com.opengamma.strata.product.index

Class ResolvedIborFutureOptionTrade

java.lang.Object

com.opengamma.strata.product.index.ResolvedIborFutureOptionTrade

All Implemented Interfaces:

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

public final class ResolvedIborFutureOptionTrade
extends Object
implements ResolvedTrade, org.joda.beans.ImmutableBean, Serializable

A trade in an option on a futures contract based on an Ibor index, resolved for pricing.

This is the resolved form of IborFutureOptionTrade and is the primary input to the pricers. Applications will typically create a ResolvedIborFutureOptionTrade from a IborFutureOptionTrade using IborFutureOptionTrade.resolve(ReferenceData).

A ResolvedIborFutureOptionTrade 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 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	ResolvedIborFutureOptionTrade.Builder The bean-builder for ResolvedIborFutureOptionTrade.
static class	ResolvedIborFutureOptionTrade.Meta The meta-bean for ResolvedIborFutureOptionTrade.

Method Summary

Modifier and Type	Method and Description
static ResolvedIborFutureOptionTrade.Builder	builder() Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
PortfolioItemInfo	getInfo() Gets the additional information, defaulted to an empty instance.
ResolvedIborFutureOption	getProduct() Gets the option that was traded.
double	getQuantity() Gets the quantity that was traded.
Optional<TradedPrice>	getTradedPrice() Gets the price that was traded, together with the trade date, optional.
int	hashCode()
static ResolvedIborFutureOptionTrade.Meta	meta() The meta-bean for ResolvedIborFutureOptionTrade.
ResolvedIborFutureOptionTrade.Meta	metaBean()
ResolvedIborFutureOptionTrade.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

meta

public static ResolvedIborFutureOptionTrade.Meta meta()

The meta-bean for ResolvedIborFutureOptionTrade.

Returns:

the meta-bean, not null

builder

public static ResolvedIborFutureOptionTrade.Builder builder()

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

Returns:

the builder, not null

metaBean

public ResolvedIborFutureOptionTrade.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getInfo

public PortfolioItemInfo getInfo()

Gets the additional information, defaulted to an empty instance.

This allows additional information to be attached.

Specified by:

getInfo in interface ResolvedTrade

Returns:

the value of the property, not null

getProduct

public ResolvedIborFutureOption getProduct()

Gets the option that was traded.

The product captures the contracted financial details of the trade.

Specified by:

getProduct in interface ResolvedTrade

Returns:

the value of the property, not null

getQuantity

public double getQuantity()

Gets the quantity that was traded.

This is the number of contracts that were traded. This will be positive if buying and negative if selling.

Returns:

the value of the property

getTradedPrice

public Optional<TradedPrice> getTradedPrice()

Gets the price that was traded, together with the trade date, optional.

This is the price agreed when the trade occurred, in decimal form. 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.

This is optional to allow the class to be used to price both trades and positions. When the instance represents a trade, the traded price should be present. When the instance represents a position, the traded price should be empty.

Returns:

the optional value of the property, not null

toBuilder

public ResolvedIborFutureOptionTrade.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