Package com.opengamma.strata.product.index.type

Class IborFutureTemplate

java.lang.Object

com.opengamma.strata.product.index.type.IborFutureTemplate

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

Method Summary

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)	Deprecated. Use createTrade(LocalDate, SecurityId, double, double, ReferenceData)
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. Use getContractSpec()
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 for IborFutureTemplate.
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. Use of(SequenceDate, IborFutureContractSpec)
static IborFutureTemplate	of(YearMonth yearMonth, IborFutureConvention convention)	Deprecated. Use of(SequenceDate, IborFutureContractSpec)
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

Method Detail

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 desired

contractSpec - the contract specification

Returns:

the template

of

@Deprecated
public static IborFutureTemplate of(Period minimumPeriod,
                                    int sequenceNumber,
                                    IborFutureConvention convention)

Deprecated.

Use of(SequenceDate, IborFutureContractSpec)

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 future

sequenceNumber - the 1-based index of the future after the minimum period, must be 1 or greater

convention - the future convention

Returns:

the template

of

@Deprecated
public static IborFutureTemplate of(YearMonth yearMonth,
                                    IborFutureConvention convention)

Deprecated.

Use of(SequenceDate, IborFutureContractSpec)

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 future

convention - the future convention

Returns:

the template

getIndex

public IborIndex getIndex()

Gets the underlying index.

Returns:

the index

getConvention

@Deprecated
public IborFutureConvention getConvention()

Deprecated.

Use getContractSpec()

Gets the market convention of the Ibor future.

Returns:

the convention

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 trade

securityId - the identifier of the security

quantity - the number of contracts traded, positive if buying, negative if selling

price - the trade price

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

@Deprecated
public IborFutureTrade createTrade(LocalDate tradeDate,
                                   SecurityId securityId,
                                   double quantity,
                                   double notional,
                                   double price,
                                   ReferenceData refData)

Deprecated.

Use createTrade(LocalDate, SecurityId, double, double, ReferenceData)

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 trade

securityId - the identifier of the security

quantity - the number of contracts traded, positive if buying, negative if selling

notional - the notional amount of one future contract

price - the trade price

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

public LocalDate calculateReferenceDateFromTradeDate(LocalDate tradeDate,
                                                     ReferenceData refData)

Calculates the reference date of the trade.

Parameters:

tradeDate - the date of the trade

refData - the reference data, used to resolve the date

Returns:

the future reference date

meta

public static org.joda.beans.TypedMetaBean<IborFutureTemplate> meta()

The meta-bean for IborFutureTemplate.

Returns:

the meta-bean, not null

metaBean

public org.joda.beans.TypedMetaBean<IborFutureTemplate> metaBean()

Specified by:

metaBean in interface org.joda.beans.Bean

getSequenceDate

public SequenceDate getSequenceDate()

Gets the instructions that define which future is desired.

Returns:

the value of the property, not null

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

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