Class ImmutableOvernightFutureContractSpec

    • Method Detail

      • createTrade

        public OvernightFutureTrade createTrade​(LocalDate tradeDate,
                                                SecurityId securityId,
                                                SequenceDate sequenceDate,
                                                double quantity,
                                                double price,
                                                ReferenceData refData)
        Description copied from interface: OvernightFutureContractSpec
        Creates a trade based on this convention.

        This returns a trade based on the instructions in the SequenceDate.

        Specified by:
        createTrade in interface OvernightFutureContractSpec
        Parameters:
        tradeDate - the trade date
        securityId - the identifier of the security
        sequenceDate - the date to be used from the sequence
        quantity - the number of contracts traded, positive if buying, negative if selling
        price - the trade price of the future
        refData - the reference data, used to resolve the trade dates
        Returns:
        the trade
      • meta

        public static org.joda.beans.TypedMetaBean<ImmutableOvernightFutureContractSpec> meta()
        The meta-bean for ImmutableOvernightFutureContractSpec.
        Returns:
        the meta-bean, not null
      • getIndex

        public OvernightIndex getIndex()
        Gets the Overnight index.

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

        Specified by:
        getIndex in interface OvernightFutureContractSpec
        Returns:
        the value of the property, not null
      • getDateSequence

        public DateSequence getDateSequence()
        Gets the sequence of dates that the future is based on.

        This is used to calculate the reference date of the future that is the start date of the underlying synthetic deposit.

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

        public OvernightAccrualMethod getAccrualMethod()
        Gets the method of accruing Overnight interest.
        Returns:
        the value of the property, not null
      • getStartDateAdjustment

        public BusinessDayAdjustment getStartDateAdjustment()
        Gets the business day adjustment to apply to get the start date.

        The start date is obtained by applying this adjustment to the reference date from the date sequence. The reference date is often the third Wednesday of the month or the start of the month. This defaults to accepting the date from the sequence without applying a holiday calendar.

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

        public DaysAdjustment getEndDateAdjustment()
        Gets the days adjustment to apply to get the end date.

        The end date is obtained by applying this adjustment to the next date in sequence from the start date. This defaults to minus one without applying a holiday calendar.

        Returns:
        the value of the property
      • getLastTradeDateAdjustment

        public DaysAdjustment getLastTradeDateAdjustment()
        Gets the days adjustment to apply to get the last trade date.

        The last trade date is obtained by applying this adjustment to the next date in sequence from the start date. This defaults to the previous business day in the fixing calendar (minus one calendar day and preceding).

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

        public double getNotional()
        Gets the notional deposit that the contract models.

        This is the full notional of the deposit, such as 1 million dollars. The notional expressed here must be positive. The currency of the notional is specified by the index.

        Specified by:
        getNotional in interface OvernightFutureContractSpec
        Returns:
        the value of the property
      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class Object