Package com.opengamma.strata.product.dsf
Entity objects describing Deliverable Swap Futures (DSFs).
A deliverable swap future is a financial instrument that physically settles an interest rate swap on a future date. The delivered swap is cleared by a central counterparty. The last future price before delivery is quoted in term of the underlying swap present value. The futures product is margined on a daily basis.
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Class Summary Class Description Dsf A deliverable swap futures contract.Dsf.Builder The bean-builder forDsf.Dsf.Meta The meta-bean forDsf.DsfPosition A position in a DSF.DsfPosition.Builder The bean-builder forDsfPosition.DsfPosition.Meta The meta-bean forDsfPosition.DsfSecurity A security representing a deliverable swap futures security.DsfSecurity.Builder The bean-builder forDsfSecurity.DsfSecurity.Meta The meta-bean forDsfSecurity.DsfTrade A trade representing a futures contract based on an interest rate swap.DsfTrade.Builder The bean-builder forDsfTrade.DsfTrade.Meta The meta-bean forDsfTrade.ResolvedDsf A Deliverable Swap Future, resolved for pricing.ResolvedDsf.Builder The bean-builder forResolvedDsf.ResolvedDsf.Meta The meta-bean forResolvedDsf.ResolvedDsfTrade A trade in a Deliverable Swap Future, resolved for pricing.ResolvedDsfTrade.Builder The bean-builder forResolvedDsfTrade.ResolvedDsfTrade.Meta The meta-bean forResolvedDsfTrade.