com.opengamma.strata.product.dsf

Class ResolvedDsf

java.lang.Object

com.opengamma.strata.product.dsf.ResolvedDsf

All Implemented Interfaces:

ResolvedProduct, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class ResolvedDsf
extends Object
implements ResolvedProduct, org.joda.beans.ImmutableBean, Serializable

A Deliverable Swap Future, resolved for pricing.

This is the resolved form of Dsf and is an input to the pricers. Applications will typically create a ResolvedDsf from a Dsf using Dsf.resolve(ReferenceData).

A ResolvedDsf 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.

Price

The price of a DSF is based on the present value (NPV) of the underlying swap on the delivery date. For example, a price of 100.182 represents a present value of $100,182.00, if the notional is $100,000. This price can also be viewed as a percentage present value - (100 + percentPv), or 0.182% in this example.

Strata uses decimal prices for DSFs in the trade model, pricers and market data. The decimal price is based on the decimal multiplier equivalent to the implied percentage. Thus the market price of 100.182 is represented in Strata by 1.00182.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

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

Method Summary

Modifier and Type	Method and Description
static ResolvedDsf.Builder	builder() Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
Currency	getCurrency() Gets the currency of the underlying swap.
LocalDate	getDeliveryDate() Gets the delivery date.
LocalDate	getLastTradeDate() Gets the last date of trading.
double	getNotional() Gets the notional of the futures.
SecurityId	getSecurityId() Gets the security identifier.
ResolvedSwap	getUnderlyingSwap() Gets the underlying swap.
int	hashCode()
static ResolvedDsf.Meta	meta() The meta-bean for ResolvedDsf.
ResolvedDsf.Meta	metaBean()
ResolvedDsf.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 org.joda.beans.Bean

property, propertyNames

Method Detail

getCurrency

public Currency getCurrency()

Gets the currency of the underlying swap.

The underlying swap must have a single currency.

Returns:

the currency of the swap

meta

public static ResolvedDsf.Meta meta()

The meta-bean for ResolvedDsf.

Returns:

the meta-bean, not null

builder

public static ResolvedDsf.Builder builder()

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

Returns:

the builder, not null

metaBean

public ResolvedDsf.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.

Returns:

the value of the property, not null

getNotional

public double getNotional()

Gets the notional of the futures.

This is also called face value or contract value.

Returns:

the value of the property

getDeliveryDate

public LocalDate getDeliveryDate()

Gets the delivery date.

The underlying swap is delivered on this date.

Returns:

the value of the property, not null

getLastTradeDate

public LocalDate getLastTradeDate()

Gets the last date of trading.

This date must be before the delivery date of the underlying swap.

Returns:

the value of the property, not null

getUnderlyingSwap

public ResolvedSwap getUnderlyingSwap()

Gets the underlying swap.

The delivery date of the future is typically the first accrual date of the underlying swap. The swap should be a receiver swap of notional 1.

Returns:

the value of the property, not null

toBuilder

public ResolvedDsf.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