Class BondFutureSecurity

  • All Implemented Interfaces:
    Security, java.io.Serializable, Bean, ImmutableBean

    public final class BondFutureSecurity
    extends java.lang.Object
    implements Security, ImmutableBean, java.io.Serializable
    A security representing a futures contract, based on a basket of fixed coupon bonds.

    A bond future is a financial instrument that is based on the future value of a basket of fixed coupon bonds. The profit or loss of a bond future is settled daily.

    Price

    Strata uses decimal prices for bond futures in the trade model, pricers and market data. This is coherent with the pricing of FixedCouponBond. The bond futures delivery is a bond for an amount computed from the bond future price, a conversion factor and the accrued interest.
    See Also:
    Serialized Form
    • Method Detail

      • getUnderlyingIds

        public com.google.common.collect.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 BondFutureSecurity withInfo​(SecurityInfo info)
        Description copied from interface: Security
        Returns an instance with the specified info.
        Specified by:
        withInfo in interface Security
        Parameters:
        info - the new info
        Returns:
        the instance with the specified info
      • createProduct

        public BondFuture 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 BondFutureTrade 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 BondFuturePosition 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 BondFuturePosition 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 BondFutureSecurity.Meta meta()
        The meta-bean for BondFutureSecurity.
        Returns:
        the meta-bean, not null
      • builder

        public static BondFutureSecurity.Builder builder()
        Returns a builder used to create an instance of the bean.
        Returns:
        the builder, not null
      • 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
      • getCurrency

        public Currency getCurrency()
        Gets the currency that the future is traded in.
        Specified by:
        getCurrency in interface Security
        Returns:
        the value of the property, not null
      • getDeliveryBasketIds

        public com.google.common.collect.ImmutableList<SecurityId> getDeliveryBasketIds()
        Gets the basket of deliverable bonds.

        The underlying which will be delivered in the future time is chosen from a basket of underling securities. This must not be empty.

        All of the underlying bonds must have the same notional and currency.

        Returns:
        the value of the property, not empty
      • getConversionFactors

        public com.google.common.collect.ImmutableList<java.lang.Double> getConversionFactors()
        Gets the conversion factor for each bond in the basket.

        The price of each underlying security in the basket is rescaled by the conversion factor. This must not be empty, and its size must be the same as the size of deliveryBasketIds.

        All of the underlying bonds must have the same notional and currency.

        Returns:
        the value of the property, not empty
      • getLastTradeDate

        public java.time.LocalDate getLastTradeDate()
        Gets the last trading date.

        The future security is traded until this date.

        Returns:
        the value of the property, not null
      • getFirstNoticeDate

        public java.time.LocalDate getFirstNoticeDate()
        Gets the first notice date.

        The first date on which the delivery of the underlying is authorized.

        Returns:
        the value of the property, not null
      • getLastNoticeDate

        public java.time.LocalDate getLastNoticeDate()
        Gets the last notice date.

        The last date on which the delivery of the underlying is authorized.

        Returns:
        the value of the property, not null
      • getFirstDeliveryDate

        public java.util.Optional<java.time.LocalDate> getFirstDeliveryDate()
        Gets the first delivery date.

        The first date on which the underlying is delivered.

        If not specified, the date will be computed from firstNoticeDate by using settlementDateOffset in the first element of the delivery basket when the future is resolved.

        Returns:
        the optional value of the property, not null
      • getLastDeliveryDate

        public java.util.Optional<java.time.LocalDate> getLastDeliveryDate()
        Gets the last delivery date.

        The last date on which the underlying is delivered.

        If not specified, the date will be computed from lastNoticeDate by using settlementDateOffset in the first element of the delivery basket when the future is resolved.

        Returns:
        the optional 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 BondFutureSecurity.Builder toBuilder()
        Returns a builder that allows this bean to be mutated.
        Returns:
        the mutable builder, not null
      • equals

        public boolean equals​(java.lang.Object obj)
        Overrides:
        equals in class java.lang.Object
      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class java.lang.Object
      • toString

        public java.lang.String toString()
        Overrides:
        toString in class java.lang.Object