Package com.opengamma.strata.product.bond

Class BondFuture

  • All Implemented Interfaces:
    Resolvable<ResolvedBondFuture>, Product, SecuritizedProduct, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
    public final class BondFuture
extends Object
implements SecuritizedProduct, Resolvable<ResolvedBondFuture>, org.joda.beans.ImmutableBean, Serializable
    A futures contract, based on a basket of fixed coupon bonds.

    A bond future is a financial instrument that is based on the future value of a basket of fixed coupon bonds. The profit or loss of a bond future is settled daily. This class represents the structure of a single futures contract.

    Price

    Strata uses decimal prices for bond futures in the trade model, pricers and market data. This is coherent with the pricing of FixedCouponBond. The bond futures delivery is a bond for an amount computed from the bond future price, a conversion factor and the accrued interest.
    See Also:
    Serialized Form

    • Method Detail

      • getNotional

        public double getNotional()
        Obtains the notional of underlying fixed coupon bonds.

        All of the bonds in the delivery basket have the same notional.

        Returns:
        the notional

      • getCurrency

        public Currency getCurrency()
        Obtains the currency of the underlying fixed coupon bonds.

        All of the bonds in the delivery basket have the same currency.

        Specified by:
        getCurrency in interface SecuritizedProduct
        Returns:
        the currency

      • resolve

        public ResolvedBondFuture resolve​(ReferenceData refData)
        Description copied from interface: Resolvable
        Resolves this object using the specified reference data.

        This converts the object implementing this interface to the equivalent resolved form. All ReferenceDataId identifiers in this instance will be resolved. The resolved form will typically be a type that is optimized for pricing.

        Resolved objects may be 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.

        Specified by:
        resolve in interface Resolvable<ResolvedBondFuture>
        Parameters:
        refData - the reference data to use when resolving
        Returns:
        the resolved instance

      • meta

        public static BondFuture.Meta meta()
        The meta-bean for BondFuture.
        Returns:
        the meta-bean, not null

      • builder

        public static BondFuture.Builder builder()
        Returns a builder used to create an instance of the bean.
        Returns:
        the builder, not null

      • metaBean

        public BondFuture.Meta metaBean()
        Specified by:
        metaBean in interface org.joda.beans.Bean

      • getSecurityId

        public SecurityId getSecurityId()
        Gets the security identifier.

        This identifier uniquely identifies the security within the system.

        Specified by:
        getSecurityId in interface SecuritizedProduct
        Returns:
        the value of the property, not null

      • getDeliveryBasket

        public ImmutableList<FixedCouponBond> getDeliveryBasket()
        Gets the basket of deliverable bonds.

        The underling which will be delivered in the future time is chosen from a basket of underling securities. This must not be empty.

        All of the underlying bonds must have the same notional and currency.

        Returns:
        the value of the property, not empty

      • getConversionFactors

        public ImmutableList<Double> getConversionFactors()
        Gets the conversion factor for each bond in the basket.

        The price of each underlying security in the basket is rescaled by the conversion factor. This must not be empty, and its size must be the same as the size of deliveryBasket.

        All of the underlying bonds must have the same notional and currency.

        Returns:
        the value of the property, not empty

      • getLastTradeDate

        public LocalDate getLastTradeDate()
        Gets the last trading date.

        The future security is traded until this date.

        Returns:
        the value of the property, not null

      • getFirstNoticeDate

        public LocalDate getFirstNoticeDate()
        Gets the first notice date.

        The first date on which the delivery of the underlying is authorized.

        Returns:
        the value of the property, not null

      • getLastNoticeDate

        public LocalDate getLastNoticeDate()
        Gets the last notice date.

        The last date on which the delivery of the underlying is authorized.

        Returns:
        the value of the property, not null

      • getFirstDeliveryDate

        public Optional<LocalDate> getFirstDeliveryDate()
        Gets the first delivery date.

        The first date on which the underlying is delivered.

        If not specified, the date will be computed from firstNoticeDate by using settlementDateOffset in the first element of the delivery basket when the future is resolved.

        Returns:
        the optional value of the property, not null

      • getLastDeliveryDate

        public Optional<LocalDate> getLastDeliveryDate()
        Gets the last delivery date.

        The last date on which the underlying is delivered.

        If not specified, the date will be computed from lastNoticeDate by using settlementDateOffset in the first element of the delivery basket when the future is resolved.

        Returns:
        the optional 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 BondFuture.Builder toBuilder()
        Returns a builder that allows this bean to be mutated.
        Returns:
        the mutable builder, not null

      • hashCode

        public int hashCode()
        Overrides:
        hashCode in class Object