Class ResolvedIborFutureOption

  • All Implemented Interfaces:
    ResolvedProduct, java.io.Serializable, Bean, ImmutableBean

    public final class ResolvedIborFutureOption
    extends java.lang.Object
    implements ResolvedProduct, ImmutableBean, java.io.Serializable
    A futures option contract based on an Ibor index, resolved for pricing.

    This is the resolved form of IborFutureOption and is an input to the pricers. Applications will typically create a ResolvedIborFutureOption from a IborFutureOption using IborFutureOption.resolve(ReferenceData).

    A ResolvedIborFutureOption is 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.

    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

      • getExpiryDate

        public java.time.LocalDate getExpiryDate()
        Gets the expiry date of the option.
        Returns:
        the expiry date
      • getIndex

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

        public SecurityId getSecurityId()
        Gets the security identifier.

        This identifier uniquely identifies the security within the system.

        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
      • getExpiry

        public java.time.ZonedDateTime getExpiry()
        Gets the expiry of the option.

        The date must not be after last trade date of the underlying future.

        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 ResolvedIborFuture getUnderlyingFuture()
        Gets the underlying future.
        Returns:
        the value of the property, 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