com.opengamma.strata.product.index.type

Interface IborFutureConvention

All Superinterfaces:

Named, TradeConvention

All Known Implementing Classes:

ImmutableIborFutureConvention

Deprecated.

Use IborFutureContractSpec

@Deprecated
public interface IborFutureConvention
extends TradeConvention, Named

A market convention for Ibor Future trades.

This defines the market convention for a future against a particular index.

To manually create a convention, see ImmutableIborFutureConvention. To register a specific convention, see IborFutureConvention.ini.

Method Summary

Modifier and Type	Method and Description
LocalDate	calculateReferenceDateFromTradeDate(LocalDate tradeDate, Period minimumPeriod, int sequenceNumber, ReferenceData refData) Deprecated. Calculates the reference date from the trade date.
LocalDate	calculateReferenceDateFromTradeDate(LocalDate tradeDate, YearMonth yearMonth, ReferenceData refData) Deprecated. Calculates the reference date from the trade date.
IborFutureTrade	createTrade(LocalDate tradeDate, SecurityId securityId, Period minimumPeriod, int sequenceNumber, double quantity, double notional, double price, ReferenceData refData) Deprecated. Creates a trade based on this convention.
IborFutureTrade	createTrade(LocalDate tradeDate, SecurityId securityId, YearMonth yearMonth, double quantity, double notional, double price, ReferenceData refData) Deprecated. Creates a trade based on this convention.
static ExtendedEnum<IborFutureConvention>	extendedEnum() Deprecated. Gets the extended enum helper.
IborIndex	getIndex() Deprecated. Gets the Ibor index.
String	getName() Deprecated. Gets the name that uniquely identifies this convention.
static IborFutureConvention	of(String uniqueName) Deprecated. Obtains an instance from the specified unique name.

Methods inherited from interface com.opengamma.strata.collect.named.Named

of

Method Detail

of

static IborFutureConvention of(String uniqueName)

Deprecated.

Obtains an instance from the specified unique name.

Parameters:

uniqueName - the unique name

Returns:

the convention

Throws:

IllegalArgumentException - if the name is not known

extendedEnum

static ExtendedEnum<IborFutureConvention> extendedEnum()

Deprecated.

Gets the extended enum helper.

This helper allows instances of the convention to be looked up. It also provides the complete set of available instances.

Returns:

the extended enum helper

getIndex

IborIndex getIndex()

Deprecated.

Gets the Ibor index.

The floating rate to be paid is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'.

Returns:

the index

createTrade

IborFutureTrade createTrade(LocalDate tradeDate,
                            SecurityId securityId,
                            Period minimumPeriod,
                            int sequenceNumber,
                            double quantity,
                            double notional,
                            double price,
                            ReferenceData refData)

Deprecated.

Creates a trade based on this convention.

This returns a trade based on the specified minimum period and sequence number.

Parameters:

tradeDate - the trade date

securityId - the identifier of the security

minimumPeriod - minimum period between the value date and the first future

sequenceNumber - the 1-based sequence number of the futures

quantity - the number of contracts traded, positive if buying, negative if selling

notional - the notional amount of one future contract

price - the trade price of the future

refData - the reference data, used to resolve the trade dates

Returns:

the trade

Throws:

ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data

createTrade

IborFutureTrade createTrade(LocalDate tradeDate,
                            SecurityId securityId,
                            YearMonth yearMonth,
                            double quantity,
                            double notional,
                            double price,
                            ReferenceData refData)

Deprecated.

Creates a trade based on this convention.

This returns a trade based on the specified year-month.

Parameters:

tradeDate - the trade date

securityId - the identifier of the security

yearMonth - the year-month that the future is defined to be for

quantity - the number of contracts traded, positive if buying, negative if selling

notional - the notional amount of one future contract

price - the trade price of the future

refData - the reference data, used to resolve the trade dates

Returns:

the trade

Throws:

ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data

calculateReferenceDateFromTradeDate

LocalDate calculateReferenceDateFromTradeDate(LocalDate tradeDate,
                                              Period minimumPeriod,
                                              int sequenceNumber,
                                              ReferenceData refData)

Deprecated.

Calculates the reference date from the trade date.

This determines the date from the specified minimum period and sequence number.

Parameters:

tradeDate - the trade date

minimumPeriod - minimum period between the trade date and the first future

sequenceNumber - the 1-based sequence number of the futures

refData - the reference data, used to resolve the date

Returns:

the future reference date

calculateReferenceDateFromTradeDate

LocalDate calculateReferenceDateFromTradeDate(LocalDate tradeDate,
                                              YearMonth yearMonth,
                                              ReferenceData refData)

Deprecated.

Calculates the reference date from the trade date.

This determines the date from the specified year-month.

Parameters:

tradeDate - the trade date

yearMonth - the year-month that the future is defined to be for

refData - the reference data, used to resolve the date

Returns:

the future reference date

getName

String getName()

Deprecated.

Gets the name that uniquely identifies this convention.

This name is used in serialization and can be parsed using of(String).

Specified by:

getName in interface Named

Returns:

the unique name