Package com.opengamma.strata.product.bond

Class BondFutureOption

  • All Implemented Interfaces:
    Resolvable<ResolvedBondFutureOption>, Product, SecuritizedProduct, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
    public final class BondFutureOption
extends Object
implements SecuritizedProduct, Resolvable<ResolvedBondFutureOption>, org.joda.beans.ImmutableBean, Serializable
    A futures option contract, based on bonds.

    A bond future option is a financial instrument that provides an option based on the future value of fixed coupon bonds. The option is American, exercised at any point up to the exercise time. It handles options with either daily margining or upfront premium.

    This class represents the structure of a single option contract.

    Price

    Strata uses decimal prices for bond futures options in the trade model, pricers and market data. This is coherent with the pricing of BondFuture.
    See Also:
    Serialized Form

    • Method Detail

      • getExpiry

        public ZonedDateTime getExpiry()
        Gets the expiry date-time.

        The option expires at this date and time.

        The result is returned by combining the expiry date, time and time-zone.

        Returns:
        the expiry date and time

      • resolve

        public ResolvedBondFutureOption 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<ResolvedBondFutureOption>
        Parameters:
        refData - the reference data to use when resolving
        Returns:
        the resolved instance

      • meta

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

      • builder

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

      • metaBean

        public BondFutureOption.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

      • getPutCall

        public PutCall getPutCall()
        Gets whether the option is put or call.

        A call gives the owner the right, but not obligation, to buy the underlying at an agreed price in the future. A put gives a similar option to sell.

        Returns:
        the value of the property

      • getStrikePrice

        public double getStrikePrice()
        Gets the strike price, represented in decimal form.

        This is the price at which the option applies and refers to the price of the underlying future. This must be represented in decimal form, (1.0 - decimalRate). As such, the common market price of 99.3 for a 0.7% rate must be input as 0.993. The rate implied by the strike can take negative values.

        Returns:
        the value of the property

      • getExpiryDate

        public LocalDate getExpiryDate()
        Gets the expiry date of the option.

        The expiry date is related to the expiry time and time-zone. The date must not be after last trade date of the underlying future.

        Returns:
        the value of the property, not null

      • getExpiryTime

        public LocalTime getExpiryTime()
        Gets the expiry time of the option.

        The expiry time is related to the expiry date and time-zone.

        Returns:
        the value of the property, not null

      • getExpiryZone

        public ZoneId getExpiryZone()
        Gets the time-zone of the expiry time.

        The expiry time-zone is related to the expiry date and time.

        Returns:
        the value of the property, not null

      • getPremiumStyle

        public FutureOptionPremiumStyle getPremiumStyle()
        Gets the style of the option premium.

        The two options are daily margining and upfront premium.

        Returns:
        the value of the property, not null

      • getRounding

        public Rounding getRounding()
        Gets the definition of how to round the option 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 is represented as 0.997125 which has 6 decimal places.

        Returns:
        the value of the property, not null

      • getUnderlyingFuture

        public BondFuture getUnderlyingFuture()
        Gets the underlying future.
        Returns:
        the value of the property, not null

      • toBuilder

        public BondFutureOption.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