BondFutureSecurity (OpenGamma Strata Product)

java.lang.Object
- com.opengamma.strata.product.bond.BondFutureSecurity

All Implemented Interfaces:

Security, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class BondFutureSecurity
extends Object
implements Security, org.joda.beans.ImmutableBean, Serializable
```
A security representing a futures contract, based on a basket of fixed coupon bonds.
A bond future is a financial instrument that is based on the future value of a basket of fixed coupon bonds. The profit or loss of a bond future is settled daily.
Price
Strata uses decimal prices for bond futures in the trade model, pricers and market data. This is coherent with the pricing of FixedCouponBond. The bond futures delivery is a bond for an amount computed from the bond future price, a conversion factor and the accrued interest.

See Also:

Serialized Form

Nested Class Summary

Nested Classes
Modifier and Type	Class and Description
`static class`	`BondFutureSecurity.Builder` The bean-builder for `BondFutureSecurity`.
`static class`	`BondFutureSecurity.Meta` The meta-bean for `BondFutureSecurity`.

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`static BondFutureSecurity.Builder`	`builder()` Returns a builder used to create an instance of the bean.
`BondFuturePosition`	`createPosition(PositionInfo positionInfo, double longQuantity, double shortQuantity, ReferenceData refData)` Creates a position based on this security from a long and short quantity.
`BondFuturePosition`	`createPosition(PositionInfo positionInfo, double quantity, ReferenceData refData)` Creates a position based on this security from a net quantity.
`BondFuture`	`createProduct(ReferenceData refData)` Creates the product associated with this security.
`BondFutureTrade`	`createTrade(TradeInfo info, double quantity, double tradePrice, ReferenceData refData)` Creates a trade based on this security.
`boolean`	`equals(Object obj)`
`ImmutableList<Double>`	`getConversionFactors()` Gets the conversion factor for each bond in the basket.
`Currency`	`getCurrency()` Gets the currency that the future is traded in.
`ImmutableList<SecurityId>`	`getDeliveryBasketIds()` Gets the basket of deliverable bonds.
`Optional<LocalDate>`	`getFirstDeliveryDate()` Gets the first delivery date.
`LocalDate`	`getFirstNoticeDate()` Gets the first notice date.
`SecurityInfo`	`getInfo()` Gets the standard security information.
`Optional<LocalDate>`	`getLastDeliveryDate()` Gets the last delivery date.
`LocalDate`	`getLastNoticeDate()` Gets the last notice date.
`LocalDate`	`getLastTradeDate()` Gets the last trading date.
`Rounding`	`getRounding()` Gets the definition of how to round the futures price, defaulted to no rounding.
`ImmutableSet<SecurityId>`	`getUnderlyingIds()` Gets the set of underlying security identifiers.
`int`	`hashCode()`
`static BondFutureSecurity.Meta`	`meta()` The meta-bean for `BondFutureSecurity`.
`BondFutureSecurity.Meta`	`metaBean()`
`BondFutureSecurity.Builder`	`toBuilder()` Returns a builder that allows this bean to be mutated.
`String`	`toString()`
`BondFutureSecurity`	`withInfo(SecurityInfo info)` Returns an instance with the specified info.

Methods inherited from class java.lang.Object
clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface com.opengamma.strata.product.Security
getSecurityId

Methods inherited from interface org.joda.beans.Bean
property, propertyNames

- Method Detail
  - getUnderlyingIds
```
public ImmutableSet<SecurityId> getUnderlyingIds()
```
    Description copied from interface: Security
    
    Gets the set of underlying security identifiers.
    The set must contain all the security identifiers that this security directly refers to. For example, a bond future will return the identifiers of the underlying basket of bonds, but a bond future option will only return the identifier of the underlying future, not the basket.
    
    Specified by:
    
    getUnderlyingIds in interface Security
    
    Returns:
    
    the underlying security identifiers
  - withInfo
```
public BondFutureSecurity withInfo(SecurityInfo info)
```
    Description copied from interface: Security
    
    Returns an instance with the specified info.
    
    Specified by:
    
    withInfo in interface Security
    
    Parameters:
    
    info - the new info
    
    Returns:
    
    the instance with the specified info
  - createProduct
```
public BondFuture createProduct(ReferenceData refData)
```
    Description copied from interface: Security
    
    Creates the product associated with this security.
    The product of a security is distinct from the security. The product includes the financial details from this security, but excludes the additional information. The product also includes the products of any underlying securities.
    
    Specified by:
    
    createProduct in interface Security
    
    Parameters:
    
    refData - the reference data used to find underlying securities
    
    Returns:
    
    the product
  - createTrade
```
public BondFutureTrade createTrade(TradeInfo info,
                                   double quantity,
                                   double tradePrice,
                                   ReferenceData refData)
```
    Description copied from interface: Security
    
    Creates a trade based on this security.
    This creates a trade of a suitable type for this security.
    
    Specified by:
    
    createTrade in interface Security
    
    Parameters:
    
    info - the trade information
    
    quantity - the number of contracts in the trade
    
    tradePrice - the price agreed when the trade occurred
    
    refData - the reference data used to find underlying securities
    
    Returns:
    
    the trade
  - createPosition
```
public BondFuturePosition createPosition(PositionInfo positionInfo,
                                         double quantity,
                                         ReferenceData refData)
```
    Description copied from interface: Security
    
    Creates a position based on this security from a net quantity.
    This creates a position of a suitable type for this security.
    
    Specified by:
    
    createPosition in interface Security
    
    Parameters:
    
    positionInfo - the position information
    
    quantity - the number of contracts in the position
    
    refData - the reference data used to find underlying securities
    
    Returns:
    
    the position
  - createPosition
```
public BondFuturePosition createPosition(PositionInfo positionInfo,
                                         double longQuantity,
                                         double shortQuantity,
                                         ReferenceData refData)
```
    Description copied from interface: Security
    
    Creates a position based on this security from a long and short quantity.
    This creates a position of a suitable type for this security.
    The long quantity and short quantity must be zero or positive, not negative.
    
    Specified by:
    
    createPosition in interface Security
    
    Parameters:
    
    positionInfo - the position information
    
    longQuantity - the long quantity in the position
    
    shortQuantity - the short quantity in the position
    
    refData - the reference data used to find underlying securities
    
    Returns:
    
    the position
  - meta
```
public static BondFutureSecurity.Meta meta()
```
    The meta-bean for BondFutureSecurity.
    
    Returns:
    
    the meta-bean, not null
  - builder
```
public static BondFutureSecurity.Builder builder()
```
    Returns a builder used to create an instance of the bean.
    
    Returns:
    
    the builder, not null
  - metaBean
```
public BondFutureSecurity.Meta metaBean()
```
    Specified by:
    
    metaBean in interface org.joda.beans.Bean
  - getInfo
```
public SecurityInfo getInfo()
```
    Gets the standard security information.
    This includes the security identifier.
    
    Specified by:
    
    getInfo in interface Security
    
    Returns:
    
    the value of the property, not null
  - getCurrency
```
public Currency getCurrency()
```
    Gets the currency that the future is traded in.
    
    Specified by:
    
    getCurrency in interface Security
    
    Returns:
    
    the value of the property, not null
  - getDeliveryBasketIds
```
public ImmutableList<SecurityId> getDeliveryBasketIds()
```
    Gets the basket of deliverable bonds.
    The underlying which will be delivered in the future time is chosen from a basket of underling securities. This must not be empty.
    All of the underlying bonds must have the same notional and currency.
    
    Returns:
    
    the value of the property, not empty
  - getConversionFactors
```
public ImmutableList<Double> getConversionFactors()
```
    Gets the conversion factor for each bond in the basket.
    The price of each underlying security in the basket is rescaled by the conversion factor. This must not be empty, and its size must be the same as the size of deliveryBasketIds.
    All of the underlying bonds must have the same notional and currency.
    
    Returns:
    
    the value of the property, not empty
  - getLastTradeDate
```
public LocalDate getLastTradeDate()
```
    Gets the last trading date.
    The future security is traded until this date.
    
    Returns:
    
    the value of the property, not null
  - getFirstNoticeDate
```
public LocalDate getFirstNoticeDate()
```
    Gets the first notice date.
    The first date on which the delivery of the underlying is authorized.
    
    Returns:
    
    the value of the property, not null
  - getLastNoticeDate
```
public LocalDate getLastNoticeDate()
```
    Gets the last notice date.
    The last date on which the delivery of the underlying is authorized.
    
    Returns:
    
    the value of the property, not null
  - getFirstDeliveryDate
```
public Optional<LocalDate> getFirstDeliveryDate()
```
    Gets the first delivery date.
    The first date on which the underlying is delivered.
    If not specified, the date will be computed from firstNoticeDate by using settlementDateOffset in the first element of the delivery basket when the future is resolved.
    
    Returns:
    
    the optional value of the property, not null
  - getLastDeliveryDate
```
public Optional<LocalDate> getLastDeliveryDate()
```
    Gets the last delivery date.
    The last date on which the underlying is delivered.
    If not specified, the date will be computed from lastNoticeDate by using settlementDateOffset in the first element of the delivery basket when the future is resolved.
    
    Returns:
    
    the optional value of the property, not null
  - getRounding
```
public Rounding getRounding()
```
    Gets 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.
    
    Returns:
    
    the value of the property, not null
  - toBuilder
```
public BondFutureSecurity.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

Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.

Class BondFutureSecurity

Price

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

Methods inherited from interface com.opengamma.strata.product.Security

Methods inherited from interface org.joda.beans.Bean

Method Detail

getUnderlyingIds

withInfo

createProduct

createTrade

createPosition

createPosition

meta

builder

metaBean

getInfo

getCurrency

getDeliveryBasketIds

getConversionFactors

getLastTradeDate

getFirstNoticeDate

getLastNoticeDate

getFirstDeliveryDate

getLastDeliveryDate

getRounding

toBuilder

equals

hashCode

toString