## Interface IborFutureConvention

• All Superinterfaces:
Named, TradeConvention
All Known Implementing Classes:
ImmutableIborFutureConvention

public interface IborFutureConvention
extends TradeConvention, Named
A market convention for Ibor Future trades.

This defines the market convention for a future against a particular index.

To manually create a convention, see ImmutableIborFutureConvention. To register a specific convention, see IborFutureConvention.ini.

• ### Method Summary

All Methods
Modifier and Type Method Description
java.time.LocalDate calculateReferenceDateFromTradeDate​(java.time.LocalDate tradeDate, java.time.Period minimumPeriod, int sequenceNumber, ReferenceData refData)
Calculates the reference date from the trade date.
java.time.LocalDate calculateReferenceDateFromTradeDate​(java.time.LocalDate tradeDate, java.time.YearMonth yearMonth, ReferenceData refData)
Calculates the reference date from the trade date.
IborFutureTrade createTrade​(java.time.LocalDate tradeDate, SecurityId securityId, java.time.Period minimumPeriod, int sequenceNumber, double quantity, double notional, double price, ReferenceData refData)
Creates a trade based on this convention.
IborFutureTrade createTrade​(java.time.LocalDate tradeDate, SecurityId securityId, java.time.YearMonth yearMonth, double quantity, double notional, double price, ReferenceData refData)
Creates a trade based on this convention.
static ExtendedEnum<IborFutureConvention> extendedEnum()
Gets the extended enum helper.
IborIndex getIndex()
Gets the Ibor index.
java.lang.String getName()
Gets the name that uniquely identifies this convention.
static IborFutureConvention of​(java.lang.String uniqueName)
Obtains an instance from the specified unique name.
• ### Method Detail

• #### of

static IborFutureConvention of​(java.lang.String uniqueName)
Obtains an instance from the specified unique name.
Parameters:
uniqueName - the unique name
Returns:
the convention
Throws:
java.lang.IllegalArgumentException - if the name is not known
• #### extendedEnum

static ExtendedEnum<IborFutureConvention> extendedEnum()
Gets the extended enum helper.

This helper allows instances of the convention to be looked up. It also provides the complete set of available instances.

Returns:
the extended enum helper
• #### getIndex

IborIndex getIndex()
Gets the Ibor index.

The floating rate to be paid is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'.

Returns:
the index

IborFutureTrade createTrade​(java.time.LocalDate tradeDate,
SecurityId securityId,
java.time.Period minimumPeriod,
int sequenceNumber,
double quantity,
double notional,
double price,
ReferenceData refData)
Creates a trade based on this convention.

This returns a trade based on the specified minimum period and sequence number.

Parameters:
tradeDate - the trade date
securityId - the identifier of the security
minimumPeriod - minimum period between the value date and the first future
sequenceNumber - the 1-based sequence number of the futures
quantity - the number of contracts traded, positive if buying, negative if selling
notional - the notional amount of one future contract
price - the trade price of the future
refData - the reference data, used to resolve the trade dates
Returns:
Throws:
ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data

IborFutureTrade createTrade​(java.time.LocalDate tradeDate,
SecurityId securityId,
java.time.YearMonth yearMonth,
double quantity,
double notional,
double price,
ReferenceData refData)
Creates a trade based on this convention.

This returns a trade based on the specified year-month.

Parameters:
tradeDate - the trade date
securityId - the identifier of the security
yearMonth - the year-month that the future is defined to be for
quantity - the number of contracts traded, positive if buying, negative if selling
notional - the notional amount of one future contract
price - the trade price of the future
refData - the reference data, used to resolve the trade dates
Returns:
Throws:
ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data

java.time.LocalDate calculateReferenceDateFromTradeDate​(java.time.LocalDate tradeDate,
java.time.Period minimumPeriod,
int sequenceNumber,
ReferenceData refData)
Calculates the reference date from the trade date.

This determines the date from the specified minimum period and sequence number.

Parameters:
tradeDate - the trade date
minimumPeriod - minimum period between the trade date and the first future
sequenceNumber - the 1-based sequence number of the futures
refData - the reference data, used to resolve the date
Returns:
the future reference date

java.time.LocalDate calculateReferenceDateFromTradeDate​(java.time.LocalDate tradeDate,
java.time.YearMonth yearMonth,
ReferenceData refData)
Calculates the reference date from the trade date.

This determines the date from the specified year-month.

Parameters:
tradeDate - the trade date
yearMonth - the year-month that the future is defined to be for
refData - the reference data, used to resolve the date
Returns:
the future reference date
• #### getName

java.lang.String getName()
Gets the name that uniquely identifies this convention.

This name is used in serialization and can be parsed using of(String).

Specified by:
getName in interface Named
Returns:
the unique name