com.opengamma.strata.product.index

Class ResolvedOvernightFuture

java.lang.Object

com.opengamma.strata.product.index.ResolvedOvernightFuture

All Implemented Interfaces:

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

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

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

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

A ResolvedOvernightFuture 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 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	ResolvedOvernightFuture.Builder The bean-builder for ResolvedOvernightFuture.
static class	ResolvedOvernightFuture.Meta The meta-bean for ResolvedOvernightFuture.

Method Summary

Modifier and Type	Method and Description
static ResolvedOvernightFuture.Builder	builder() Returns a builder used to create an instance of the bean.
boolean	equals(Object obj)
double	getAccrualFactor() Gets the accrual factor, defaulted from the index if not set.
Currency	getCurrency() Gets the currency that the future is traded in.
OvernightIndex	getIndex() Gets the Overnight index that the future is based on.
LocalDate	getLastTradeDate() Gets the last date of trading.
double	getNotional() Gets the notional amount.
OvernightRateComputation	getOvernightRate() Gets the Overnight rate observation.
Rounding	getRounding() Gets the definition of how to round the futures price, defaulted to no rounding.
SecurityId	getSecurityId() Gets the security identifier.
int	hashCode()
static ResolvedOvernightFuture.Meta	meta() The meta-bean for ResolvedOvernightFuture.
ResolvedOvernightFuture.Meta	metaBean()
ResolvedOvernightFuture.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

getIndex

public OvernightIndex getIndex()

Gets the Overnight index that the future is based on.

Returns:

the Overnight index

meta

public static ResolvedOvernightFuture.Meta meta()

The meta-bean for ResolvedOvernightFuture.

Returns:

the meta-bean, not null

builder

public static ResolvedOvernightFuture.Builder builder()

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

Returns:

the builder, not null

metaBean

public ResolvedOvernightFuture.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

getCurrency

public Currency getCurrency()

Gets the currency that the future is traded in.

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 is specified by currency.

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. 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. The last trade date is typically the last business day of the month.

Returns:

the value of the property, not null

getOvernightRate

public OvernightRateComputation getOvernightRate()

Gets the Overnight rate observation.

The future is based on this index. It will be a well known market index such as 'USD-FED-FUND'.

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 ResolvedOvernightFuture.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