOOR_LEG, PAY_LEG);
+    ResolvedOvernightInArrearsCapFloor test = base.resolve(REF_DATA);
+    assertThat(test.getCapFloorLeg()).isEqualTo(CAPFLOOR_LEG.resolve(REF_DATA));
+    assertThat(test.getPayLeg().get()).isEqualTo(PAY_LEG.resolve(REF_DATA));
+  }
+
+  //-------------------------------------------------------------------------
+  @Test
+  public void coverage() {
+    OvernightInArrearsCapFloor test1 = OvernightInArrearsCapFloor.of(CAPFLOOR_LEG);
+    coverImmutableBean(test1);
+    OvernightInArrearsCapFloorLeg capFloor = OvernightInArrearsCapFloorLeg.builder()
+        .calculation(RATE_CALCULATION)
+        .floorSchedule(CAP)
+        .notional(NOTIONAL)
+        .paymentDateOffset(PAYMENT_OFFSET)
+        .paymentSchedule(SCHEDULE)
+        .payReceive(RECEIVE)
+        .build();
+    OvernightInArrearsCapFloor test2 = OvernightInArrearsCapFloor.of(capFloor, PAY_LEG);
+    coverBeanEquals(test1, test2);
+  }
+
+  @Test
+  public void test_serialization() {
+    OvernightInArrearsCapFloor test = OvernightInArrearsCapFloor.of(CAPFLOOR_LEG);
+    assertSerialization(test);
+  }
+
+}
diff --git a/modules/product/src/test/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorTradeTest.java b/modules/product/src/test/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorTradeTest.java
new file mode 100644
index 0000000000..50154a3081
--- /dev/null
+++ b/modules/product/src/test/java/com/opengamma/strata/product/capfloor/OvernightInArrearsCapFloorTradeTest.java
@@ -0,0 +1,194 @@
+/*
+ * Copyright (C) 2024 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.product.capfloor;
+
+import static com.opengamma.strata.basics.currency.Currency.EUR;
+import static com.opengamma.strata.basics.date.HolidayCalendarIds.EUTA;
+import static com.opengamma.strata.basics.index.OvernightIndices.EUR_ESTR;
+import static com.opengamma.strata.collect.TestHelper.assertSerialization;
+import static com.opengamma.strata.collect.TestHelper.coverBeanEquals;
+import static com.opengamma.strata.collect.TestHelper.coverImmutableBean;
+import static com.opengamma.strata.product.common.PayReceive.PAY;
+import static com.opengamma.strata.product.common.PayReceive.RECEIVE;
+import static org.assertj.core.api.Assertions.assertThat;
+
+import java.time.LocalDate;
+
+import org.junit.jupiter.api.Test;
+
+import com.opengamma.strata.basics.ReferenceData;
+import com.opengamma.strata.basics.currency.AdjustablePayment;
+import com.opengamma.strata.basics.currency.Currency;
+import com.opengamma.strata.basics.currency.CurrencyAmount;
+import com.opengamma.strata.basics.date.BusinessDayAdjustment;
+import com.opengamma.strata.basics.date.BusinessDayConventions;
+import com.opengamma.strata.basics.date.DaysAdjustment;
+import com.opengamma.strata.basics.schedule.Frequency;
+import com.opengamma.strata.basics.schedule.PeriodicSchedule;
+import com.opengamma.strata.basics.value.ValueSchedule;
+import com.opengamma.strata.product.PortfolioItemSummary;
+import com.opengamma.strata.product.PortfolioItemType;
+import com.opengamma.strata.product.ProductType;
+import com.opengamma.strata.product.TradeInfo;
+import com.opengamma.strata.product.swap.OvernightRateCalculation;
+
+/**
+ * Test {@link OvernightInArrearsCapFloorTrade}.
+ */
+public class OvernightInArrearsCapFloorTradeTest {
+
+  private static final ReferenceData REF_DATA = ReferenceData.standard();
+  private static final LocalDate START = LocalDate.of(2011, 3, 17);
+  private static final LocalDate END = LocalDate.of(2016, 3, 17);
+  private static final OvernightRateCalculation RATE_CALCULATION = OvernightRateCalculation.of(EUR_ESTR);
+  private static final Frequency FREQUENCY = Frequency.P3M;
+  private static final BusinessDayAdjustment BUSS_ADJ =
+      BusinessDayAdjustment.of(BusinessDayConventions.FOLLOWING, EUTA);
+  private static final PeriodicSchedule SCHEDULE = PeriodicSchedule.builder()
+      .startDate(START)
+      .endDate(END)
+      .frequency(FREQUENCY)
+      .businessDayAdjustment(BUSS_ADJ)
+      .build();
+  private static final DaysAdjustment PAYMENT_OFFSET = DaysAdjustment.ofBusinessDays(2, EUTA);
+  private static final ValueSchedule CAP = ValueSchedule.of(0.0325);
+  private static final double NOTIONAL_VALUE = 1.0e6;
+  private static final ValueSchedule NOTIONAL = ValueSchedule.of(NOTIONAL_VALUE);
+  private static final OvernightInArrearsCapFloorLeg CAP_LEG = OvernightInArrearsCapFloorLeg.builder()
+      .calculation(RATE_CALCULATION)
+      .capSchedule(CAP)
+      .notional(NOTIONAL)
+      .paymentDateOffset(PAYMENT_OFFSET)
+      .paymentSchedule(SCHEDULE)
+      .payReceive(RECEIVE)
+      .build();
+  private static final OvernightInArrearsCapFloorLeg FLOOR_LEG = OvernightInArrearsCapFloorLeg.builder()
+      .calculation(RATE_CALCULATION)
+      .floorSchedule(CAP)
+      .notional(NOTIONAL)
+      .paymentDateOffset(PAYMENT_OFFSET)
+      .paymentSchedule(SCHEDULE)
+      .payReceive(RECEIVE)
+      .build();
+  private static final OvernightInArrearsCapFloor PRODUCT = OvernightInArrearsCapFloor.of(CAP_LEG);
+  private static final OvernightInArrearsCapFloor PRODUCT_FLOOR = OvernightInArrearsCapFloor.of(FLOOR_LEG);
+  private static final AdjustablePayment PREMIUM =
+      AdjustablePayment.of(CurrencyAmount.of(EUR, NOTIONAL_VALUE), LocalDate.of(2011, 3, 18));
+  private static final TradeInfo TRADE_INFO = TradeInfo.builder()
+      .tradeDate(LocalDate.of(2011, 3, 15))
+      .build();
+
+  //-------------------------------------------------------------------------
+  @Test
+  public void test_builder_full() {
+    OvernightInArrearsCapFloorTrade test = sut();
+    assertThat(test.getPremium().get()).isEqualTo(PREMIUM);
+    assertThat(test.getProduct()).isEqualTo(PRODUCT);
+    assertThat(test.getInfo()).isEqualTo(TRADE_INFO);
+    assertThat(test.withInfo(TRADE_INFO).getInfo()).isEqualTo(TRADE_INFO);
+  }
+
+  @Test
+  public void test_builder_min() {
+    OvernightInArrearsCapFloorTrade test = OvernightInArrearsCapFloorTrade.builder()
+        .product(PRODUCT)
+        .build();
+    assertThat(test.getPremium()).isNotPresent();
+    assertThat(test.getProduct()).isEqualTo(PRODUCT);
+    assertThat(test.getInfo()).isEqualTo(TradeInfo.empty());
+  }
+
+  //-------------------------------------------------------------------------
+  @Test
+  public void test_summarize() {
+    OvernightInArrearsCapFloorTrade trade = sut();
+    PortfolioItemSummary expected = PortfolioItemSummary.builder()
+        .id(TRADE_INFO.getId().orElse(null))
+        .portfolioItemType(PortfolioItemType.TRADE)
+        .productType(ProductType.OVERNIGHT_IN_ARREARS_CAP_FLOOR)
+        .currencies(Currency.EUR)
+        .description("5Y EUR 1mm Rec Compounded EUR-ESTR Cap 3.25% / Pay Premium : 17Mar11-17Mar16")
+        .build();
+    assertThat(trade.summarize()).isEqualTo(expected);
+  }
+
+  @Test
+  public void test_summarize_floor() {
+    OvernightInArrearsCapFloorTrade trade = OvernightInArrearsCapFloorTrade.builder()
+        .info(TRADE_INFO)
+        .product(PRODUCT_FLOOR)
+        .build();
+    PortfolioItemSummary expected = PortfolioItemSummary.builder()
+        .id(TRADE_INFO.getId().orElse(null))
+        .portfolioItemType(PortfolioItemType.TRADE)
+        .productType(ProductType.OVERNIGHT_IN_ARREARS_CAP_FLOOR)
+        .currencies(Currency.EUR)
+        .description("5Y EUR 1mm Rec Compounded EUR-ESTR Floor 3.25% : 17Mar11-17Mar16")
+        .build();
+    assertThat(trade.summarize()).isEqualTo(expected);
+  }
+
+  //-------------------------------------------------------------------------
+  @Test
+  public void test_resolve() {
+    OvernightInArrearsCapFloorTrade test = sut();
+    ResolvedOvernightInArrearsCapFloorTrade expected = ResolvedOvernightInArrearsCapFloorTrade.builder()
+        .info(TRADE_INFO)
+        .product(PRODUCT.resolve(REF_DATA))
+        .premium(PREMIUM.resolve(REF_DATA))
+        .build();
+    assertThat(test.resolve(REF_DATA)).isEqualTo(expected);
+  }
+
+  @Test
+  public void test_resolve_noPremium() {
+    OvernightInArrearsCapFloorTrade test = OvernightInArrearsCapFloorTrade.builder()
+        .info(TRADE_INFO)
+        .product(PRODUCT)
+        .build();
+    ResolvedOvernightInArrearsCapFloorTrade expected = ResolvedOvernightInArrearsCapFloorTrade.builder()
+        .info(TRADE_INFO)
+        .product(PRODUCT.resolve(REF_DATA))
+        .build();
+    assertThat(test.resolve(REF_DATA)).isEqualTo(expected);
+  }
+
+  //-------------------------------------------------------------------------
+  @Test
+  public void coverage() {
+    OvernightInArrearsCapFloorTrade test1 = sut();
+    coverImmutableBean(test1);
+    OvernightInArrearsCapFloor product = OvernightInArrearsCapFloor.of(
+        OvernightInArrearsCapFloorLeg.builder()
+            .calculation(RATE_CALCULATION)
+            .floorSchedule(CAP)
+            .notional(NOTIONAL)
+            .paymentDateOffset(PAYMENT_OFFSET)
+            .paymentSchedule(SCHEDULE)
+            .payReceive(PAY)
+            .build());
+    OvernightInArrearsCapFloorTrade test2 = OvernightInArrearsCapFloorTrade.builder()
+        .product(product)
+        .build();
+    coverBeanEquals(test1, test2);
+  }
+
+  @Test
+  public void test_serialization() {
+    OvernightInArrearsCapFloorTrade test = sut();
+    assertSerialization(test);
+  }
+
+  //-------------------------------------------------------------------------
+  OvernightInArrearsCapFloorTrade sut() {
+    return OvernightInArrearsCapFloorTrade.builder()
+        .info(TRADE_INFO)
+        .product(PRODUCT)
+        .premium(PREMIUM)
+        .build();
+  }
+
+}
diff --git a/modules/product/src/test/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorLegTest.java b/modules/product/src/test/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorLegTest.java
new file mode 100644
index 0000000000..85bf954d3e
--- /dev/null
+++ b/modules/product/src/test/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorLegTest.java
@@ -0,0 +1,186 @@
+/*
+ * Copyright (C) 2024 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.product.capfloor;
+
+import static com.opengamma.strata.basics.currency.Currency.EUR;
+import static com.opengamma.strata.basics.currency.Currency.GBP;
+import static com.opengamma.strata.basics.index.OvernightIndices.EUR_ESTR;
+import static com.opengamma.strata.basics.index.OvernightIndices.GBP_SONIA;
+import static com.opengamma.strata.collect.TestHelper.assertSerialization;
+import static com.opengamma.strata.collect.TestHelper.coverBeanEquals;
+import static com.opengamma.strata.collect.TestHelper.coverImmutableBean;
+import static com.opengamma.strata.product.common.PayReceive.PAY;
+import static com.opengamma.strata.product.common.PayReceive.RECEIVE;
+import static org.assertj.core.api.Assertions.assertThat;
+import static org.assertj.core.api.Assertions.assertThatIllegalArgumentException;
+
+import java.time.LocalDate;
+
+import org.junit.jupiter.api.Test;
+
+import com.opengamma.strata.basics.ReferenceData;
+import com.opengamma.strata.product.rate.OvernightCompoundedRateComputation;
+
+/**
+ * Test {@link ResolvedOvernightInArrearsCapFloorLeg}.
+ */
+public class ResolvedOvernightInArrearsCapFloorLegTest {
+
+  private static final ReferenceData REF_DATA = ReferenceData.standard();
+  private static final double STRIKE = 0.0125;
+  private static final double NOTIONAL = 1.0e6;
+  private static final OvernightInArrearsCapletFloorletPeriod PERIOD_1 = OvernightInArrearsCapletFloorletPeriod.builder()
+      .caplet(STRIKE)
+      .notional(NOTIONAL)
+      .currency(EUR)
+      .startDate(LocalDate.of(2011, 3, 17))
+      .endDate(LocalDate.of(2011, 6, 17))
+      .unadjustedStartDate(LocalDate.of(2011, 3, 17))
+      .unadjustedEndDate(LocalDate.of(2011, 6, 17))
+      .paymentDate(LocalDate.of(2011, 6, 21))
+      .overnightRate(OvernightCompoundedRateComputation.of(
+          EUR_ESTR,
+          LocalDate.of(2011, 3, 17),
+          LocalDate.of(2011, 6, 17),
+          REF_DATA))
+      .yearFraction(0.2556)
+      .build();
+  private static final OvernightInArrearsCapletFloorletPeriod PERIOD_2 = OvernightInArrearsCapletFloorletPeriod.builder()
+      .caplet(STRIKE)
+      .notional(NOTIONAL)
+      .currency(EUR)
+      .startDate(LocalDate.of(2011, 6, 17))
+      .endDate(LocalDate.of(2011, 9, 19))
+      .unadjustedStartDate(LocalDate.of(2011, 6, 17))
+      .unadjustedEndDate(LocalDate.of(2011, 9, 17))
+      .paymentDate(LocalDate.of(2011, 9, 21))
+      .overnightRate(OvernightCompoundedRateComputation.of(
+          EUR_ESTR,
+          LocalDate.of(2011, 6, 17),
+          LocalDate.of(2011, 9, 17),
+          REF_DATA))
+      .yearFraction(0.2611)
+      .build();
+  private static final OvernightInArrearsCapletFloorletPeriod PERIOD_3 = OvernightInArrearsCapletFloorletPeriod.builder()
+      .caplet(STRIKE)
+      .notional(NOTIONAL)
+      .currency(EUR)
+      .startDate(LocalDate.of(2011, 9, 19))
+      .endDate(LocalDate.of(2011, 12, 19))
+      .unadjustedStartDate(LocalDate.of(2011, 9, 17))
+      .unadjustedEndDate(LocalDate.of(2011, 12, 17))
+      .paymentDate(LocalDate.of(2011, 12, 21))
+      .overnightRate(OvernightCompoundedRateComputation.of(
+          EUR_ESTR,
+          LocalDate.of(2011, 9, 17),
+          LocalDate.of(2011, 12, 17),
+          REF_DATA))
+      .yearFraction(0.2528)
+      .build();
+  private static final OvernightInArrearsCapletFloorletPeriod PERIOD_4 = OvernightInArrearsCapletFloorletPeriod.builder()
+      .caplet(STRIKE)
+      .notional(NOTIONAL)
+      .currency(EUR)
+      .startDate(LocalDate.of(2011, 12, 19))
+      .endDate(LocalDate.of(2012, 3, 19))
+      .unadjustedStartDate(LocalDate.of(2011, 12, 17))
+      .unadjustedEndDate(LocalDate.of(2012, 3, 17))
+      .paymentDate(LocalDate.of(2012, 3, 21))
+      .overnightRate(OvernightCompoundedRateComputation.of(
+          EUR_ESTR,
+          LocalDate.of(2011, 12, 17),
+          LocalDate.of(2012, 3, 17),
+          REF_DATA))
+      .yearFraction(0.2528)
+      .build();
+
+  @Test
+  public void test_builder() {
+    ResolvedOvernightInArrearsCapFloorLeg test = ResolvedOvernightInArrearsCapFloorLeg.builder()
+        .capletFloorletPeriods(PERIOD_1, PERIOD_2, PERIOD_3, PERIOD_4)
+        .payReceive(RECEIVE)
+        .build();
+    assertThat(test.getCapletFloorletPeriods()).containsExactly(PERIOD_1, PERIOD_2, PERIOD_3, PERIOD_4);
+    assertThat(test.getPayReceive()).isEqualTo(RECEIVE);
+    assertThat(test.getStartDate()).isEqualTo(PERIOD_1.getStartDate());
+    assertThat(test.getEndDate()).isEqualTo(PERIOD_4.getEndDate());
+    assertThat(test.getFinalPeriod()).isEqualTo(PERIOD_4);
+    assertThat(test.getCurrency()).isEqualTo(EUR);
+    assertThat(test.getIndex()).isEqualTo(EUR_ESTR);
+  }
+
+  @Test
+  public void test_builder_fail() {
+    // two currencies
+    OvernightInArrearsCapletFloorletPeriod periodGbp = OvernightInArrearsCapletFloorletPeriod.builder()
+        .caplet(STRIKE)
+        .notional(NOTIONAL)
+        .currency(GBP)
+        .startDate(LocalDate.of(2011, 6, 17))
+        .endDate(LocalDate.of(2011, 9, 19))
+        .unadjustedStartDate(LocalDate.of(2011, 6, 17))
+        .unadjustedEndDate(LocalDate.of(2011, 9, 17))
+        .paymentDate(LocalDate.of(2011, 9, 21))
+        .overnightRate(OvernightCompoundedRateComputation.of(
+            EUR_ESTR,
+            LocalDate.of(2011, 6, 17),
+            LocalDate.of(2011, 9, 17),
+            REF_DATA))
+        .yearFraction(0.2611)
+        .build();
+    assertThatIllegalArgumentException()
+        .isThrownBy(() -> ResolvedOvernightInArrearsCapFloorLeg.builder()
+            .capletFloorletPeriods(PERIOD_1, periodGbp)
+            .payReceive(RECEIVE)
+            .build());
+    // two indices
+    OvernightInArrearsCapletFloorletPeriod period = OvernightInArrearsCapletFloorletPeriod.builder()
+        .caplet(STRIKE)
+        .notional(NOTIONAL)
+        .currency(EUR)
+        .startDate(LocalDate.of(2011, 6, 17))
+        .endDate(LocalDate.of(2011, 9, 19))
+        .unadjustedStartDate(LocalDate.of(2011, 6, 17))
+        .unadjustedEndDate(LocalDate.of(2011, 9, 17))
+        .paymentDate(LocalDate.of(2011, 9, 21)).overnightRate(OvernightCompoundedRateComputation.of(
+            GBP_SONIA,
+            LocalDate.of(2011, 6, 17),
+            LocalDate.of(2011, 9, 17),
+            REF_DATA))
+        .yearFraction(0.2611)
+        .build();
+    assertThatIllegalArgumentException()
+        .isThrownBy(() -> ResolvedOvernightInArrearsCapFloorLeg.builder()
+            .capletFloorletPeriods(PERIOD_1, period)
+            .payReceive(RECEIVE)
+            .build());
+  }
+
+  //-------------------------------------------------------------------------
+  @Test
+  public void coverage() {
+    ResolvedOvernightInArrearsCapFloorLeg test1 = ResolvedOvernightInArrearsCapFloorLeg.builder()
+        .capletFloorletPeriods(PERIOD_1, PERIOD_2, PERIOD_3, PERIOD_4)
+        .payReceive(RECEIVE)
+        .build();
+    coverImmutableBean(test1);
+    ResolvedOvernightInArrearsCapFloorLeg test2 = ResolvedOvernightInArrearsCapFloorLeg.builder()
+        .capletFloorletPeriods(PERIOD_2, PERIOD_3)
+        .payReceive(PAY)
+        .build();
+    coverBeanEquals(test1, test2);
+  }
+
+  @Test
+  public void test_serialization() {
+    ResolvedOvernightInArrearsCapFloorLeg test = ResolvedOvernightInArrearsCapFloorLeg.builder()
+        .capletFloorletPeriods(PERIOD_1, PERIOD_2, PERIOD_3, PERIOD_4)
+        .payReceive(RECEIVE)
+        .build();
+    assertSerialization(test);
+  }
+
+}
diff --git a/modules/product/src/test/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorTest.java b/modules/product/src/test/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorTest.java
new file mode 100644
index 0000000000..07c38ac87f
--- /dev/null
+++ b/modules/product/src/test/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorTest.java
@@ -0,0 +1,176 @@
+/*
+ * Copyright (C) 2024 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.product.capfloor;
+
+import static com.opengamma.strata.basics.currency.Currency.EUR;
+import static com.opengamma.strata.basics.date.DayCounts.ACT_365F;
+import static com.opengamma.strata.basics.index.OvernightIndices.EUR_ESTR;
+import static com.opengamma.strata.collect.TestHelper.assertSerialization;
+import static com.opengamma.strata.collect.TestHelper.coverBeanEquals;
+import static com.opengamma.strata.collect.TestHelper.coverImmutableBean;
+import static com.opengamma.strata.product.common.PayReceive.PAY;
+import static com.opengamma.strata.product.common.PayReceive.RECEIVE;
+import static com.opengamma.strata.product.swap.SwapLegType.FIXED;
+import static org.assertj.core.api.Assertions.assertThat;
+
+import java.time.LocalDate;
+
+import org.junit.jupiter.api.Test;
+
+import com.opengamma.strata.basics.ReferenceData;
+import com.opengamma.strata.product.rate.FixedRateComputation;
+import com.opengamma.strata.product.rate.OvernightCompoundedRateComputation;
+import com.opengamma.strata.product.swap.RateAccrualPeriod;
+import com.opengamma.strata.product.swap.RatePaymentPeriod;
+import com.opengamma.strata.product.swap.ResolvedSwapLeg;
+
+/**
+ * Test {@link ResolvedOvernightInArrearsCapFloor}.
+ */
+public class ResolvedOvernightInArrearsCapFloorTest {
+
+  private static final ReferenceData REF_DATA = ReferenceData.standard();
+  private static final double STRIKE = 0.0125;
+  private static final double NOTIONAL = 1.0e6;
+  private static final OvernightInArrearsCapletFloorletPeriod PERIOD_1 = OvernightInArrearsCapletFloorletPeriod.builder()
+      .caplet(STRIKE)
+      .notional(NOTIONAL)
+      .currency(EUR)
+      .startDate(LocalDate.of(2011, 3, 17))
+      .endDate(LocalDate.of(2011, 6, 17))
+      .unadjustedStartDate(LocalDate.of(2011, 3, 17))
+      .unadjustedEndDate(LocalDate.of(2011, 6, 17))
+      .paymentDate(LocalDate.of(2011, 6, 21))
+      .overnightRate(OvernightCompoundedRateComputation.of(
+          EUR_ESTR,
+          LocalDate.of(2011, 3, 17),
+          LocalDate.of(2011, 6, 17),
+          REF_DATA))
+      .yearFraction(0.2556)
+      .build();
+  private static final OvernightInArrearsCapletFloorletPeriod PERIOD_2 = OvernightInArrearsCapletFloorletPeriod.builder()
+      .caplet(STRIKE)
+      .notional(NOTIONAL)
+      .currency(EUR)
+      .startDate(LocalDate.of(2011, 6, 17))
+      .endDate(LocalDate.of(2011, 9, 19))
+      .unadjustedStartDate(LocalDate.of(2011, 6, 17))
+      .unadjustedEndDate(LocalDate.of(2011, 9, 17))
+      .paymentDate(LocalDate.of(2011, 9, 21))
+      .overnightRate(OvernightCompoundedRateComputation.of(
+          EUR_ESTR,
+          LocalDate.of(2011, 6, 17),
+          LocalDate.of(2011, 9, 17),
+          REF_DATA))
+      .yearFraction(0.2611)
+      .build();
+  private static final OvernightInArrearsCapletFloorletPeriod PERIOD_3 = OvernightInArrearsCapletFloorletPeriod.builder()
+      .caplet(STRIKE)
+      .notional(NOTIONAL)
+      .currency(EUR)
+      .startDate(LocalDate.of(2011, 9, 19))
+      .endDate(LocalDate.of(2011, 12, 19))
+      .unadjustedStartDate(LocalDate.of(2011, 9, 17))
+      .unadjustedEndDate(LocalDate.of(2011, 12, 17))
+      .paymentDate(LocalDate.of(2011, 12, 21))
+      .overnightRate(OvernightCompoundedRateComputation.of(
+          EUR_ESTR,
+          LocalDate.of(2011, 9, 17),
+          LocalDate.of(2011, 12, 17),
+          REF_DATA))
+      .yearFraction(0.2528)
+      .build();
+  private static final OvernightInArrearsCapletFloorletPeriod PERIOD_4 = OvernightInArrearsCapletFloorletPeriod.builder()
+      .caplet(STRIKE)
+      .notional(NOTIONAL)
+      .currency(EUR)
+      .startDate(LocalDate.of(2011, 12, 19))
+      .endDate(LocalDate.of(2012, 3, 19))
+      .unadjustedStartDate(LocalDate.of(2011, 12, 17))
+      .unadjustedEndDate(LocalDate.of(2012, 3, 17))
+      .paymentDate(LocalDate.of(2012, 3, 21))
+      .overnightRate(OvernightCompoundedRateComputation.of(
+          EUR_ESTR,
+          LocalDate.of(2011, 12, 17),
+          LocalDate.of(2012, 3, 17),
+          REF_DATA))
+      .yearFraction(0.2528)
+      .build();
+  static final ResolvedOvernightInArrearsCapFloorLeg CAPFLOOR_LEG = ResolvedOvernightInArrearsCapFloorLeg.builder()
+      .capletFloorletPeriods(PERIOD_1, PERIOD_2, PERIOD_3, PERIOD_4)
+      .payReceive(RECEIVE)
+      .build();
+
+  private static final double RATE = 0.015;
+  private static final RatePaymentPeriod PAY_PERIOD_1 = RatePaymentPeriod.builder()
+      .paymentDate(LocalDate.of(2011, 9, 21))
+      .accrualPeriods(RateAccrualPeriod.builder()
+          .startDate(LocalDate.of(2011, 3, 17))
+          .endDate(LocalDate.of(2011, 9, 19))
+          .yearFraction(0.517)
+          .rateComputation(FixedRateComputation.of(RATE))
+          .build())
+      .dayCount(ACT_365F)
+      .currency(EUR)
+      .notional(-NOTIONAL)
+      .build();
+  private static final RatePaymentPeriod PAY_PERIOD_2 = RatePaymentPeriod.builder()
+      .paymentDate(LocalDate.of(2012, 3, 21))
+      .accrualPeriods(RateAccrualPeriod.builder()
+          .startDate(LocalDate.of(2011, 9, 19))
+          .endDate(LocalDate.of(2012, 3, 19))
+          .yearFraction(0.505)
+          .rateComputation(FixedRateComputation.of(RATE))
+          .build())
+      .dayCount(ACT_365F)
+      .currency(EUR)
+      .notional(-NOTIONAL)
+      .build();
+  static final ResolvedSwapLeg PAY_LEG = ResolvedSwapLeg.builder()
+      .paymentPeriods(PAY_PERIOD_1, PAY_PERIOD_2)
+      .type(FIXED)
+      .payReceive(PAY)
+      .build();
+
+  //-------------------------------------------------------------------------
+  @Test
+  public void test_of_oneLeg() {
+    ResolvedOvernightInArrearsCapFloor test = ResolvedOvernightInArrearsCapFloor.of(CAPFLOOR_LEG);
+    assertThat(test.getCapFloorLeg()).isEqualTo(CAPFLOOR_LEG);
+    assertThat(test.getPayLeg()).isNotPresent();
+    assertThat(test.allPaymentCurrencies()).containsOnly(EUR);
+    assertThat(test.allIndices()).containsOnly(EUR_ESTR);
+  }
+
+  @Test
+  public void test_of_twoLegs() {
+    ResolvedOvernightInArrearsCapFloor test = ResolvedOvernightInArrearsCapFloor.of(CAPFLOOR_LEG, PAY_LEG);
+    assertThat(test.getCapFloorLeg()).isEqualTo(CAPFLOOR_LEG);
+    assertThat(test.getPayLeg().get()).isEqualTo(PAY_LEG);
+    assertThat(test.allPaymentCurrencies()).containsOnly(EUR);
+    assertThat(test.allIndices()).containsOnly(EUR_ESTR);
+  }
+
+  //-------------------------------------------------------------------------
+  @Test
+  public void coverage() {
+    ResolvedOvernightInArrearsCapFloor test1 = ResolvedOvernightInArrearsCapFloor.of(CAPFLOOR_LEG, PAY_LEG);
+    coverImmutableBean(test1);
+    ResolvedOvernightInArrearsCapFloorLeg capFloor = ResolvedOvernightInArrearsCapFloorLeg.builder()
+        .capletFloorletPeriods(PERIOD_1)
+        .payReceive(PAY)
+        .build();
+    ResolvedOvernightInArrearsCapFloor test2 = ResolvedOvernightInArrearsCapFloor.of(capFloor);
+    coverBeanEquals(test1, test2);
+  }
+
+  @Test
+  public void test_serialization() {
+    ResolvedOvernightInArrearsCapFloor test = ResolvedOvernightInArrearsCapFloor.of(CAPFLOOR_LEG);
+    assertSerialization(test);
+  }
+
+}
diff --git a/modules/product/src/test/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorTradeTest.java b/modules/product/src/test/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorTradeTest.java
new file mode 100644
index 0000000000..f51940a15b
--- /dev/null
+++ b/modules/product/src/test/java/com/opengamma/strata/product/capfloor/ResolvedOvernightInArrearsCapFloorTradeTest.java
@@ -0,0 +1,80 @@
+/*
+ * Copyright (C) 2024 - present by OpenGamma Inc. and the OpenGamma group of companies
+ *
+ * Please see distribution for license.
+ */
+package com.opengamma.strata.product.capfloor;
+
+import static com.opengamma.strata.basics.currency.Currency.EUR;
+import static com.opengamma.strata.collect.TestHelper.assertSerialization;
+import static com.opengamma.strata.collect.TestHelper.coverBeanEquals;
+import static com.opengamma.strata.collect.TestHelper.coverImmutableBean;
+import static com.opengamma.strata.collect.TestHelper.date;
+import static org.assertj.core.api.Assertions.assertThat;
+
+import java.util.Optional;
+
+import org.junit.jupiter.api.Test;
+
+import com.opengamma.strata.basics.currency.CurrencyAmount;
+import com.opengamma.strata.basics.currency.Payment;
+import com.opengamma.strata.product.TradeInfo;
+
+/**
+ * Test {@link ResolvedOvernightInArrearsCapFloorTrade}.
+ */
+public class ResolvedOvernightInArrearsCapFloorTradeTest {
+
+  private static final TradeInfo TRADE_INFO = TradeInfo.of(date(2016, 6, 30));
+  private static final ResolvedOvernightInArrearsCapFloor PRODUCT = ResolvedOvernightInArrearsCapFloor.of(
+      ResolvedOvernightInArrearsCapFloorTest.CAPFLOOR_LEG,
+      ResolvedOvernightInArrearsCapFloorTest.PAY_LEG);
+  private static final Payment PREMIUM = Payment.of(CurrencyAmount.of(EUR, -0.001 * 1.0e6), date(2016, 7, 2));
+
+  //-------------------------------------------------------------------------
+  @Test
+  public void test_builder() {
+    ResolvedOvernightInArrearsCapFloorTrade test = ResolvedOvernightInArrearsCapFloorTrade.builder()
+        .product(PRODUCT)
+        .build();
+    assertThat(test.getInfo()).isEqualTo(TradeInfo.empty());
+    assertThat(test.getProduct()).isEqualTo(PRODUCT);
+    assertThat(test.getPremium()).isEqualTo(Optional.empty());
+  }
+
+  @Test
+  public void test_builder_full() {
+    ResolvedOvernightInArrearsCapFloorTrade test = ResolvedOvernightInArrearsCapFloorTrade.builder()
+        .info(TRADE_INFO)
+        .product(PRODUCT)
+        .premium(PREMIUM)
+        .build();
+    assertThat(test.getInfo()).isEqualTo(TRADE_INFO);
+    assertThat(test.getProduct()).isEqualTo(PRODUCT);
+    assertThat(test.getPremium()).isEqualTo(Optional.of(PREMIUM));
+  }
+
+  //-------------------------------------------------------------------------
+  @Test
+  public void coverage() {
+    ResolvedOvernightInArrearsCapFloorTrade test = ResolvedOvernightInArrearsCapFloorTrade.builder()
+        .info(TRADE_INFO)
+        .product(PRODUCT)
+        .premium(PREMIUM)
+        .build();
+    coverImmutableBean(test);
+    ResolvedOvernightInArrearsCapFloorTrade test2 = ResolvedOvernightInArrearsCapFloorTrade.builder()
+        .product(PRODUCT)
+        .build();
+    coverBeanEquals(test, test2);
+  }
+
+  @Test
+  public void test_serialization() {
+    ResolvedOvernightInArrearsCapFloorTrade test = ResolvedOvernightInArrearsCapFloorTrade.builder()
+        .product(PRODUCT)
+        .build();
+    assertSerialization(test);
+  }
+
+}