Class IborFutureOption

  • All Implemented Interfaces:
    Resolvable<ResolvedIborFutureOption>, Product, SecuritizedProduct, java.io.Serializable, Bean, ImmutableBean

    public final class IborFutureOption
    extends java.lang.Object
    implements SecuritizedProduct, Resolvable<ResolvedIborFutureOption>, ImmutableBean, java.io.Serializable
    A futures option contract, based on an Ibor index.

    An Ibor future option is a financial instrument that provides an option based on the future value of an Ibor index interest rate. The option is American, exercised at any point up to the exercise time. It handles options with either daily margining or upfront premium.

    An Ibor future option is also known as a STIR future option (Short Term Interest Rate). This class represents the structure of a single option contract.

    Price

    The price of an Ibor future option is based on the price of the underlying future, the volatility and the time to expiry. The price of the at-the-money option tends to zero as expiry approaches.

    Strata uses decimal prices for Ibor future options in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, an option price of 0.2 is related to a futures price of 99.32 that implies an interest rate of 0.68%. Strata represents the price of the future as 0.9932 and thus represents the price of the option as 0.002.

    See Also:
    Serialized Form
    • Method Detail

      • getExpiry

        public java.time.ZonedDateTime getExpiry()
        Gets the expiry date-time.

        The option expires at this date and time.

        The result is returned by combining the expiry date, time and time-zone.

        Returns:
        the expiry date and time
      • getIndex

        public IborIndex getIndex()
        Gets the Ibor index that the option is based on.
        Returns:
        the Ibor index
      • resolve

        public ResolvedIborFutureOption resolve​(ReferenceData refData)
        Description copied from interface: Resolvable
        Resolves this object using the specified reference data.

        This converts the object implementing this interface to the equivalent resolved form. All ReferenceDataId identifiers in this instance will be resolved. The resolved form will typically be a type that is optimized for pricing.

        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:
        resolve in interface Resolvable<ResolvedIborFutureOption>
        Parameters:
        refData - the reference data to use when resolving
        Returns:
        the resolved instance
      • meta

        public static IborFutureOption.Meta meta()
        The meta-bean for IborFutureOption.
        Returns:
        the meta-bean, not null
      • builder

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

        public SecurityId getSecurityId()
        Gets the security identifier.

        This identifier uniquely identifies the security within the system.

        Specified by:
        getSecurityId in interface SecuritizedProduct
        Returns:
        the value of the property, not null
      • getPutCall

        public PutCall getPutCall()
        Gets whether the option is put or call.

        A call gives the owner the right, but not obligation, to buy the underlying at an agreed price in the future. A put gives a similar option to sell.

        Returns:
        the value of the property
      • getStrikePrice

        public double getStrikePrice()
        Gets the strike price, in decimal form.

        This is the price at which the option applies and refers to the price of the underlying future. The rate implied by the strike can take negative values.

        Strata uses decimal prices for Ibor 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.

        Returns:
        the value of the property
      • getExpiryDate

        public java.time.LocalDate getExpiryDate()
        Gets the expiry date of the option.

        The expiry date is related to the expiry time and time-zone. The date must not be after last trade date of the underlying future.

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

        public java.time.LocalTime getExpiryTime()
        Gets the expiry time of the option.

        The expiry time is related to the expiry date and time-zone.

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

        public java.time.ZoneId getExpiryZone()
        Gets the time-zone of the expiry time.

        The expiry time-zone is related to the expiry date and time.

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

        public FutureOptionPremiumStyle getPremiumStyle()
        Gets the style of the option premium.

        The two options are daily margining and upfront premium.

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

        public Rounding getRounding()
        Gets the definition of how to round the option 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.

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

        public IborFuture getUnderlyingFuture()
        Gets the underlying future.
        Returns:
        the value of the property, not null
      • toBuilder

        public IborFutureOption.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