Class IborFutureTemplate
- java.lang.Object
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- com.opengamma.strata.product.index.type.IborFutureTemplate
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- All Implemented Interfaces:
TradeTemplate
,Serializable
,org.joda.beans.Bean
,org.joda.beans.ImmutableBean
public final class IborFutureTemplate extends Object implements TradeTemplate, org.joda.beans.ImmutableBean, Serializable
A template for creating an Ibor Future trade.- See Also:
- Serialized Form
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Method Summary
All Methods Static Methods Instance Methods Concrete Methods Deprecated Methods Modifier and Type Method Description LocalDate
calculateReferenceDateFromTradeDate(LocalDate tradeDate, ReferenceData refData)
Calculates the reference date of the trade.IborFutureTrade
createTrade(LocalDate tradeDate, SecurityId securityId, double quantity, double notional, double price, ReferenceData refData)
IborFutureTrade
createTrade(LocalDate tradeDate, SecurityId securityId, double quantity, double price, ReferenceData refData)
Creates a trade based on this template.boolean
equals(Object obj)
IborFutureContractSpec
getContractSpec()
Gets the underlying contract specification.IborFutureConvention
getConvention()
Deprecated.IborIndex
getIndex()
Gets the underlying index.SequenceDate
getSequenceDate()
Gets the instructions that define which future is desired.int
hashCode()
static org.joda.beans.TypedMetaBean<IborFutureTemplate>
meta()
The meta-bean forIborFutureTemplate
.org.joda.beans.TypedMetaBean<IborFutureTemplate>
metaBean()
static IborFutureTemplate
of(SequenceDate sequenceDate, IborFutureContractSpec contractSpec)
Obtains a template based on the specified contract specification and sequence date.static IborFutureTemplate
of(Period minimumPeriod, int sequenceNumber, IborFutureConvention convention)
Deprecated.static IborFutureTemplate
of(YearMonth yearMonth, IborFutureConvention convention)
Deprecated.String
toString()
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Method Detail
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of
public static IborFutureTemplate of(SequenceDate sequenceDate, IborFutureContractSpec contractSpec)
Obtains a template based on the specified contract specification and sequence date.The specific future is defined by two date-related inputs - the sequence date and the date sequence embedded in the contract specification.
- Parameters:
sequenceDate
- the instructions that define which future is desiredcontractSpec
- the contract specification- Returns:
- the template
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of
@Deprecated public static IborFutureTemplate of(Period minimumPeriod, int sequenceNumber, IborFutureConvention convention)
Deprecated.Obtains a template based on the specified convention using a relative definition of time.The specific future is defined by two date-related inputs, the minimum period and the 1-based future number. For example, the 2nd future of the series where the 1st future is at least 1 week after the value date would be represented by a minimum period of 1 week and future number 2.
- Parameters:
minimumPeriod
- the minimum period between the base date and the first futuresequenceNumber
- the 1-based index of the future after the minimum period, must be 1 or greaterconvention
- the future convention- Returns:
- the template
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of
@Deprecated public static IborFutureTemplate of(YearMonth yearMonth, IborFutureConvention convention)
Deprecated.Obtains a template based on the specified convention using an absolute definition of time.The future is selected from a sequence of futures based on a year-month. In most cases, the date of the future will be in the same month as the specified month, but this is not guaranteed.
- Parameters:
yearMonth
- the year-month to use to select the futureconvention
- the future convention- Returns:
- the template
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getIndex
public IborIndex getIndex()
Gets the underlying index.- Returns:
- the index
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getConvention
@Deprecated public IborFutureConvention getConvention()
Deprecated.Gets the market convention of the Ibor future.- Returns:
- the convention
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createTrade
public IborFutureTrade createTrade(LocalDate tradeDate, SecurityId securityId, double quantity, double price, ReferenceData refData)
Creates a trade based on this template.This returns a trade based on the specified date.
- Parameters:
tradeDate
- the date of the tradesecurityId
- the identifier of the securityquantity
- the number of contracts traded, positive if buying, negative if sellingprice
- the trade pricerefData
- the reference data, used to resolve the trade dates- Returns:
- the trade
- Throws:
ReferenceDataNotFoundException
- if an identifier cannot be resolved in the reference data
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createTrade
@Deprecated public IborFutureTrade createTrade(LocalDate tradeDate, SecurityId securityId, double quantity, double notional, double price, ReferenceData refData)
Creates a trade based on this template.This returns a trade based on the specified date. The notional is unsigned, with the quantity determining the direction of the trade.
- Parameters:
tradeDate
- the date of the tradesecurityId
- the identifier of the securityquantity
- the number of contracts traded, positive if buying, negative if sellingnotional
- the notional amount of one future contractprice
- the trade pricerefData
- the reference data, used to resolve the trade dates- Returns:
- the trade
- Throws:
ReferenceDataNotFoundException
- if an identifier cannot be resolved in the reference data
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calculateReferenceDateFromTradeDate
public LocalDate calculateReferenceDateFromTradeDate(LocalDate tradeDate, ReferenceData refData)
Calculates the reference date of the trade.- Parameters:
tradeDate
- the date of the traderefData
- the reference data, used to resolve the date- Returns:
- the future reference date
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meta
public static org.joda.beans.TypedMetaBean<IborFutureTemplate> meta()
The meta-bean forIborFutureTemplate
.- Returns:
- the meta-bean, not null
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metaBean
public org.joda.beans.TypedMetaBean<IborFutureTemplate> metaBean()
- Specified by:
metaBean
in interfaceorg.joda.beans.Bean
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getSequenceDate
public SequenceDate getSequenceDate()
Gets the instructions that define which future is desired.- Returns:
- the value of the property, not null
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getContractSpec
public IborFutureContractSpec getContractSpec()
Gets the underlying contract specification.This specifies the contract of the Ibor Futures to be created.
- Returns:
- the value of the property, not null
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