Class ResolvedOvernightFuture.Builder

    • Method Detail

      • securityId

        public ResolvedOvernightFuture.Builder securityId​(SecurityId securityId)
        Sets the security identifier.

        This identifier uniquely identifies the security within the system.

        Parameters:
        securityId - the new value, not null
        Returns:
        this, for chaining, not null
      • currency

        public ResolvedOvernightFuture.Builder currency​(Currency currency)
        Sets the currency that the future is traded in.
        Parameters:
        currency - the new value, not null
        Returns:
        this, for chaining, not null
      • notional

        public ResolvedOvernightFuture.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 is specified by currency.

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

        public ResolvedOvernightFuture.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. The year fraction must be positive.

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

        public ResolvedOvernightFuture.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. The last trade date is typically the last business day of the month.

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

        public ResolvedOvernightFuture.Builder overnightRate​(OvernightRateComputation overnightRate)
        Sets the Overnight rate observation.

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

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

        public ResolvedOvernightFuture.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