IborFutureOptionPosition (OpenGamma Strata Product)

java.lang.Object
- com.opengamma.strata.product.index.IborFutureOptionPosition

All Implemented Interfaces:

CalculationTarget, Resolvable<ResolvedIborFutureOptionTrade>, PortfolioItem, Position, SecuritizedProductPortfolioItem<IborFutureOption>, SecuritizedProductPosition<IborFutureOption>, SecurityQuantity, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class IborFutureOptionPosition
extends Object
implements SecuritizedProductPosition<IborFutureOption>, Resolvable<ResolvedIborFutureOptionTrade>, org.joda.beans.ImmutableBean, Serializable
```
A position in an option on a futures contract based on an Ibor index.
A position in an underlying IborFutureOption.
An Ibor future option is also known as a STIR future option (Short Term Interest Rate).
The net quantity of the position is stored using two fields - longQuantity and shortQuantity. These two fields must not be negative. In many cases, only a long quantity or short quantity will be present with the other set to zero. However it is also possible for both to be non-zero, allowing long and short positions to be treated separately. The net quantity is available via getQuantity().
Price
The price of an Ibor future option is based on the price of the underlying future, the volatility and the time to expiry. The price of the at-the-money option tends to zero as expiry approaches.
Strata uses decimal prices for Ibor future options in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, an option price of 0.2 is related to a futures price of 99.32 that implies an interest rate of 0.68%. Strata represents the price of the future as 0.9932 and thus represents the price of the option as 0.002.

See Also:

Serialized Form

Nested Class Summary

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

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`static IborFutureOptionPosition.Builder`	`builder()` Returns a builder used to create an instance of the bean.
`boolean`	`equals(Object obj)`
`Currency`	`getCurrency()` Gets the currency of the position.
`PositionInfo`	`getInfo()` Gets the additional position information, defaulted to an empty instance.
`double`	`getLongQuantity()` Gets the long quantity of the security.
`IborFutureOption`	`getProduct()` Gets the option that was traded.
`double`	`getQuantity()` Gets the net quantity of the security.
`SecurityId`	`getSecurityId()` Gets the identifier of the underlying security.
`double`	`getShortQuantity()` Gets the short quantity of the security.
`int`	`hashCode()`
`static IborFutureOptionPosition.Meta`	`meta()` The meta-bean for `IborFutureOptionPosition`.
`IborFutureOptionPosition.Meta`	`metaBean()`
`static IborFutureOptionPosition`	`ofLongShort(PositionInfo positionInfo, IborFutureOption product, double longQuantity, double shortQuantity)` Obtains an instance from position information, product, long quantity and short quantity.
`static IborFutureOptionPosition`	`ofNet(PositionInfo positionInfo, IborFutureOption product, double netQuantity)` Obtains an instance from position information, product and net quantity.
`ResolvedIborFutureOptionTrade`	`resolve(ReferenceData refData)`
`PortfolioItemSummary`	`summarize()` Summarizes the portfolio item.
`IborFutureOptionPosition.Builder`	`toBuilder()` Returns a builder that allows this bean to be mutated.
`String`	`toString()`
`IborFutureOptionPosition`	`withInfo(PortfolioItemInfo info)` Returns an instance with the specified info.
`IborFutureOptionPosition`	`withQuantity(double quantity)` Returns an instance with the specified quantity.

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

Methods inherited from interface com.opengamma.strata.product.PortfolioItem
getId

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

- Method Detail
  - ofNet
```
public static IborFutureOptionPosition ofNet(PositionInfo positionInfo,
                                             IborFutureOption product,
                                             double netQuantity)
```
    Obtains an instance from position information, product and net quantity.
    The net quantity is the long quantity minus the short quantity, which may be negative. If the quantity is positive it is treated as a long quantity. Otherwise it is treated as a short quantity.
    
    Parameters:
    
    positionInfo - the position information
    
    product - the underlying product
    
    netQuantity - the net quantity of the underlying security
    
    Returns:
    
    the position
  - ofLongShort
```
public static IborFutureOptionPosition ofLongShort(PositionInfo positionInfo,
                                                   IborFutureOption product,
                                                   double longQuantity,
                                                   double shortQuantity)
```
    Obtains an instance from position information, product, long quantity and short quantity.
    The long quantity and short quantity must be zero or positive, not negative. In many cases, only a long quantity or short quantity will be present with the other set to zero. However it is also possible for both to be non-zero, allowing long and short positions to be treated separately.
    
    Parameters:
    
    positionInfo - the position information
    
    product - the underlying product
    
    longQuantity - the long quantity of the underlying security
    
    shortQuantity - the short quantity of the underlying security
    
    Returns:
    
    the position
  - getSecurityId
```
public SecurityId getSecurityId()
```
    Description copied from interface: Position
    
    Gets the identifier of the underlying security.
    This identifier uniquely identifies the security within the system.
    
    Specified by:
    
    getSecurityId in interface Position
    
    Specified by:
    
    getSecurityId in interface SecuritizedProductPortfolioItem<IborFutureOption>
    
    Specified by:
    
    getSecurityId in interface SecuritizedProductPosition<IborFutureOption>
    
    Specified by:
    
    getSecurityId in interface SecurityQuantity
    
    Returns:
    
    the security identifier
  - getCurrency
```
public Currency getCurrency()
```
    Description copied from interface: SecuritizedProductPortfolioItem
    
    Gets the currency of the position.
    This is typically the same as the currency of the product.
    
    Specified by:
    
    getCurrency in interface SecuritizedProductPortfolioItem<IborFutureOption>
    
    Returns:
    
    the trading currency
  - getQuantity
```
public double getQuantity()
```
    Description copied from interface: Position
    
    Gets the net quantity of the security.
    This returns the net quantity of the underlying security. The result is positive if the net position is long and negative if the net position is short.
    
    Specified by:
    
    getQuantity in interface Position
    
    Specified by:
    
    getQuantity in interface SecurityQuantity
    
    Returns:
    
    the net quantity of the underlying security
  - withInfo
```
public IborFutureOptionPosition withInfo(PortfolioItemInfo info)
```
    Description copied from interface: SecuritizedProductPosition
    
    Returns an instance with the specified info.
    
    Specified by:
    
    withInfo in interface PortfolioItem
    
    Specified by:
    
    withInfo in interface Position
    
    Specified by:
    
    withInfo in interface SecuritizedProductPosition<IborFutureOption>
    
    Parameters:
    
    info - the new info
    
    Returns:
    
    the instance with the specified info
  - withQuantity
```
public IborFutureOptionPosition withQuantity(double quantity)
```
    Description copied from interface: SecuritizedProductPosition
    
    Returns an instance with the specified quantity.
    
    Specified by:
    
    withQuantity in interface Position
    
    Specified by:
    
    withQuantity in interface SecuritizedProductPortfolioItem<IborFutureOption>
    
    Specified by:
    
    withQuantity in interface SecuritizedProductPosition<IborFutureOption>
    
    Parameters:
    
    quantity - the new quantity
    
    Returns:
    
    the instance with the specified quantity
  - summarize
```
public PortfolioItemSummary summarize()
```
    Description copied from interface: PortfolioItem
    
    Summarizes the portfolio item.
    This provides a summary, including a human readable description.
    
    Specified by:
    
    summarize in interface PortfolioItem
    
    Specified by:
    
    summarize in interface Position
    
    Returns:
    
    the summary of the item
  - resolve
```
public ResolvedIborFutureOptionTrade resolve(ReferenceData refData)
```
    Specified by:
    
    resolve in interface Resolvable<ResolvedIborFutureOptionTrade>
  - meta
```
public static IborFutureOptionPosition.Meta meta()
```
    The meta-bean for IborFutureOptionPosition.
    
    Returns:
    
    the meta-bean, not null
  - builder
```
public static IborFutureOptionPosition.Builder builder()
```
    Returns a builder used to create an instance of the bean.
    
    Returns:
    
    the builder, not null
  - metaBean
```
public IborFutureOptionPosition.Meta metaBean()
```
    Specified by:
    
    metaBean in interface org.joda.beans.Bean
  - getInfo
```
public PositionInfo getInfo()
```
    Gets the additional position information, defaulted to an empty instance.
    This allows additional information to be attached to the position.
    
    Specified by:
    
    getInfo in interface PortfolioItem
    
    Specified by:
    
    getInfo in interface Position
    
    Returns:
    
    the value of the property, not null
  - getProduct
```
public IborFutureOption getProduct()
```
    Gets the option that was traded.
    The product captures the contracted financial details.
    
    Specified by:
    
    getProduct in interface SecuritizedProductPortfolioItem<IborFutureOption>
    
    Returns:
    
    the value of the property, not null
  - getLongQuantity
```
public double getLongQuantity()
```
    Gets the long quantity of the security.
    This is the quantity of the underlying security that is held. The quantity cannot be negative, as that would imply short selling.
    
    Returns:
    
    the value of the property
  - getShortQuantity
```
public double getShortQuantity()
```
    Gets the short quantity of the security.
    This is the quantity of the underlying security that has been short sold. The quantity cannot be negative, as that would imply the position is long.
    
    Returns:
    
    the value of the property
  - toBuilder
```
public IborFutureOptionPosition.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 IborFutureOptionPosition

Price

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

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

Methods inherited from interface org.joda.beans.Bean

Method Detail

ofNet

ofLongShort

getSecurityId

getCurrency

getQuantity

withInfo

withQuantity

summarize

resolve

meta

builder

metaBean

getInfo

getProduct

getLongQuantity

getShortQuantity

toBuilder

equals

hashCode

toString