Interface IborFutureConvention

    • Method Detail

      • extendedEnum

        static ExtendedEnum<IborFutureConvention> extendedEnum()
        Deprecated.
        Gets the extended enum helper.

        This helper allows instances of the convention to be looked up. It also provides the complete set of available instances.

        Returns:
        the extended enum helper
      • getIndex

        IborIndex getIndex()
        Deprecated.
        Gets the Ibor index.

        The floating rate to be paid is based on this index It will be a well known market index such as 'GBP-LIBOR-3M'.

        Returns:
        the index
      • createTrade

        IborFutureTrade createTrade​(LocalDate tradeDate,
                                    SecurityId securityId,
                                    Period minimumPeriod,
                                    int sequenceNumber,
                                    double quantity,
                                    double notional,
                                    double price,
                                    ReferenceData refData)
        Deprecated.
        Creates a trade based on this convention.

        This returns a trade based on the specified minimum period and sequence number.

        Parameters:
        tradeDate - the trade date
        securityId - the identifier of the security
        minimumPeriod - minimum period between the value date and the first future
        sequenceNumber - the 1-based sequence number of the futures
        quantity - the number of contracts traded, positive if buying, negative if selling
        notional - the notional amount of one future contract
        price - the trade price of the future
        refData - the reference data, used to resolve the trade dates
        Returns:
        the trade
        Throws:
        ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data
      • createTrade

        IborFutureTrade createTrade​(LocalDate tradeDate,
                                    SecurityId securityId,
                                    YearMonth yearMonth,
                                    double quantity,
                                    double notional,
                                    double price,
                                    ReferenceData refData)
        Deprecated.
        Creates a trade based on this convention.

        This returns a trade based on the specified year-month.

        Parameters:
        tradeDate - the trade date
        securityId - the identifier of the security
        yearMonth - the year-month that the future is defined to be for
        quantity - the number of contracts traded, positive if buying, negative if selling
        notional - the notional amount of one future contract
        price - the trade price of the future
        refData - the reference data, used to resolve the trade dates
        Returns:
        the trade
        Throws:
        ReferenceDataNotFoundException - if an identifier cannot be resolved in the reference data
      • calculateReferenceDateFromTradeDate

        LocalDate calculateReferenceDateFromTradeDate​(LocalDate tradeDate,
                                                      Period minimumPeriod,
                                                      int sequenceNumber,
                                                      ReferenceData refData)
        Deprecated.
        Calculates the reference date from the trade date.

        This determines the date from the specified minimum period and sequence number.

        Parameters:
        tradeDate - the trade date
        minimumPeriod - minimum period between the trade date and the first future
        sequenceNumber - the 1-based sequence number of the futures
        refData - the reference data, used to resolve the date
        Returns:
        the future reference date
      • calculateReferenceDateFromTradeDate

        LocalDate calculateReferenceDateFromTradeDate​(LocalDate tradeDate,
                                                      YearMonth yearMonth,
                                                      ReferenceData refData)
        Deprecated.
        Calculates the reference date from the trade date.

        This determines the date from the specified year-month.

        Parameters:
        tradeDate - the trade date
        yearMonth - the year-month that the future is defined to be for
        refData - the reference data, used to resolve the date
        Returns:
        the future reference date
      • getName

        String getName()
        Deprecated.
        Gets the name that uniquely identifies this convention.

        This name is used in serialization and can be parsed using of(String).

        Specified by:
        getName in interface Named
        Returns:
        the unique name