Class OvernightFuture

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

    public final class OvernightFuture
    extends java.lang.Object
    implements SecuritizedProduct, Resolvable<ResolvedOvernightFuture>, ImmutableBean, java.io.Serializable
    A futures contract based on an Overnight index.

    An Overnight rate future is a financial instrument that is based on the future value of an Overnight index interest rate. The profit or loss of an Overnight rate future is settled daily. This class represents the structure of a single futures contract.

    For example, the widely traded "30-Day Federal Funds futures contract" has a notional of 5 million USD, is based on the US Federal Funds Effective Rate 'USD-FED-FUND', expiring the last business day of each month.

    Price

    The price of an Overnight rate future is based on the interest rate of the underlying index. It is defined as (100 - percentRate).

    Strata uses decimal prices for Overnight rate 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.

    See Also:
    Serialized Form
    • Method Detail

      • resolve

        public ResolvedOvernightFuture 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<ResolvedOvernightFuture>
        Parameters:
        refData - the reference data to use when resolving
        Returns:
        the resolved instance
      • meta

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

        public static OvernightFuture.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
      • getCurrency

        public Currency getCurrency()
        Gets the currency that the future is traded in, defaulted from the index if not set.
        Specified by:
        getCurrency in interface SecuritizedProduct
        Returns:
        the value of the property, not null
      • getNotional

        public double getNotional()
        Gets the notional amount.

        This is the full notional of the deposit, such as 5 million dollars. The notional expressed here must be positive. The currency of the notional is specified by currency.

        Returns:
        the value of the property
      • getAccrualFactor

        public double getAccrualFactor()
        Gets the accrual factor, defaulted from the index if not set.

        This is the year fraction of the contract, typically 1/12 for a 30-day future. As such, it is often unrelated to the day count of the index. The year fraction must be positive.

        Returns:
        the value of the property
      • getLastTradeDate

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

        This must be a valid business day on the fixing calendar of index. For example, the last trade date is often the last business day of the month.

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

        public java.time.LocalDate getStartDate()
        Gets the first date of the rate calculation period.

        This is not necessarily a valid business day on the fixing calendar of index. However, it will be adjusted in OvernightRateComputation if needed.

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

        public java.time.LocalDate getEndDate()
        Gets the last date of the rate calculation period.

        This is not necessarily a valid business day on the fixing calendar of index. However, it will be adjusted in OvernightRateComputation if needed.

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

        public OvernightIndex getIndex()
        Gets the underlying Overnight index.

        The future is based on this index. It will be a well known market index such as 'USD-FED-FUND'.

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

        public OvernightAccrualMethod getAccrualMethod()
        Gets the method of accruing Overnight interest.

        The average rate is calculated based on this method over the period between startDate and endDate.

        Returns:
        the 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 OvernightFuture.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