IborFutureOption (OpenGamma Strata Product)

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

All Implemented Interfaces:

Resolvable<ResolvedIborFutureOption>, Product, SecuritizedProduct, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class IborFutureOption
extends Object
implements SecuritizedProduct, Resolvable<ResolvedIborFutureOption>, org.joda.beans.ImmutableBean, Serializable
```
A futures option contract, based on an Ibor index.
An Ibor future option is a financial instrument that provides an option based on the future value of an Ibor index interest rate. The option is American, exercised at any point up to the exercise time. It handles options with either daily margining or upfront premium.
An Ibor future option is also known as a STIR future option (Short Term Interest Rate). This class represents the structure of a single option contract.
Price
The price of an Ibor future option is based on the price of the underlying future, the volatility and the time to expiry. The price of the at-the-money option tends to zero as expiry approaches.
Strata uses decimal prices for Ibor future options in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, an option price of 0.2 is related to a futures price of 99.32 that implies an interest rate of 0.68%. Strata represents the price of the future as 0.9932 and thus represents the price of the option as 0.002.

See Also:

Serialized Form

Nested Class Summary

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

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`static IborFutureOption.Builder`	`builder()` Returns a builder used to create an instance of the bean.
`boolean`	`equals(Object obj)`
`Currency`	`getCurrency()` Gets the currency that the security is traded in.
`ZonedDateTime`	`getExpiry()` Gets the expiry date-time.
`LocalDate`	`getExpiryDate()` Gets the expiry date of the option.
`LocalTime`	`getExpiryTime()` Gets the expiry time of the option.
`ZoneId`	`getExpiryZone()` Gets the time-zone of the expiry time.
`IborIndex`	`getIndex()` Gets the Ibor index that the option is based on.
`FutureOptionPremiumStyle`	`getPremiumStyle()` Gets the style of the option premium.
`PutCall`	`getPutCall()` Gets whether the option is put or call.
`Rounding`	`getRounding()` Gets the definition of how to round the option price, defaulted to no rounding.
`SecurityId`	`getSecurityId()` Gets the security identifier.
`double`	`getStrikePrice()` Gets the strike price, in decimal form.
`IborFuture`	`getUnderlyingFuture()` Gets the underlying future.
`int`	`hashCode()`
`static IborFutureOption.Meta`	`meta()` The meta-bean for `IborFutureOption`.
`IborFutureOption.Meta`	`metaBean()`
`ResolvedIborFutureOption`	`resolve(ReferenceData refData)`
`IborFutureOption.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
  - getCurrency
```
public Currency getCurrency()
```
    Description copied from interface: SecuritizedProduct
    
    Gets the currency that the security is traded in.
    
    Specified by:
    
    getCurrency in interface SecuritizedProduct
    
    Returns:
    
    the trading currency
  - getExpiry
```
public ZonedDateTime getExpiry()
```
    Gets the expiry date-time.
    The option expires at this date and time.
    The result is returned by combining the expiry date, time and time-zone.
    
    Returns:
    
    the expiry date and time
  - getIndex
```
public IborIndex getIndex()
```
    Gets the Ibor index that the option is based on.
    
    Returns:
    
    the Ibor index
  - resolve
```
public ResolvedIborFutureOption resolve(ReferenceData refData)
```
    Specified by:
    
    resolve in interface Resolvable<ResolvedIborFutureOption>
  - meta
```
public static IborFutureOption.Meta meta()
```
    The meta-bean for IborFutureOption.
    
    Returns:
    
    the meta-bean, not null
  - builder
```
public static IborFutureOption.Builder builder()
```
    Returns a builder used to create an instance of the bean.
    
    Returns:
    
    the builder, not null
  - metaBean
```
public IborFutureOption.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
  - getPutCall
```
public PutCall getPutCall()
```
    Gets whether the option is put or call.
    A call gives the owner the right, but not obligation, to buy the underlying at an agreed price in the future. A put gives a similar option to sell.
    
    Returns:
    
    the value of the property
  - getStrikePrice
```
public double getStrikePrice()
```
    Gets the strike price, in decimal form.
    This is the price at which the option applies and refers to the price of the underlying future. The rate implied by the strike can take negative values.
    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.
    
    Returns:
    
    the value of the property
  - getExpiryDate
```
public LocalDate getExpiryDate()
```
    Gets the expiry date of the option.
    The expiry date is related to the expiry time and time-zone. The date must not be after last trade date of the underlying future.
    
    Returns:
    
    the value of the property, not null
  - getExpiryTime
```
public LocalTime getExpiryTime()
```
    Gets the expiry time of the option.
    The expiry time is related to the expiry date and time-zone.
    
    Returns:
    
    the value of the property, not null
  - getExpiryZone
```
public ZoneId getExpiryZone()
```
    Gets the time-zone of the expiry time.
    The expiry time-zone is related to the expiry date and time.
    
    Returns:
    
    the value of the property, not null
  - getPremiumStyle
```
public FutureOptionPremiumStyle getPremiumStyle()
```
    Gets the style of the option premium.
    The two options are daily margining and upfront premium.
    
    Returns:
    
    the value of the property, not null
  - getRounding
```
public Rounding getRounding()
```
    Gets the definition of how to round the option 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.
    
    Returns:
    
    the value of the property, not null
  - getUnderlyingFuture
```
public IborFuture getUnderlyingFuture()
```
    Gets the underlying future.
    
    Returns:
    
    the value of the property, not null
  - toBuilder
```
public IborFutureOption.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 IborFutureOption

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

getCurrency

getExpiry

getIndex

resolve

meta

builder

metaBean

getSecurityId

getPutCall

getStrikePrice

getExpiryDate

getExpiryTime

getExpiryZone

getPremiumStyle

getRounding

getUnderlyingFuture

toBuilder

equals

hashCode

toString