Class ResolvedOvernightFuture

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

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

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

    A ResolvedOvernightFuture 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 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

      • getIndex

        public OvernightIndex getIndex()
        Gets the Overnight index that the future is based on.
        Returns:
        the Overnight index
      • builder

        public static ResolvedOvernightFuture.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.

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

        public Currency getCurrency()
        Gets the currency that the future is traded in.
        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. 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. The last trade date is typically the last business day of the month.

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

        public OvernightRateComputation getOvernightRate()
        Gets the Overnight rate observation.

        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
      • 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 ResolvedOvernightFuture.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