com.opengamma.strata.product.index.type

Class ImmutableIborFutureContractSpec

java.lang.Object

com.opengamma.strata.product.index.type.ImmutableIborFutureContractSpec

All Implemented Interfaces:

Named, IborFutureContractSpec, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class ImmutableIborFutureContractSpec
extends Object
implements IborFutureContractSpec, org.joda.beans.ImmutableBean, Serializable

A contract specification for exchange traded Ibor Futures.

The contract specification defines how the future is traded. A specific future is created by specifying the year-month.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class and Description
static class	ImmutableIborFutureContractSpec.Builder The bean-builder for ImmutableIborFutureContractSpec.

Method Summary

Modifier and Type	Method and Description
static ImmutableIborFutureContractSpec.Builder	builder() Returns a builder used to create an instance of the bean.
LocalDate	calculateReferenceDate(LocalDate tradeDate, SequenceDate sequenceDate, ReferenceData refData) Calculates the reference date from the trade date.
IborFuturePosition	createPosition(SecurityId securityId, YearMonth expiry, double quantity, ReferenceData refData) Creates a position based on this convention.
IborFutureTrade	createTrade(LocalDate tradeDate, SecurityId securityId, SequenceDate sequenceDate, double quantity, double price, ReferenceData refData) Creates a trade based on this convention.
boolean	equals(Object obj)
BusinessDayAdjustment	getBusinessDayAdjustment() Gets the business day adjustment to apply to the reference date.
DateSequence	getDateSequence() Gets the sequence of dates that the future is based on.
IborIndex	getIndex() Gets the Ibor index.
String	getName() Gets the name, such as 'USD-LIBOR-3M-IMM-CME'.
double	getNotional() Gets the notional deposit that the contract models.
int	hashCode()
static org.joda.beans.TypedMetaBean<ImmutableIborFutureContractSpec>	meta() The meta-bean for ImmutableIborFutureContractSpec.
org.joda.beans.TypedMetaBean<ImmutableIborFutureContractSpec>	metaBean()
ImmutableIborFutureContractSpec.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.index.type.IborFutureContractSpec

extendedEnum, of

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

of

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

createTrade

public IborFutureTrade createTrade(LocalDate tradeDate,
                                   SecurityId securityId,
                                   SequenceDate sequenceDate,
                                   double quantity,
                                   double price,
                                   ReferenceData refData)

Description copied from interface: IborFutureContractSpec

Creates a trade based on this convention.

This returns a trade based on the instructions in the SequenceDate. The sequence date points at the expiry of the future, which is how they are referred to in the market.

Specified by:

createTrade in interface IborFutureContractSpec

Parameters:

tradeDate - the trade date

securityId - the identifier of the security

sequenceDate - the date to be used from the sequence identifying the expiry of the future

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

price - the trade price of the future

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

Returns:

the trade

calculateReferenceDate

public LocalDate calculateReferenceDate(LocalDate tradeDate,
                                        SequenceDate sequenceDate,
                                        ReferenceData refData)

Description copied from interface: IborFutureContractSpec

Calculates the reference date from the trade date.

This determines the date from the SequenceDate.

Specified by:

calculateReferenceDate in interface IborFutureContractSpec

Parameters:

tradeDate - the trade date

sequenceDate - the date to be used from the sequence

refData - the reference data, used to resolve the date

Returns:

the future reference date

createPosition

public IborFuturePosition createPosition(SecurityId securityId,
                                         YearMonth expiry,
                                         double quantity,
                                         ReferenceData refData)

Description copied from interface: IborFutureContractSpec

Creates a position based on this convention.

Specified by:

createPosition in interface IborFutureContractSpec

Parameters:

securityId - the identifier of the security

expiry - the expiry year month

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

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

Returns:

the position

toString

public String toString()

Overrides:

toString in class Object

meta

public static org.joda.beans.TypedMetaBean<ImmutableIborFutureContractSpec> meta()

The meta-bean for ImmutableIborFutureContractSpec.

Returns:

the meta-bean, not null

builder

public static ImmutableIborFutureContractSpec.Builder builder()

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

Returns:

the builder, not null

metaBean

public org.joda.beans.TypedMetaBean<ImmutableIborFutureContractSpec> metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getName

public String getName()

Gets the name, such as 'USD-LIBOR-3M-IMM-CME'.

Specified by:

getName in interface Named

Specified by:

getName in interface IborFutureContractSpec

Returns:

the value of the property, not blank

getIndex

public IborIndex getIndex()

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'.

Specified by:

getIndex in interface IborFutureContractSpec

Returns:

the value of the property, not null

getDateSequence

public DateSequence getDateSequence()

Gets the sequence of dates that the future is based on.

This is used to calculate the reference date of the future that is the start date of the underlying synthetic deposit.

Returns:

the value of the property, not null

getBusinessDayAdjustment

public BusinessDayAdjustment getBusinessDayAdjustment()

Gets the business day adjustment to apply to the reference date.

The reference date, which is often the third Wednesday of the month, will be adjusted as defined here.

Returns:

the value of the property, not null

getNotional

public double getNotional()

Gets the notional deposit that the contract models.

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 the index.

Specified by:

getNotional in interface IborFutureContractSpec

Returns:

the value of the property

toBuilder

public ImmutableIborFutureContractSpec.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