IborFuture (OpenGamma Strata Product)

java.lang.Object
- com.opengamma.strata.product.index.IborFuture

All Implemented Interfaces:

Resolvable<ResolvedIborFuture>, Product, SecuritizedProduct, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class IborFuture
extends Object
implements SecuritizedProduct, Resolvable<ResolvedIborFuture>, org.joda.beans.ImmutableBean, Serializable
```
A futures contract based on an Ibor index.
An Ibor future is a financial instrument that is based on the future value of an Ibor index interest rate. The profit or loss of an Ibor future is settled daily. An Ibor future is also known as a STIR future (Short Term Interest Rate). This class represents the structure of a single futures contract.
For example, the widely traded "CME Eurodollar futures contract" has a notional of 1 million USD, is based on the USD Libor 3 month rate 'USD-LIBOR-3M', expiring two business days before an IMM date (the 3rd Wednesday of the month).
Price
The price of an Ibor future is based on the interest rate of the underlying index. It is defined as (100 - percentRate).
Strata uses decimal prices for Ibor futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.

See Also:

Serialized Form

Nested Class Summary

Nested Classes
Modifier and Type Class and Description

static class IborFuture.Builder
The bean-builder for IborFuture.

static class IborFuture.Meta
The meta-bean for IborFuture.

Nested Classes
Modifier and Type	Class and Description
`static class`	`IborFuture.Builder` The bean-builder for `IborFuture`.
`static class`	`IborFuture.Meta` The meta-bean for `IborFuture`.

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`static IborFuture.Builder`	`builder()` Returns a builder used to create an instance of the bean.
`boolean`	`equals(Object obj)`
`double`	`getAccrualFactor()` Gets the accrual factor, defaulted from the index if not set.
`Currency`	`getCurrency()` Gets the currency that the future is traded in, defaulted from the index if not set.
`LocalDate`	`getFixingDate()` Gets the applicable fixing date.
`IborIndex`	`getIndex()` Gets the underlying Ibor index.
`LocalDate`	`getLastTradeDate()` Gets the last date of trading.
`double`	`getNotional()` Gets the notional amount.
`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 IborFuture.Meta`	`meta()` The meta-bean for `IborFuture`.
`IborFuture.Meta`	`metaBean()`
`ResolvedIborFuture`	`resolve(ReferenceData refData)`
`IborFuture.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
  - getFixingDate
```
public LocalDate getFixingDate()
```
    Gets the applicable fixing date.
    This returns the fixing date of the contract. This implementation simply returns the last trade date. By including this method, it allows for the possibility of a future where the fixing date and last trade date differ.
    
    Returns:
    
    the fixing date
  - resolve
```
public ResolvedIborFuture resolve(ReferenceData refData)
```
    Specified by:
    
    resolve in interface Resolvable<ResolvedIborFuture>
  - meta
```
public static IborFuture.Meta meta()
```
    The meta-bean for IborFuture.
    
    Returns:
    
    the meta-bean, not null
  - builder
```
public static IborFuture.Builder builder()
```
    Returns a builder used to create an instance of the bean.
    
    Returns:
    
    the builder, not null
  - metaBean
```
public IborFuture.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
  - getCurrency
```
public Currency getCurrency()
```
    Gets the currency that the future is traded in, defaulted from the index if not set.
    
    Specified by:
    
    getCurrency in interface SecuritizedProduct
    
    Returns:
    
    the value of the property, not null
  - getNotional
```
public double getNotional()
```
    Gets the notional amount.
    This is the full notional of the deposit, such as 1 million dollars. The notional expressed here must be positive. The currency of the notional is specified by currency.
    
    Returns:
    
    the value of the property
  - getAccrualFactor
```
public double getAccrualFactor()
```
    Gets the accrual factor, defaulted from the index if not set.
    This is the year fraction of the contract, typically 0.25 for a 3 month deposit.
    When building, this will default to the number of months in the index divided by 12 if not specified. However, if the index is not month-based, no defaulting will occur.
    
    Returns:
    
    the value of the property
  - getLastTradeDate
```
public LocalDate getLastTradeDate()
```
    Gets the last date of trading. This date is also the fixing date for the Ibor index. This is typically 2 business days before the IMM date (3rd Wednesday of the month).
    
    Returns:
    
    the value of the property, not null
  - getIndex
```
public IborIndex getIndex()
```
    Gets the underlying Ibor index.
    The future is based on this index. It will be a well known market index such as 'USD-LIBOR-3M'.
    
    Returns:
    
    the 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 IborFuture.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

Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.

Class IborFuture

Price

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

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

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

Methods inherited from interface org.joda.beans.Bean

Method Detail

getFixingDate

resolve

meta

builder

metaBean

getSecurityId

getCurrency

getNotional

getAccrualFactor

getLastTradeDate

getIndex

getRounding

toBuilder

equals

hashCode

toString