OvernightFutureSecurity (OpenGamma Strata Product)

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

All Implemented Interfaces:

RateIndexSecurity, Security, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class OvernightFutureSecurity
extends Object
implements RateIndexSecurity, org.joda.beans.ImmutableBean, Serializable
```
A security representing a futures contract based on an Overnight rate index.
An Overnight rate future is a financial instrument that is based on the future value of an Overnight index interest rate. The profit or loss of an Overnight rate future is settled daily. This class represents the structure of a single futures contract.
For example, the widely traded "30-Day Federal Funds futures contract" has a notional of 5 million USD, is based on the US Federal Funds Effective Rate 'USD-FED-FUND', expiring the last business day of each month.
Price
The price of an Overnight rate future is based on the interest rate of the underlying index. It is defined as (100 - percentRate).
Strata uses decimal prices for Overnight rate 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.

See Also:

Serialized Form

Nested Class Summary

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

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`static OvernightFutureSecurity.Builder`	`builder()` Returns a builder used to create an instance of the bean.
`OvernightFuturePosition`	`createPosition(PositionInfo positionInfo, double longQuantity, double shortQuantity, ReferenceData refData)` Creates a position based on this security from a long and short quantity.
`OvernightFuturePosition`	`createPosition(PositionInfo positionInfo, double quantity, ReferenceData refData)` Creates a position based on this security from a net quantity.
`OvernightFuture`	`createProduct(ReferenceData refData)` Creates the product associated with this security.
`OvernightFutureTrade`	`createTrade(TradeInfo info, double quantity, double tradePrice, ReferenceData refData)` Creates a trade based on this security.
`boolean`	`equals(Object obj)`
`double`	`getAccrualFactor()` Gets the accrual factor, defaulted from the index if not set.
`OvernightAccrualMethod`	`getAccrualMethod()` Gets the method of accruing Overnight interest.
`Currency`	`getCurrency()` Gets the currency that the security is traded in.
`LocalDate`	`getEndDate()` Gets the last date of the rate calculation period.
`OvernightIndex`	`getIndex()` Gets the underlying Overnight index.
`SecurityInfo`	`getInfo()` Gets the standard security information.
`LocalDate`	`getLastTradeDate()` Gets the last date of trading.
`double`	`getNotional()` Gets the notional amount.
`Rounding`	`getRounding()` Gets the definition of how to round the futures price, defaulted to no rounding.
`LocalDate`	`getStartDate()` Gets the first date of the rate calculation period.
`ImmutableSet<SecurityId>`	`getUnderlyingIds()` Gets the set of underlying security identifiers.
`int`	`hashCode()`
`static OvernightFutureSecurity.Meta`	`meta()` The meta-bean for `OvernightFutureSecurity`.
`OvernightFutureSecurity.Meta`	`metaBean()`
`OvernightFutureSecurity.Builder`	`toBuilder()` Returns a builder that allows this bean to be mutated.
`String`	`toString()`
`OvernightFutureSecurity`	`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 OvernightFutureSecurity withInfo(SecurityInfo info)
```
    Description copied from interface: Security
    
    Returns an instance with the specified info.
    
    Specified by:
    
    withInfo in interface RateIndexSecurity
    
    Specified by:
    
    withInfo in interface Security
    
    Parameters:
    
    info - the new info
    
    Returns:
    
    the instance with the specified info
  - createProduct
```
public OvernightFuture 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 OvernightFutureTrade 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 OvernightFuturePosition 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 OvernightFuturePosition 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 OvernightFutureSecurity.Meta meta()
```
    The meta-bean for OvernightFutureSecurity.
    
    Returns:
    
    the meta-bean, not null
  - builder
```
public static OvernightFutureSecurity.Builder builder()
```
    Returns a builder used to create an instance of the bean.
    
    Returns:
    
    the builder, not null
  - metaBean
```
public OvernightFutureSecurity.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 amount.
    This is the full notional of the deposit, such as 5 million dollars. The notional expressed here must be positive. The currency of the notional the same as the currency of the index.
    
    Returns:
    
    the value of the property
  - getAccrualFactor
```
public double getAccrualFactor()
```
    Gets the accrual factor, defaulted from the index if not set.
    This is the year fraction of the contract, typically 1/12 for a 30-day future. As such, it is often unrelated to the day count of the index. The year fraction must be positive.
    
    Returns:
    
    the value of the property
  - getLastTradeDate
```
public LocalDate getLastTradeDate()
```
    Gets the last date of trading.
    This must be a valid business day on the fixing calendar of index. For example, the last trade date is often the last business day of the month.
    
    Returns:
    
    the value of the property, not null
  - getStartDate
```
public LocalDate getStartDate()
```
    Gets the first date of the rate calculation period.
    This is not necessarily a valid business day on the fixing calendar of index. However, it will be adjusted in OvernightRateComputation if needed.
    
    Returns:
    
    the value of the property, not null
  - getEndDate
```
public LocalDate getEndDate()
```
    Gets the last date of the rate calculation period.
    This is not necessarily a valid business day on the fixing calendar of index. However, it will be adjusted in OvernightRateComputation if needed.
    
    Returns:
    
    the value of the property, not null
  - getIndex
```
public OvernightIndex getIndex()
```
    Gets the underlying Overnight index.
    The future is based on this index. It will be a well known market index such as 'USD-FED-FUND'.
    
    Specified by:
    
    getIndex in interface RateIndexSecurity
    
    Returns:
    
    the value of the property, not null
  - getAccrualMethod
```
public OvernightAccrualMethod getAccrualMethod()
```
    Gets the method of accruing Overnight interest.
    The average rate is calculated based on this method over the period between startDate and endDate.
    
    Returns:
    
    the 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 OvernightFutureSecurity.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 OvernightFutureSecurity

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

getAccrualFactor

getLastTradeDate

getStartDate

getEndDate

getIndex

getAccrualMethod

getRounding

toBuilder

equals

hashCode

toString