com.opengamma.strata.product.index

Class ResolvedIborFutureOption

java.lang.Object

com.opengamma.strata.product.index.ResolvedIborFutureOption

All Implemented Interfaces:

ResolvedProduct, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class ResolvedIborFutureOption
extends Object
implements ResolvedProduct, org.joda.beans.ImmutableBean, Serializable

A futures option contract based on an Ibor index, resolved for pricing.

This is the resolved form of IborFutureOption and is an input to the pricers. Applications will typically create a ResolvedIborFutureOption from a IborFutureOption using IborFutureOption.resolve(ReferenceData).

A ResolvedIborFutureOption is bound to data that changes over time, such as holiday calendars. If the data changes, such as the addition of a new holiday, the resolved form will not be updated. Care must be taken when placing the resolved form in a cache or persistence layer.

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	ResolvedIborFutureOption.Builder The bean-builder for ResolvedIborFutureOption.
static class	ResolvedIborFutureOption.Meta The meta-bean for ResolvedIborFutureOption.

Method Summary

Modifier and Type	Method and Description
static ResolvedIborFutureOption.Builder	builder() Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
ZonedDateTime	getExpiry() Gets the expiry of the option.
LocalDate	getExpiryDate() Gets the expiry date of the option.
IborIndex	getIndex() Gets the Ibor index that the option is based on.
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.
SecurityId	getSecurityId() Gets the security identifier.
double	getStrikePrice() Gets the strike price, in decimal form.
ResolvedIborFuture	getUnderlyingFuture() Gets the underlying future.
int	hashCode()
static ResolvedIborFutureOption.Meta	meta() The meta-bean for ResolvedIborFutureOption.
ResolvedIborFutureOption.Meta	metaBean()
ResolvedIborFutureOption.Builder	toBuilder() Returns a builder that allows this bean to be mutated.
String	toString()

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

getExpiryDate

public LocalDate getExpiryDate()

Gets the expiry date of the option.

Returns:

the expiry date

getIndex

public IborIndex getIndex()

Gets the Ibor index that the option is based on.

Returns:

the Ibor index

meta

public static ResolvedIborFutureOption.Meta meta()

The meta-bean for ResolvedIborFutureOption.

Returns:

the meta-bean, not null

builder

public static ResolvedIborFutureOption.Builder builder()

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public ResolvedIborFutureOption.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getSecurityId

public SecurityId getSecurityId()

Gets the security identifier.

This identifier uniquely identifies the security within the system.

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

getExpiry

public ZonedDateTime getExpiry()

Gets the expiry of the option.

The date must not be after last trade date of the underlying future.

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

getUnderlyingFuture

public ResolvedIborFuture getUnderlyingFuture()

Gets the underlying future.

Returns:

the value of the property, not null

toBuilder

public ResolvedIborFutureOption.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