Package com.opengamma.strata.product

Class SecurityPriceInfo

java.lang.Object

com.opengamma.strata.product.SecurityPriceInfo

All Implemented Interfaces:

Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class SecurityPriceInfo
extends Object
implements org.joda.beans.ImmutableBean, Serializable

Defines the meaning of the security price.

A value of a security is measured in terms of a price which is not typically a monetary amount. Instead the price is an arbitrary number that can be converted to a monetary amount. The price will move up and down in ticks. This class provides the size and monetary value of each tick, allowing changes in the price to be converted to a monetary amount.

Three properties define the necessary information: Tick size is the minimum movement in the price of the security (the tick). Tick value is the monetary value gained or lost when the price changes by one tick. Contract size is the quantity of the underlying present in each derivative contract, which acts as a multiplier.

For example, the price of an ICE Brent Crude future is based on the price of a barrel of crude oil in USD. The tick size of this contract is 0.01 (equivalent to 1 cent). The contract size is 1,000 barrels. Therefore the tick value is 0.01 * 1,000 = 10 USD.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	SecurityPriceInfo.Meta	The meta-bean for SecurityPriceInfo.

Method Summary

Modifier and Type	Method	Description
CurrencyAmount	calculateMonetaryAmount(double quantity, double price)	Calculates the monetary value of the specified quantity and price.
double	calculateMonetaryValue(double quantity, double price)	Calculates the monetary value of the specified quantity and price.
boolean	equals(Object obj)
double	getContractSize()	Gets the size of each contract.
Currency	getCurrency()	Gets the currency that the security is traded in.
double	getTickSize()	Gets the size of each tick.
CurrencyAmount	getTickValue()	Gets the monetary value of one tick.
double	getTradeUnitValue()	Returns the value of a single tradeable unit of the security.
int	hashCode()
static SecurityPriceInfo.Meta	meta()	The meta-bean for SecurityPriceInfo.
SecurityPriceInfo.Meta	metaBean()
static SecurityPriceInfo	of(double tickSize, CurrencyAmount tickValue)	Obtains an instance from the tick size and tick value.
static SecurityPriceInfo	of(double tickSize, CurrencyAmount tickValue, double contractSize)	Obtains an instance from the tick size, tick value and contract size.
static SecurityPriceInfo	of(Currency currency, double tradeUnitValue)	Obtains an instance from the currency and the value of a single tradeable unit.
static SecurityPriceInfo	ofCurrencyMinorUnit(Currency currency)	Obtains an instance from the currency.
String	toString()

Methods inherited from class java.lang.Object

clone, finalize, getClass, notify, notifyAll, wait, wait, wait

Methods inherited from interface org.joda.beans.Bean

property, propertyNames

Method Detail

of

public static SecurityPriceInfo of(double tickSize,
                                   CurrencyAmount tickValue)

Obtains an instance from the tick size and tick value.

The contract size will be set to 1.

Parameters:

tickSize - the size of each tick, not negative or zero

tickValue - the value of each tick

Returns:

the security price information

of

public static SecurityPriceInfo of(double tickSize,
                                   CurrencyAmount tickValue,
                                   double contractSize)

Obtains an instance from the tick size, tick value and contract size.

Parameters:

tickSize - the size of each tick, not negative or zero

tickValue - the value of each tick

contractSize - the contract size

Returns:

the security price information

of

public static SecurityPriceInfo of(Currency currency,
                                   double tradeUnitValue)

Obtains an instance from the currency and the value of a single tradeable unit.

Parameters:

currency - the currency in which the security is traded

tradeUnitValue - the value of a single tradeable unit of the security

Returns:

the security price information

ofCurrencyMinorUnit

public static SecurityPriceInfo ofCurrencyMinorUnit(Currency currency)

Obtains an instance from the currency.

This sets the tick size and tick value to the minor unit of the currency. For example, for USD this will set the tick size to 0.01 and the tick value to $0.01. This typically matches the conventions of equities and bonds.

Parameters:

currency - the currency to derive the price information from

Returns:

the security price information

getCurrency

public Currency getCurrency()

Gets the currency that the security is traded in.

The currency is derived from the tick value.

Returns:

the currency

calculateMonetaryAmount

public CurrencyAmount calculateMonetaryAmount(double quantity,
                                              double price)

Calculates the monetary value of the specified quantity and price.

This calculates a monetary value using the stored price information. For equities, this is the premium that will be paid. For bonds, this will be the premium if the price specified is the dirty price. For margined ETDs, the profit or loss per day is the monetary difference between two calls to this method with the price on each day.

This returns calculateMonetaryValue(double, double) as a CurrencyAmount.

Parameters:

quantity - the quantity, such as the number of shares or number of future contracts

price - the price, typically from the market

Returns:

the monetary value combining the tick size, tick value, contract size, quantity and price.

calculateMonetaryValue

public double calculateMonetaryValue(double quantity,
                                     double price)

Calculates the monetary value of the specified quantity and price.

This calculates a monetary value using the stored price information. For equities, this is the premium that will be paid. For bonds, this will be the premium if the price specified is the dirty price. For margined ETDs, the profit or loss per day is the monetary difference between two calls to this method with the price on each day.

Parameters:

quantity - the quantity, such as the number of shares or number of future contracts

price - the price, typically from the market

Returns:

the monetary value combining the tick size, tick value, contract size, quantity and price.

getTradeUnitValue

public double getTradeUnitValue()

Returns the value of a single tradeable unit of the security.

The monetary value of a position in a security is

tradeUnitValue * price * quantity

This value is normally derived from the tick size, tick value and contract size:

tradeUnitValue = tickValue * contractSize / tickSize

Returns:

the value of a single tradeable unit of the security

meta

public static SecurityPriceInfo.Meta meta()

The meta-bean for SecurityPriceInfo.

Returns:

the meta-bean, not null

metaBean

public SecurityPriceInfo.Meta metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getTickSize

public double getTickSize()

Gets the size of each tick.

Tick size is the minimum movement in the price of the security. For example, the price might move up or down in units of 0.01 It must be a positive decimal number.

Returns:

the value of the property

getTickValue

public CurrencyAmount getTickValue()

Gets the monetary value of one tick.

Tick value is the monetary value of the minimum movement in the price of the security. When the price changes by one tick, this amount is gained or lost.

Returns:

the value of the property, not null

getContractSize

public double getContractSize()

Gets the size of each contract.

Contract size is the quantity of the underlying present in each derivative contract. For example, an equity option typically consists of 100 shares.

Returns:

the value of the property

equals

public boolean equals(Object obj)

Overrides:

equals in class Object

hashCode

public int hashCode()

Overrides:

hashCode in class Object

toString

public String toString()

Overrides:

toString in class Object