Class OvernightFutureSecurity.Builder

    • Method Detail

      • info

        public OvernightFutureSecurity.Builder info​(SecurityInfo info)
        Sets the standard security information.

        This includes the security identifier.

        Parameters:
        info - the new value, not null
        Returns:
        this, for chaining, not null
      • notional

        public OvernightFutureSecurity.Builder notional​(double notional)
        Sets 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 the same as the currency of the index.

        Parameters:
        notional - the new value
        Returns:
        this, for chaining, not null
      • accrualFactor

        public OvernightFutureSecurity.Builder accrualFactor​(double accrualFactor)
        Sets 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.

        Parameters:
        accrualFactor - the new value
        Returns:
        this, for chaining, not null
      • lastTradeDate

        public OvernightFutureSecurity.Builder lastTradeDate​(java.time.LocalDate lastTradeDate)
        Sets 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.

        Parameters:
        lastTradeDate - the new value, not null
        Returns:
        this, for chaining, not null
      • startDate

        public OvernightFutureSecurity.Builder startDate​(java.time.LocalDate startDate)
        Sets 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.

        Parameters:
        startDate - the new value, not null
        Returns:
        this, for chaining, not null
      • endDate

        public OvernightFutureSecurity.Builder endDate​(java.time.LocalDate endDate)
        Sets 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.

        Parameters:
        endDate - the new value, not null
        Returns:
        this, for chaining, not null
      • index

        public OvernightFutureSecurity.Builder index​(OvernightIndex index)
        Sets the underlying Overnight index.

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

        Parameters:
        index - the new value, not null
        Returns:
        this, for chaining, not null
      • accrualMethod

        public OvernightFutureSecurity.Builder accrualMethod​(OvernightAccrualMethod accrualMethod)
        Sets the method of accruing Overnight interest.

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

        Parameters:
        accrualMethod - the new value, not null
        Returns:
        this, for chaining, not null
      • rounding

        public OvernightFutureSecurity.Builder rounding​(Rounding rounding)
        Sets 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.

        Parameters:
        rounding - the new value, not null
        Returns:
        this, for chaining, not null