Class ResolvedOvernightFutureTrade

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

    public final class ResolvedOvernightFutureTrade
    extends java.lang.Object
    implements ResolvedTrade, ImmutableBean, java.io.Serializable
    A trade in a futures contract based on an Overnight index, resolved for pricing.

    This is the resolved form of OvernightFutureTrade and is the primary input to the pricers. Applications will typically create a ResolvedOvernightFutureTrade from a OvernightFutureTrade using OvernightFutureTrade.resolve(ReferenceData).

    A ResolvedOvernightFutureTrade 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

      • getInfo

        public PortfolioItemInfo getInfo()
        Gets the additional information, defaulted to an empty instance.

        This allows additional information to be attached.

        Specified by:
        getInfo in interface ResolvedTrade
        Returns:
        the value of the property, not null
      • getProduct

        public ResolvedOvernightFuture getProduct()
        Gets the future that was traded.

        The product captures the contracted financial details of the trade.

        Specified by:
        getProduct in interface ResolvedTrade
        Returns:
        the value of the property, not null
      • getQuantity

        public double getQuantity()
        Gets the quantity that was traded.

        This is the number of contracts that were traded. This will be positive if buying and negative if selling.

        Returns:
        the value of the property
      • getTradedPrice

        public java.util.Optional<TradedPrice> getTradedPrice()
        Gets the price that was traded, together with the trade date, optional.

        This is the price agreed when the trade occurred, in decimal form. 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.

        This is optional to allow the class to be used to price both trades and positions. When the instance represents a trade, the traded price should be present. When the instance represents a position, the traded price should be empty.

        Returns:
        the optional 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