DsfSecurity (OpenGamma Strata Product)

java.lang.Object
- com.opengamma.strata.product.dsf.DsfSecurity

All Implemented Interfaces:

Security, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class DsfSecurity
extends Object
implements Security, org.joda.beans.ImmutableBean, Serializable
```
A security representing a deliverable swap futures security.
A deliverable swap future is a financial instrument that physically settles an interest rate swap on a future date. The delivered swap is cleared by a central counterparty. The last future price before delivery is quoted in term of the underlying swap present value. The futures product is margined on a daily basis.
Price
The price of a DSF is based on the present value (NPV) of the underlying swap on the delivery date. For example, a price of 100.182 represents a present value of $100,182.00, if the notional is $100,000. This price can also be viewed as a percentage present value - (100 + percentPv), or 0.182% in this example.
Strata uses decimal prices for DSFs in the trade model, pricers and market data. The decimal price is based on the decimal multiplier equivalent to the implied percentage. Thus the market price of 100.182 is represented in Strata by 1.00182.

See Also:

Serialized Form

Nested Class Summary

Nested Classes
Modifier and Type Class and Description

static class DsfSecurity.Builder
The bean-builder for DsfSecurity.

static class DsfSecurity.Meta
The meta-bean for DsfSecurity.

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

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`static DsfSecurity.Builder`	`builder()` Returns a builder used to create an instance of the bean.
`DsfPosition`	`createPosition(PositionInfo positionInfo, double longQuantity, double shortQuantity, ReferenceData refData)` Creates a position based on this security from a long and short quantity.
`DsfPosition`	`createPosition(PositionInfo positionInfo, double quantity, ReferenceData refData)` Creates a position based on this security from a net quantity.
`Dsf`	`createProduct(ReferenceData refData)` Creates the product associated with this security.
`DsfTrade`	`createTrade(TradeInfo info, double quantity, double tradePrice, ReferenceData refData)` Creates a trade based on this security.
`boolean`	`equals(Object obj)`
`Currency`	`getCurrency()` Gets the currency that the security is traded in.
`SecurityInfo`	`getInfo()` Gets the standard security information.
`LocalDate`	`getLastTradeDate()` Gets the last date of trading.
`double`	`getNotional()` Gets the notional.
`ImmutableSet<SecurityId>`	`getUnderlyingIds()` Gets the set of underlying security identifiers.
`Swap`	`getUnderlyingSwap()` Gets the underlying swap.
`int`	`hashCode()`
`static DsfSecurity.Meta`	`meta()` The meta-bean for `DsfSecurity`.
`DsfSecurity.Meta`	`metaBean()`
`DsfSecurity.Builder`	`toBuilder()` Returns a builder that allows this bean to be mutated.
`String`	`toString()`
`DsfSecurity`	`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
  - getCurrency
```
public Currency getCurrency()
```
    Description copied from interface: Security
    
    Gets the currency that the security is traded in.
    
    Specified by:
    
    getCurrency in interface Security
    
    Returns:
    
    the trading currency
  - 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 DsfSecurity 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 Dsf 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 DsfTrade 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 DsfPosition 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 DsfPosition 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 DsfSecurity.Meta meta()
```
    The meta-bean for DsfSecurity.
    
    Returns:
    
    the meta-bean, not null
  - builder
```
public static DsfSecurity.Builder builder()
```
    Returns a builder used to create an instance of the bean.
    
    Returns:
    
    the builder, not null
  - metaBean
```
public DsfSecurity.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
  - getNotional
```
public double getNotional()
```
    Gets the notional.
    This is also called face value or contract value.
    
    Returns:
    
    the value of the property
  - getLastTradeDate
```
public LocalDate getLastTradeDate()
```
    Gets the last date of trading.
    This date must be before the delivery date of the underlying swap.
    
    Returns:
    
    the value of the property, not null
  - getUnderlyingSwap
```
public Swap getUnderlyingSwap()
```
    Gets the underlying swap.
    The delivery date of the future is the start date of the swap. The swap must be a single currency swap with a notional of 1. There must be two legs, the fixed leg must be received and the floating rate must be paid.
    
    Returns:
    
    the value of the property, not null
  - toBuilder
```
public DsfSecurity.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 DsfSecurity

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

getCurrency

getUnderlyingIds

withInfo

createProduct

createTrade

createPosition

createPosition

meta

builder

metaBean

getInfo

getNotional

getLastTradeDate

getUnderlyingSwap

toBuilder

equals

hashCode

toString