com.opengamma.strata.product.index.type

Interface IborFutureContractSpec

All Superinterfaces:

Named

All Known Implementing Classes:

ImmutableIborFutureContractSpec

public interface IborFutureContractSpec
extends Named

A contract specification for exchange traded Ibor Futures.

The contract specification defines how the future is traded. A specific future is created by specifying the year-month.

For commonly traded contract specifications, see IborFutureContractSpecs. To manually create a contract specification, see ImmutableIborFutureContractSpec. To register a specific contract specification, see OvernightIborContractSpec.ini.

Method Summary

Modifier and Type	Method and Description
LocalDate	calculateReferenceDate(LocalDate tradeDate, SequenceDate sequenceDate, ReferenceData refData) Calculates the reference date from the trade date.
IborFuturePosition	createPosition(SecurityId securityId, YearMonth expiry, double quantity, ReferenceData refData) Creates a position based on this convention.
IborFutureTrade	createTrade(LocalDate tradeDate, SecurityId securityId, SequenceDate sequenceDate, double quantity, double price, ReferenceData refData) Creates a trade based on this convention.
static ExtendedEnum<IborFutureContractSpec>	extendedEnum() Gets the extended enum helper.
IborIndex	getIndex() Gets the Ibor index.
String	getName() Gets the name that uniquely identifies this convention.
double	getNotional() Gets the notional.
static IborFutureContractSpec	of(String uniqueName) Obtains an instance from the specified unique name.

Methods inherited from interface com.opengamma.strata.collect.named.Named

of

Method Detail

of

static IborFutureContractSpec of(String uniqueName)

Obtains an instance from the specified unique name.

Parameters:

uniqueName - the unique name

Returns:

the convention

Throws:

IllegalArgumentException - if the name is not known

extendedEnum

static ExtendedEnum<IborFutureContractSpec> extendedEnum()

Gets the extended enum helper.

This helper allows instances of the convention to be looked up. It also provides the complete set of available instances.

Returns:

the extended enum helper

getIndex

IborIndex getIndex()

Gets the Ibor index.

The floating rate to be paid is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'.

Returns:

the index

getNotional

double getNotional()

Gets the notional.

The notional is a positive number in the index currency.

Returns:

the notional

createTrade

IborFutureTrade createTrade(LocalDate tradeDate,
                            SecurityId securityId,
                            SequenceDate sequenceDate,
                            double quantity,
                            double price,
                            ReferenceData refData)

Creates a trade based on this convention.

This returns a trade based on the instructions in the SequenceDate. The sequence date points at the expiry of the future, which is how they are referred to in the market.

Parameters:

tradeDate - the trade date

securityId - the identifier of the security

sequenceDate - the date to be used from the sequence identifying the expiry of the future

quantity - the number of contracts traded, positive if buying, negative if selling

price - the trade price of the future

refData - the reference data, used to resolve the trade dates

Returns:

the trade

Throws:

ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data

createPosition

IborFuturePosition createPosition(SecurityId securityId,
                                  YearMonth expiry,
                                  double quantity,
                                  ReferenceData refData)

Creates a position based on this convention.

Parameters:

securityId - the identifier of the security

expiry - the expiry year month

quantity - the number of contracts traded, positive if buying, negative if selling

refData - the reference data, used to resolve the trade dates

Returns:

the position

Throws:

ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data

calculateReferenceDate

LocalDate calculateReferenceDate(LocalDate tradeDate,
                                 SequenceDate sequenceDate,
                                 ReferenceData refData)

Calculates the reference date from the trade date.

This determines the date from the SequenceDate.

Parameters:

tradeDate - the trade date

sequenceDate - the date to be used from the sequence

refData - the reference data, used to resolve the date

Returns:

the future reference date

getName

String getName()

Gets the name that uniquely identifies this convention.

This name is used in serialization and can be parsed using of(String).

Specified by:

getName in interface Named

Returns:

the unique name