com.opengamma.strata.product.bond

Class BondFuture

java.lang.Object

com.opengamma.strata.product.bond.BondFuture

All Implemented Interfaces:

Resolvable<ResolvedBondFuture>, Product, SecuritizedProduct, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class BondFuture
extends Object
implements SecuritizedProduct, Resolvable<ResolvedBondFuture>, org.joda.beans.ImmutableBean, Serializable

A futures contract, based on a basket of fixed coupon bonds.

A bond future is a financial instrument that is based on the future value of a basket of fixed coupon bonds. The profit or loss of a bond future is settled daily. This class represents the structure of a single futures contract.

Price

Strata uses decimal prices for bond futures in the trade model, pricers and market data. This is coherent with the pricing of FixedCouponBond. The bond futures delivery is a bond for an amount computed from the bond future price, a conversion factor and the accrued interest.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	BondFuture.Builder The bean-builder for BondFuture.
static class	BondFuture.Meta The meta-bean for BondFuture.

Method Summary

Modifier and Type	Method and Description
static BondFuture.Builder	builder() Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
ImmutableList<Double>	getConversionFactors() Gets the conversion factor for each bond in the basket.
Currency	getCurrency() Obtains the currency of the underlying fixed coupon bonds.
ImmutableList<FixedCouponBond>	getDeliveryBasket() Gets the basket of deliverable bonds.
Optional<LocalDate>	getFirstDeliveryDate() Gets the first delivery date.
LocalDate	getFirstNoticeDate() Gets the first notice date.
Optional<LocalDate>	getLastDeliveryDate() Gets the last delivery date.
LocalDate	getLastNoticeDate() Gets the last notice date.
LocalDate	getLastTradeDate() Gets the last trading date.
double	getNotional() Obtains the notional of underlying fixed coupon bonds.
Rounding	getRounding() Gets the definition of how to round the futures price, defaulted to no rounding.
SecurityId	getSecurityId() Gets the security identifier.
int	hashCode()
static BondFuture.Meta	meta() The meta-bean for BondFuture.
BondFuture.Meta	metaBean()
ResolvedBondFuture	resolve(ReferenceData refData)
BondFuture.Builder	toBuilder() Returns a builder that allows this bean to be mutated.
String	toString()

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.opengamma.strata.product.SecuritizedProduct

allCurrencies

Methods inherited from interface com.opengamma.strata.product.Product

allPaymentCurrencies, isCrossCurrency

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

getNotional

public double getNotional()

Obtains the notional of underlying fixed coupon bonds.

All of the bonds in the delivery basket have the same notional.

Returns:

the notional

getCurrency

public Currency getCurrency()

Obtains the currency of the underlying fixed coupon bonds.

All of the bonds in the delivery basket have the same currency.

Specified by:

getCurrency in interface SecuritizedProduct

Returns:

the currency

resolve

public ResolvedBondFuture resolve(ReferenceData refData)

Specified by:

resolve in interface Resolvable<ResolvedBondFuture>

meta

public static BondFuture.Meta meta()

The meta-bean for BondFuture.

Returns:

the meta-bean, not null

builder

public static BondFuture.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public BondFuture.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getSecurityId

public SecurityId getSecurityId()

Gets the security identifier.

This identifier uniquely identifies the security within the system.

Specified by:

getSecurityId in interface SecuritizedProduct

Returns:

the value of the property, not null

getDeliveryBasket

public ImmutableList<FixedCouponBond> getDeliveryBasket()

Gets the basket of deliverable bonds.

The underling which will be delivered in the future time is chosen from a basket of underling securities. This must not be empty.

All of the underlying bonds must have the same notional and currency.

Returns:

the value of the property, not empty

getConversionFactors

public ImmutableList<Double> getConversionFactors()

Gets the conversion factor for each bond in the basket.

The price of each underlying security in the basket is rescaled by the conversion factor. This must not be empty, and its size must be the same as the size of deliveryBasket.

All of the underlying bonds must have the same notional and currency.

Returns:

the value of the property, not empty

getLastTradeDate

public LocalDate getLastTradeDate()

Gets the last trading date.

The future security is traded until this date.

Returns:

the value of the property, not null

getFirstNoticeDate

public LocalDate getFirstNoticeDate()

Gets the first notice date.

The first date on which the delivery of the underlying is authorized.

Returns:

the value of the property, not null

getLastNoticeDate

public LocalDate getLastNoticeDate()

Gets the last notice date.

The last date on which the delivery of the underlying is authorized.

Returns:

the value of the property, not null

getFirstDeliveryDate

public Optional<LocalDate> getFirstDeliveryDate()

Gets the first delivery date.

The first date on which the underlying is delivered.

If not specified, the date will be computed from firstNoticeDate by using settlementDateOffset in the first element of the delivery basket when the future is resolved.

Returns:

the optional value of the property, not null

getLastDeliveryDate

public Optional<LocalDate> getLastDeliveryDate()

Gets the last delivery date.

The last date on which the underlying is delivered.

If not specified, the date will be computed from lastNoticeDate by using settlementDateOffset in the first element of the delivery basket when the future is resolved.

Returns:

the optional value of the property, not null

getRounding

public Rounding getRounding()

Gets the definition of how to round the futures price, defaulted to no rounding.

The price is represented in decimal form, not percentage form. As such, the decimal places expressed by the rounding refers to this decimal form. For example, the common market price of 99.7125 for a 0.2875% rate is represented as 0.997125 which has 6 decimal places.

Returns:

the value of the property, not null

toBuilder

public BondFuture.Builder toBuilder()

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, not null

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object