## Class IborFutureOption

• All Implemented Interfaces:
Resolvable<ResolvedIborFutureOption>, Product, SecuritizedProduct, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

public final class IborFutureOption
extends Object
implements SecuritizedProduct, Resolvable<ResolvedIborFutureOption>, org.joda.beans.ImmutableBean, Serializable
A futures option contract, based on an Ibor index.

An Ibor future option is a financial instrument that provides an option based on the future value of an Ibor index interest rate. The option is American, exercised at any point up to the exercise time. It handles options with either daily margining or upfront premium.

An Ibor future option is also known as a STIR future option (Short Term Interest Rate). This class represents the structure of a single option contract.

#### Price

The price of an Ibor future option is based on the price of the underlying future, the volatility and the time to expiry. The price of the at-the-money option tends to zero as expiry approaches.

Strata uses decimal prices for Ibor future options in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, an option price of 0.2 is related to a futures price of 99.32 that implies an interest rate of 0.68%. Strata represents the price of the future as 0.9932 and thus represents the price of the option as 0.002.

Serialized Form
• ### Nested Class Summary

Nested Classes
Modifier and Type Class Description
static class  IborFutureOption.Builder
The bean-builder for IborFutureOption.
static class  IborFutureOption.Meta
The meta-bean for IborFutureOption.
• ### Method Summary

All Methods
Modifier and Type Method Description
static IborFutureOption.Builder builder()
Returns a builder used to create an instance of the bean.
boolean equals​(Object obj)
Currency getCurrency()
Gets the currency that the security is traded in.
ZonedDateTime getExpiry()
Gets the expiry date-time.
LocalDate getExpiryDate()
Gets the expiry date of the option.
LocalTime getExpiryTime()
Gets the expiry time of the option.
ZoneId getExpiryZone()
Gets the time-zone of the expiry time.
IborIndex getIndex()
Gets the Ibor index that the option is based on.
FutureOptionPremiumStyle getPremiumStyle()
Gets the style of the option premium.
PutCall getPutCall()
Gets whether the option is put or call.
Rounding getRounding()
Gets the definition of how to round the option price, defaulted to no rounding.
SecurityId getSecurityId()
Gets the security identifier.
double getStrikePrice()
Gets the strike price, in decimal form.
IborFuture getUnderlyingFuture()
Gets the underlying future.
int hashCode()
static IborFutureOption.Meta meta()
The meta-bean for IborFutureOption.
IborFutureOption.Meta metaBean()
ResolvedIborFutureOption resolve​(ReferenceData refData)
Resolves this object using the specified reference data.
IborFutureOption.Builder toBuilder()
Returns a builder that allows this bean to be mutated.
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
• ### Methods inherited from interface com.opengamma.strata.product.Product

allPaymentCurrencies, isCrossCurrency
• ### Methods inherited from interface com.opengamma.strata.product.SecuritizedProduct

allCurrencies
• ### Method Detail

• #### getCurrency

public Currency getCurrency()
Description copied from interface: SecuritizedProduct
Gets the currency that the security is traded in.
Specified by:
getCurrency in interface SecuritizedProduct
Returns:
• #### 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
• #### getIndex

public IborIndex getIndex()
Gets the Ibor index that the option is based on.
Returns:
the Ibor index
• #### resolve

public ResolvedIborFutureOption 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<ResolvedIborFutureOption>
Parameters:
refData - the reference data to use when resolving
Returns:
the resolved instance
• #### meta

public static IborFutureOption.Meta meta()
The meta-bean for IborFutureOption.
Returns:
the meta-bean, not null
• #### builder

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

public IborFutureOption.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, in decimal form.

This is the price at which the option applies and refers to the price of the underlying future. The rate implied by the strike can take negative values.

Strata uses decimal prices for Ibor futures in the trade model, pricers and market data. The decimal price is based on the decimal rate equivalent to the percentage. For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.

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

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.

Returns:
the value of the property, not null
• #### getUnderlyingFuture

public IborFuture getUnderlyingFuture()
Gets the underlying future.
Returns:
the value of the property, not null
• #### toBuilder

public IborFutureOption.Builder toBuilder()
Returns a builder that allows this bean to be mutated.
Returns:
the mutable builder, not null
• #### 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