Package com.opengamma.strata.product.dsf

Entity objects describing Deliverable Swap Futures (DSFs).

See: Description

Class Summary

Class	Description
Dsf	A deliverable swap futures contract.
Dsf.Builder	The bean-builder for Dsf.
Dsf.Meta	The meta-bean for Dsf.
DsfPosition	A position in a DSF.
DsfPosition.Builder	The bean-builder for DsfPosition.
DsfPosition.Meta	The meta-bean for DsfPosition.
DsfSecurity	A security representing a deliverable swap futures security.
DsfSecurity.Builder	The bean-builder for DsfSecurity.
DsfSecurity.Meta	The meta-bean for DsfSecurity.
DsfTrade	A trade representing a futures contract based on an interest rate swap.
DsfTrade.Builder	The bean-builder for DsfTrade.
DsfTrade.Meta	The meta-bean for DsfTrade.
ResolvedDsf	A Deliverable Swap Future, resolved for pricing.
ResolvedDsf.Builder	The bean-builder for ResolvedDsf.
ResolvedDsf.Meta	The meta-bean for ResolvedDsf.
ResolvedDsfTrade	A trade in a Deliverable Swap Future, resolved for pricing.
ResolvedDsfTrade.Builder	The bean-builder for ResolvedDsfTrade.
ResolvedDsfTrade.Meta	The meta-bean for ResolvedDsfTrade.

Package com.opengamma.strata.product.dsf Description

Entity objects describing Deliverable Swap Futures (DSFs).

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.