Class OvernightFutureSecurity

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

    public final class OvernightFutureSecurity
    extends java.lang.Object
    implements RateIndexSecurity, org.joda.beans.ImmutableBean, java.io.Serializable
    A security representing a futures contract based on an Overnight rate 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

      • 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
      • createProduct

        public OvernightFuture 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 OvernightFutureTrade 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 OvernightFuturePosition 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 OvernightFuturePosition 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
      • builder

        public static OvernightFutureSecurity.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
      • 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 the same as the currency of the index.

        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'.

        Specified by:
        getIndex in interface RateIndexSecurity
        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 OvernightFutureSecurity.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