IborFutureOptionSecurity (OpenGamma Strata Product)

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

All Implemented Interfaces:

Security, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class IborFutureOptionSecurity
extends Object
implements Security, org.joda.beans.ImmutableBean, Serializable
```
A security representing a futures option contract, based on an Ibor index.
An Ibor future option is a financial instrument that provides an option based on the future value of an Ibor index interest rate. The option is American, exercised at any point up to the exercise time. It handles options with either daily margining or upfront premium.
An Ibor future option is also known as a STIR future option (Short Term Interest Rate).
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`	`IborFutureOptionSecurity.Builder` The bean-builder for `IborFutureOptionSecurity`.
`static class`	`IborFutureOptionSecurity.Meta` The meta-bean for `IborFutureOptionSecurity`.

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`static IborFutureOptionSecurity.Builder`	`builder()` Returns a builder used to create an instance of the bean.
`IborFutureOptionPosition`	`createPosition(PositionInfo positionInfo, double longQuantity, double shortQuantity, ReferenceData refData)` Creates a position based on this security from a long and short quantity.
`IborFutureOptionPosition`	`createPosition(PositionInfo positionInfo, double quantity, ReferenceData refData)` Creates a position based on this security from a net quantity.
`IborFutureOption`	`createProduct(ReferenceData refData)` Creates the product associated with this security.
`IborFutureOptionTrade`	`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 option is traded in.
`LocalDate`	`getExpiryDate()` Gets the expiry date of the option.
`LocalTime`	`getExpiryTime()` Gets the expiry time of the option.
`ZoneId`	`getExpiryZone()` Gets the time-zone of the expiry time.
`SecurityInfo`	`getInfo()` Gets the standard security information.
`FutureOptionPremiumStyle`	`getPremiumStyle()` Gets the style of the option premium.
`PutCall`	`getPutCall()` Gets whether the option is put or call.
`Rounding`	`getRounding()` Gets the definition of how to round the option price, defaulted to no rounding.
`double`	`getStrikePrice()` Gets the strike price, in decimal form.
`SecurityId`	`getUnderlyingFutureId()` Gets the identifier of the underlying future.
`ImmutableSet<SecurityId>`	`getUnderlyingIds()` Gets the set of underlying security identifiers.
`int`	`hashCode()`
`static IborFutureOptionSecurity.Meta`	`meta()` The meta-bean for `IborFutureOptionSecurity`.
`IborFutureOptionSecurity.Meta`	`metaBean()`
`IborFutureOptionSecurity.Builder`	`toBuilder()` Returns a builder that allows this bean to be mutated.
`String`	`toString()`
`IborFutureOptionSecurity`	`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 IborFutureOptionSecurity 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 IborFutureOption 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 IborFutureOptionTrade 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 IborFutureOptionPosition 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 IborFutureOptionPosition 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 IborFutureOptionSecurity.Meta meta()
```
    The meta-bean for IborFutureOptionSecurity.
    
    Returns:
    
    the meta-bean, not null
  - builder
```
public static IborFutureOptionSecurity.Builder builder()
```
    Returns a builder used to create an instance of the bean.
    
    Returns:
    
    the builder, not null
  - metaBean
```
public IborFutureOptionSecurity.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 option is traded in.
    
    Specified by:
    
    getCurrency in interface Security
    
    Returns:
    
    the value of the property, not null
  - getPutCall
```
public PutCall getPutCall()
```
    Gets whether the option is put or call.
    A call gives the owner the right, but not obligation, to buy the underlying at an agreed price in the future. A put gives a similar option to sell.
    
    Returns:
    
    the value of the property
  - getStrikePrice
```
public double getStrikePrice()
```
    Gets the strike price, in decimal form.
    This is the price at which the option applies and refers to the price of the underlying future. The rate implied by the strike can take negative values.
    Strata uses decimal prices for Ibor futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.
    
    Returns:
    
    the value of the property
  - getExpiryDate
```
public LocalDate getExpiryDate()
```
    Gets the expiry date of the option.
    The expiry date is related to the expiry time and time-zone. The date must not be after last trade date of the underlying future.
    
    Returns:
    
    the value of the property, not null
  - getExpiryTime
```
public LocalTime getExpiryTime()
```
    Gets the expiry time of the option.
    The expiry time is related to the expiry date and time-zone.
    
    Returns:
    
    the value of the property, not null
  - getExpiryZone
```
public ZoneId getExpiryZone()
```
    Gets the time-zone of the expiry time.
    The expiry time-zone is related to the expiry date and time.
    
    Returns:
    
    the value of the property, not null
  - getPremiumStyle
```
public FutureOptionPremiumStyle getPremiumStyle()
```
    Gets the style of the option premium.
    The two options are daily margining and upfront premium.
    
    Returns:
    
    the value of the property, not null
  - getRounding
```
public Rounding getRounding()
```
    Gets the definition of how to round the option 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.
    
    Returns:
    
    the value of the property, not null
  - getUnderlyingFutureId
```
public SecurityId getUnderlyingFutureId()
```
    Gets the identifier of the underlying future.
    
    Returns:
    
    the value of the property, not null
  - toBuilder
```
public IborFutureOptionSecurity.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 IborFutureOptionSecurity

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

getPutCall

getStrikePrice

getExpiryDate

getExpiryTime

getExpiryZone

getPremiumStyle

getRounding

getUnderlyingFutureId

toBuilder

equals

hashCode

toString