Package com.opengamma.strata.market.curve.node

Class OvernightFutureCurveNode

java.lang.Object

com.opengamma.strata.market.curve.node.OvernightFutureCurveNode

All Implemented Interfaces:

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

public final class OvernightFutureCurveNode
extends Object
implements CurveNode, org.joda.beans.ImmutableBean, Serializable

A curve node whose instrument is an Overnight Future.

The trade produced by the node will be a long for a positive quantity and a short for a negative quantity. This convention is line with other nodes where a positive quantity is similar to long a bond or deposit.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	OvernightFutureCurveNode.Builder	The bean-builder for OvernightFutureCurveNode.
static class	OvernightFutureCurveNode.Meta	The meta-bean for OvernightFutureCurveNode.

Method Summary

Modifier and Type	Method	Description
static OvernightFutureCurveNode.Builder	builder()	Returns a builder used to create an instance of the bean.
LocalDate	date(LocalDate valuationDate, ReferenceData refData)	Calculates the date associated with the node.
boolean	equals(Object obj)
double	getAdditionalSpread()	Gets the additional spread added to the price.
CurveNodeDate	getDate()	Gets the method by which the date of the node is calculated, defaulted to 'End'.
CurveNodeDateOrder	getDateOrder()	Gets the date order rules, used to ensure that the dates in the curve are in order.
String	getLabel()	Gets the label to use for the node, may be empty.
QuoteId	getRateId()	Gets the identifier of the market data value which provides the price.
OvernightFutureTemplate	getTemplate()	Gets the template for the Overnight Futures associated with this node.
int	hashCode()
double	initialGuess(MarketData marketData, ValueType valueType)	Gets the initial guess used for calibrating the node.
static OvernightFutureCurveNode.Meta	meta()	The meta-bean for OvernightFutureCurveNode.
OvernightFutureCurveNode.Meta	metaBean()
DatedParameterMetadata	metadata(LocalDate valuationDate, ReferenceData refData)	Returns metadata for the node.
static OvernightFutureCurveNode	of(OvernightFutureTemplate template, QuoteId rateId)	Obtains a curve node for an Overnight Future using the specified contract and rate key.
static OvernightFutureCurveNode	of(OvernightFutureTemplate template, QuoteId rateId, double additionalSpread)	Obtains a curve node for an Overnight Future using the specified contract, rate key and spread.
static OvernightFutureCurveNode	of(OvernightFutureTemplate template, QuoteId rateId, double additionalSpread, String label)	Obtains a curve node for an Overnight Future using the specified contract, rate key, spread and label.
Set<ObservableId>	requirements()	Determines the market data that is required by the node.
ResolvedOvernightFutureTrade	resolvedTrade(double quantity, MarketData marketData, ReferenceData refData)	Creates a resolved trade representing the instrument at the node.
ResolvedOvernightFutureTrade	sampleResolvedTrade(LocalDate valuationDate, FxRateProvider fxProvider, ReferenceData refData)	Creates a resolved trade representing the instrument at the node.
OvernightFutureCurveNode.Builder	toBuilder()	Returns a builder that allows this bean to be mutated.
String	toString()
OvernightFutureTrade	trade(double quantity, MarketData marketData, ReferenceData refData)	Creates a trade representing the instrument at the node.
OvernightFutureCurveNode	withDate(CurveNodeDate date)	Returns a copy of this node with the specified date.

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

of

public static OvernightFutureCurveNode of(OvernightFutureTemplate template,
                                          QuoteId rateId)

Obtains a curve node for an Overnight Future using the specified contract and rate key.

Parameters:

template - the template used for building the instrument for the node

rateId - the identifier of the market rate for the security

Returns:

a node whose instrument is built from the template using a market rate

of

public static OvernightFutureCurveNode of(OvernightFutureTemplate template,
                                          QuoteId rateId,
                                          double additionalSpread)

Obtains a curve node for an Overnight Future using the specified contract, rate key and spread.

Parameters:

template - the template used for building the instrument for the node

rateId - the identifier of the market rate for the security

additionalSpread - the additional spread amount added to the rate

Returns:

a node whose instrument is built from the template using a market rate

of

public static OvernightFutureCurveNode of(OvernightFutureTemplate template,
                                          QuoteId rateId,
                                          double additionalSpread,
                                          String label)

Obtains a curve node for an Overnight Future using the specified contract, rate key, spread and label.

Parameters:

template - the template used for building the instrument for the node

rateId - the identifier of the market rate for the security

additionalSpread - the additional spread amount added to the rate

label - the label to use for the node, if empty an appropriate default label will be generated

Returns:

a node whose instrument is built from the template using a market rate

requirements

public Set<ObservableId> requirements()

Description copied from interface: CurveNode

Determines the market data that is required by the node.

This returns the market data needed to build the trade that the node represents.

Specified by:

requirements in interface CurveNode

Returns:

requirements for the market data needed to build a trade representing the instrument at the node

date

public LocalDate date(LocalDate valuationDate,
                      ReferenceData refData)

Description copied from interface: CurveNode

Calculates the date associated with the node.

Each curve node has an associated date which defines the x-value in the curve. This date is visible in the parameter metadata.

Specified by:

date in interface CurveNode

Parameters:

valuationDate - the valuation date used when calibrating the curve

refData - the reference data to use to resolve the trade

Returns:

the date associated with the node

metadata

public DatedParameterMetadata metadata(LocalDate valuationDate,
                                       ReferenceData refData)

Description copied from interface: CurveNode

Returns metadata for the node.

This provides curve metadata for the node at the specified valuation date.

Specified by:

metadata in interface CurveNode

Parameters:

valuationDate - the valuation date used when calibrating the curve

refData - the reference data to use to resolve the trade

Returns:

metadata for the node

trade

public OvernightFutureTrade trade(double quantity,
                                  MarketData marketData,
                                  ReferenceData refData)

Description copied from interface: CurveNode

Creates a trade representing the instrument at the node.

This uses the observed market data to build the trade that the node represents. The reference data is typically used to find the start date of the trade from the valuation date. The resulting trade is not resolved. The notional of the trade is taken from the 'quantity' variable. The quantity is signed and will affect whether the trade is Buy or Sell. The valuation date is defined by the market data.

Specified by:

trade in interface CurveNode

Parameters:

quantity - the quantity or notional of the trade

marketData - the market data required to build a trade for the instrument, including the valuation date

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

Returns:

a trade representing the instrument at the node

resolvedTrade

public ResolvedOvernightFutureTrade resolvedTrade(double quantity,
                                                  MarketData marketData,
                                                  ReferenceData refData)

Description copied from interface: CurveNode

Creates a resolved trade representing the instrument at the node.

This uses the observed market data to build the trade that the node represents. The trade is then resolved using the specified reference data if necessary. The valuation date is defined by the market data.

Resolved objects may be 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.

Specified by:

resolvedTrade in interface CurveNode

Parameters:

quantity - the quantity or notional of the trade

marketData - the market data required to build a trade for the instrument, including the valuation date

refData - the reference data, used to resolve the trade

Returns:

a trade representing the instrument at the node

sampleResolvedTrade

public ResolvedOvernightFutureTrade sampleResolvedTrade(LocalDate valuationDate,
                                                        FxRateProvider fxProvider,
                                                        ReferenceData refData)

Description copied from interface: CurveNode

Creates a resolved trade representing the instrument at the node.

This uses an arbitrary quantity, typically 1, and an arbitrary market data quote, typically 0, to create a trade. This is useful when the trade is to be used to calculate the current par value. The FX provider is typically only used for cross-currency trades. In many cases, FxRateProvider.minimal() can be passed in.

Resolved objects may be 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.

Specified by:

sampleResolvedTrade in interface CurveNode

Parameters:

valuationDate - the valuation date

fxProvider - the FX rate provider

refData - the reference data, used to resolve the trade

Returns:

a trade representing the instrument at the node

initialGuess

public double initialGuess(MarketData marketData,
                           ValueType valueType)

Description copied from interface: CurveNode

Gets the initial guess used for calibrating the node.

This uses the observed market data to select a suitable initial guess. For example, a Fixed-Ibor swap would return the market quote, which is the fixed rate, providing that the value type is 'ZeroRate'. The valuation date is defined by the market data.

This is primarily used as a performance hint. Since the guess is refined by calibration, in most cases any suitable number can be returned, such as zero.

Specified by:

initialGuess in interface CurveNode

Parameters:

marketData - the market data required to build a trade for the instrument, including the valuation date

valueType - the type of y-value that the curve will contain

Returns:

the initial guess of the calibrated value

withDate

public OvernightFutureCurveNode withDate(CurveNodeDate date)

Returns a copy of this node with the specified date.

Parameters:

date - the date to use

Returns:

the node based on this node with the specified date

meta

public static OvernightFutureCurveNode.Meta meta()

The meta-bean for OvernightFutureCurveNode.

Returns:

the meta-bean, not null

builder

public static OvernightFutureCurveNode.Builder builder()

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

Returns:

the builder, not null

metaBean

public OvernightFutureCurveNode.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getTemplate

public OvernightFutureTemplate getTemplate()

Gets the template for the Overnight Futures associated with this node. The contract specification of the future.

Returns:

the value of the property, not null

getRateId

public QuoteId getRateId()

Gets the identifier of the market data value which provides the price.

Returns:

the value of the property, not null

getAdditionalSpread

public double getAdditionalSpread()

Gets the additional spread added to the price. This amount is directly added to the price, where 0.993 represents a 0.7% rate.

Returns:

the value of the property

getLabel

public String getLabel()

Gets the label to use for the node, may be empty.

If empty, a default label will be created when the metadata is built. The default label depends on the valuation date, so cannot be created in the node.

Specified by:

getLabel in interface CurveNode

Returns:

the value of the property, not null

getDate

public CurveNodeDate getDate()

Gets the method by which the date of the node is calculated, defaulted to 'End'.

Returns:

the value of the property

getDateOrder

public CurveNodeDateOrder getDateOrder()

Gets the date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default to CurveNodeDateOrder.DEFAULT.

Specified by:

getDateOrder in interface CurveNode

Returns:

the value of the property, not null

toBuilder

public OvernightFutureCurveNode.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