Class DsfSecurity

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

    public final class DsfSecurity
    extends java.lang.Object
    implements Security, org.joda.beans.ImmutableBean, java.io.Serializable
    A security representing a deliverable swap futures security.

    A deliverable swap future is a financial instrument that physically settles an interest rate swap on a future date. The delivered swap is cleared by a central counterparty. The last future price before delivery is quoted in term of the underlying swap present value. The futures product is margined on a daily basis.

    Price

    The price of a DSF is based on the present value (NPV) of the underlying swap on the delivery date. For example, a price of 100.182 represents a present value of $100,182.00, if the notional is $100,000. This price can also be viewed as a percentage present value - (100 + percentPv), or 0.182% in this example.

    Strata uses decimal prices for DSFs in the trade model, pricers and market data. The decimal price is based on the decimal multiplier equivalent to the implied percentage. Thus the market price of 100.182 is represented in Strata by 1.00182.

    See Also:
    Serialized Form
    • Method Detail

      • getCurrency

        public Currency getCurrency()
        Description copied from interface: Security
        Gets the currency that the security is traded in.
        Specified by:
        getCurrency in interface Security
        Returns:
        the trading currency
      • getUnderlyingIds

        public 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 DsfSecurity 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 Dsf 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 DsfTrade 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 DsfPosition 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 DsfPosition 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 DsfSecurity.Meta meta()
        The meta-bean for DsfSecurity.
        Returns:
        the meta-bean, not null
      • builder

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

        public DsfSecurity.Meta metaBean()
        Specified by:
        metaBean in interface org.joda.beans.Bean
      • 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
      • getNotional

        public double getNotional()
        Gets the notional.

        This is also called face value or contract value.

        Returns:
        the value of the property
      • getLastTradeDate

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

        This date must be before the delivery date of the underlying swap.

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

        public Swap getUnderlyingSwap()
        Gets the underlying swap.

        The delivery date of the future is the start date of the swap. The swap must be a single currency swap with a notional of 1. There must be two legs, the fixed leg must be received and the floating rate must be paid.

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

        public DsfSecurity.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