com.opengamma.strata.product.index.type

Class ImmutableOvernightFutureContractSpec

java.lang.Object

com.opengamma.strata.product.index.type.ImmutableOvernightFutureContractSpec

All Implemented Interfaces:

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

public final class ImmutableOvernightFutureContractSpec
extends Object
implements OvernightFutureContractSpec, org.joda.beans.ImmutableBean, Serializable

A contract specification for exchange traded Overnight 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	ImmutableOvernightFutureContractSpec.Builder The bean-builder for ImmutableOvernightFutureContractSpec.

Method Summary

Modifier and Type	Method and Description
static ImmutableOvernightFutureContractSpec.Builder	builder() Returns a builder used to create an instance of the bean.
LocalDate	calculateLastFixingDate(LocalDate referenceDate, ReferenceData refData) Calculates the last fixing date from the trade date.
LocalDate	calculateReferenceDate(LocalDate tradeDate, SequenceDate sequenceDate, ReferenceData refData) Calculates the reference date from the trade date.
OvernightFuturePosition	createPosition(SecurityId securityId, YearMonth expiry, double quantity, ReferenceData refData) Creates a position based on this convention.
OvernightFutureTrade	createTrade(LocalDate tradeDate, SecurityId securityId, SequenceDate sequenceDate, double quantity, double price, ReferenceData refData) Creates a trade based on this convention.
boolean	equals(Object obj)
OvernightAccrualMethod	getAccrualMethod() Gets the method of accruing Overnight interest.
DateSequence	getDateSequence() Gets the sequence of dates that the future is based on.
DaysAdjustment	getEndDateAdjustment() Gets the days adjustment to apply to get the end date.
OvernightIndex	getIndex() Gets the Overnight index.
DaysAdjustment	getLastTradeDateAdjustment() Gets the days adjustment to apply to get the last trade date.
String	getName() Gets the name, such as 'GBP-SONIA-3M-IMM-ICE'.
double	getNotional() Gets the notional deposit that the contract models.
BusinessDayAdjustment	getStartDateAdjustment() Gets the business day adjustment to apply to get the start date.
int	hashCode()
static org.joda.beans.TypedMetaBean<ImmutableOvernightFutureContractSpec>	meta() The meta-bean for ImmutableOvernightFutureContractSpec.
org.joda.beans.TypedMetaBean<ImmutableOvernightFutureContractSpec>	metaBean()
ImmutableOvernightFutureContractSpec.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.OvernightFutureContractSpec

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

Description copied from interface: OvernightFutureContractSpec

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 OvernightFutureContractSpec

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

createPosition

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

Description copied from interface: OvernightFutureContractSpec

Creates a position based on this convention.

Specified by:

createPosition in interface OvernightFutureContractSpec

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

calculateReferenceDate

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

Description copied from interface: OvernightFutureContractSpec

Calculates the reference date from the trade date.

This determines the date from the SequenceDate.

Specified by:

calculateReferenceDate in interface OvernightFutureContractSpec

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 reference date of the contract, also known as the start date

calculateLastFixingDate

public LocalDate calculateLastFixingDate(LocalDate referenceDate,
                                         ReferenceData refData)

Description copied from interface: OvernightFutureContractSpec

Calculates the last fixing date from the trade date.

Specified by:

calculateLastFixingDate in interface OvernightFutureContractSpec

Parameters:

referenceDate - the reference date of the contract, also known as the start date

refData - the reference data, used to resolve the date

Returns:

the last fixing date

toString

public String toString()

Overrides:

toString in class Object

meta

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

The meta-bean for ImmutableOvernightFutureContractSpec.

Returns:

the meta-bean, not null

builder

public static ImmutableOvernightFutureContractSpec.Builder builder()

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

Returns:

the builder, not null

metaBean

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

Specified by:

metaBean in interface org.joda.beans.Bean

getName

public String getName()

Gets the name, such as 'GBP-SONIA-3M-IMM-ICE'.

Specified by:

getName in interface Named

Specified by:

getName in interface OvernightFutureContractSpec

Returns:

the value of the property, not blank

getIndex

public OvernightIndex getIndex()

Gets the Overnight index.

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

Specified by:

getIndex in interface OvernightFutureContractSpec

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

getAccrualMethod

public OvernightAccrualMethod getAccrualMethod()

Gets the method of accruing Overnight interest.

Returns:

the value of the property, not null

getStartDateAdjustment

public BusinessDayAdjustment getStartDateAdjustment()

Gets the business day adjustment to apply to get the start date.

The start date is obtained by applying this adjustment to the reference date from the date sequence. The reference date is often the third Wednesday of the month or the start of the month. This defaults to accepting the date from the sequence without applying a holiday calendar.

Returns:

the value of the property, not null

getEndDateAdjustment

public DaysAdjustment getEndDateAdjustment()

Gets the days adjustment to apply to get the end date.

The end date is obtained by applying this adjustment to the next date in sequence from the start date. This defaults to minus one without applying a holiday calendar.

Returns:

the value of the property

getLastTradeDateAdjustment

public DaysAdjustment getLastTradeDateAdjustment()

Gets the days adjustment to apply to get the last trade date.

The last trade date is obtained by applying this adjustment to the next date in sequence from the start date. This defaults to the previous business day in the fixing calendar (minus one calendar day and preceding).

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 OvernightFutureContractSpec

Returns:

the value of the property

toBuilder

public ImmutableOvernightFutureContractSpec.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