com.opengamma.strata.product.index

Class OvernightFuture.Builder

java.lang.Object

org.joda.beans.impl.direct.DirectFieldsBeanBuilder<OvernightFuture>

com.opengamma.strata.product.index.OvernightFuture.Builder

All Implemented Interfaces:

org.joda.beans.BeanBuilder<OvernightFuture>

Enclosing class:

OvernightFuture

public static final class OvernightFuture.Builder
extends org.joda.beans.impl.direct.DirectFieldsBeanBuilder<OvernightFuture>

The bean-builder for OvernightFuture.

Method Summary

Modifier and Type	Method and Description
OvernightFuture.Builder	accrualFactor(double accrualFactor) Sets the accrual factor, defaulted from the index if not set.
OvernightFuture.Builder	accrualMethod(OvernightAccrualMethod accrualMethod) Sets the method of accruing Overnight interest.
OvernightFuture	build()
OvernightFuture.Builder	currency(Currency currency) Sets the currency that the future is traded in, defaulted from the index if not set.
OvernightFuture.Builder	endDate(LocalDate endDate) Sets the last date of the rate calculation period.
Object	get(String propertyName)
OvernightFuture.Builder	index(OvernightIndex index) Sets the underlying Overnight index.
OvernightFuture.Builder	lastTradeDate(LocalDate lastTradeDate) Sets the last date of trading.
OvernightFuture.Builder	notional(double notional) Sets the notional amount.
OvernightFuture.Builder	rounding(Rounding rounding) Sets the definition of how to round the futures price, defaulted to no rounding.
OvernightFuture.Builder	securityId(SecurityId securityId) Sets the security identifier.
OvernightFuture.Builder	set(org.joda.beans.MetaProperty<?> property, Object value)
OvernightFuture.Builder	set(String propertyName, Object newValue)
OvernightFuture.Builder	startDate(LocalDate startDate) Sets the first date of the rate calculation period.
String	toString()

Methods inherited from class org.joda.beans.impl.direct.DirectFieldsBeanBuilder

get

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, wait, wait, wait

Method Detail

get

public Object get(String propertyName)

Specified by:

get in interface org.joda.beans.BeanBuilder<OvernightFuture>

Overrides:

get in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<OvernightFuture>

set

public OvernightFuture.Builder set(String propertyName,
                                   Object newValue)

set

public OvernightFuture.Builder set(org.joda.beans.MetaProperty<?> property,
                                   Object value)

Specified by:

set in interface org.joda.beans.BeanBuilder<OvernightFuture>

Overrides:

set in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<OvernightFuture>

build

public OvernightFuture build()

securityId

public OvernightFuture.Builder securityId(SecurityId securityId)

Sets the security identifier.

This identifier uniquely identifies the security within the system.

Parameters:

securityId - the new value, not null

Returns:

this, for chaining, not null

currency

public OvernightFuture.Builder currency(Currency currency)

Sets the currency that the future is traded in, defaulted from the index if not set.

Parameters:

currency - the new value, not null

Returns:

this, for chaining, not null

notional

public OvernightFuture.Builder notional(double notional)

Sets the notional amount.

This is the full notional of the deposit, such as 5 million dollars. The notional expressed here must be positive. The currency of the notional is specified by currency.

Parameters:

notional - the new value

Returns:

this, for chaining, not null

accrualFactor

public OvernightFuture.Builder accrualFactor(double accrualFactor)

Sets the accrual factor, defaulted from the index if not set.

This is the year fraction of the contract, typically 1/12 for a 30-day future. As such, it is often unrelated to the day count of the index. The year fraction must be positive.

Parameters:

accrualFactor - the new value

Returns:

this, for chaining, not null

lastTradeDate

public OvernightFuture.Builder lastTradeDate(LocalDate lastTradeDate)

Sets the last date of trading.

This must be a valid business day on the fixing calendar of index. For example, the last trade date is often the last business day of the month.

Parameters:

lastTradeDate - the new value, not null

Returns:

this, for chaining, not null

startDate

public OvernightFuture.Builder startDate(LocalDate startDate)

Sets the first date of the rate calculation period.

This is not necessarily a valid business day on the fixing calendar of index. However, it will be adjusted in OvernightRateComputation if needed.

Parameters:

startDate - the new value, not null

Returns:

this, for chaining, not null

endDate

public OvernightFuture.Builder endDate(LocalDate endDate)

Sets the last date of the rate calculation period.

This is not necessarily a valid business day on the fixing calendar of index. However, it will be adjusted in OvernightRateComputation if needed.

Parameters:

endDate - the new value, not null

Returns:

this, for chaining, not null

index

public OvernightFuture.Builder index(OvernightIndex index)

Sets the underlying Overnight index.

The future is based on this index. It will be a well known market index such as 'USD-FED-FUND'.

Parameters:

index - the new value, not null

Returns:

this, for chaining, not null

accrualMethod

public OvernightFuture.Builder accrualMethod(OvernightAccrualMethod accrualMethod)

Sets the method of accruing Overnight interest.

The average rate is calculated based on this method over the period between startDate and endDate.

Parameters:

accrualMethod - the new value, not null

Returns:

this, for chaining, not null

rounding

public OvernightFuture.Builder rounding(Rounding rounding)

Sets 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.

Parameters:

rounding - the new value, not null

Returns:

this, for chaining, not null

toString

public String toString()

Overrides:

toString in class org.joda.beans.impl.direct.DirectFieldsBeanBuilder<OvernightFuture>