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

Class ImmutableIborFutureConvention

java.lang.Object

com.opengamma.strata.product.index.type.ImmutableIborFutureConvention

All Implemented Interfaces:

Named, IborFutureConvention, TradeConvention, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean

@Deprecated
public final class ImmutableIborFutureConvention
extends Object
implements IborFutureConvention, org.joda.beans.ImmutableBean, Serializable

Deprecated.

Use ImmutableIborFutureContractSpec

A market convention for Ibor Future trades.

This defines the market convention for a future against a particular index. In most cases, the index contains sufficient information to fully define the convention.

See Also:

Serialized Form

Nested Class Summary

Nested Classes

Modifier and Type	Class	Description
static class	ImmutableIborFutureConvention.Builder	Deprecated. The bean-builder for ImmutableIborFutureConvention.
static class	ImmutableIborFutureConvention.Meta	Deprecated. The meta-bean for ImmutableIborFutureConvention.

Method Summary

Modifier and Type	Method	Description
static ImmutableIborFutureConvention.Builder	builder()	Deprecated. Returns a builder used to create an instance of the bean.
LocalDate	calculateReferenceDateFromTradeDate(LocalDate tradeDate, Period minimumPeriod, int sequenceNumber, ReferenceData refData)	Deprecated. Calculates the reference date from the trade date.
LocalDate	calculateReferenceDateFromTradeDate(LocalDate tradeDate, YearMonth yearMonth, ReferenceData refData)	Deprecated. Calculates the reference date from the trade date.
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.
IborFutureTrade	createTrade(LocalDate tradeDate, SecurityId securityId, YearMonth yearMonth, double quantity, double notional, double price, ReferenceData refData)	Deprecated. Creates a trade based on this convention.
boolean	equals(Object obj)	Deprecated.
BusinessDayAdjustment	getBusinessDayAdjustment()	Deprecated. Gets the business day adjustment to apply to the reference date.
DateSequence	getDateSequence()	Deprecated. Gets the sequence of dates that the future is based on.
IborIndex	getIndex()	Deprecated. Gets the Ibor index.
String	getName()	Deprecated. Gets the convention name, such as 'USD-LIBOR-3M-Quarterly-IMM'.
int	hashCode()	Deprecated.
static ImmutableIborFutureConvention.Meta	meta()	Deprecated. The meta-bean for ImmutableIborFutureConvention.
ImmutableIborFutureConvention.Meta	metaBean()	Deprecated.
static ImmutableIborFutureConvention	of(IborIndex index, DateSequence dateSequence)	Deprecated. Creates a convention based on the specified index and the sequence of dates.
ImmutableIborFutureConvention.Builder	toBuilder()	Deprecated. Returns a builder that allows this bean to be mutated.
String	toString()	Deprecated.

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 ImmutableIborFutureConvention of(IborIndex index,
                                               DateSequence dateSequence)

Deprecated.

Creates a convention based on the specified index and the sequence of dates.

The standard market convention is based on the index. The business day adjustment is set to be 'Following' using the effective date calendar from the index. The convention name will default to the name of the index suffixed by the name of the date sequence.

Parameters:

index - the index, the calendar for the adjustment is extracted from the index

dateSequence - the sequence of dates

Returns:

the convention

createTrade

public IborFutureTrade createTrade(LocalDate tradeDate,
                                   SecurityId securityId,
                                   Period minimumPeriod,
                                   int sequenceNumber,
                                   double quantity,
                                   double notional,
                                   double price,
                                   ReferenceData refData)

Deprecated.

Description copied from interface: IborFutureConvention

Creates a trade based on this convention.

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

Specified by:

createTrade in interface IborFutureConvention

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

createTrade

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

Deprecated.

Description copied from interface: IborFutureConvention

Creates a trade based on this convention.

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

Specified by:

createTrade in interface IborFutureConvention

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

calculateReferenceDateFromTradeDate

public LocalDate calculateReferenceDateFromTradeDate(LocalDate tradeDate,
                                                     Period minimumPeriod,
                                                     int sequenceNumber,
                                                     ReferenceData refData)

Deprecated.

Description copied from interface: IborFutureConvention

Calculates the reference date from the trade date.

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

Specified by:

calculateReferenceDateFromTradeDate in interface IborFutureConvention

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

public LocalDate calculateReferenceDateFromTradeDate(LocalDate tradeDate,
                                                     YearMonth yearMonth,
                                                     ReferenceData refData)

Deprecated.

Description copied from interface: IborFutureConvention

Calculates the reference date from the trade date.

This determines the date from the specified year-month.

Specified by:

calculateReferenceDateFromTradeDate in interface IborFutureConvention

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

toString

public String toString()

Deprecated.

Overrides:

toString in class Object

meta

public static ImmutableIborFutureConvention.Meta meta()

Deprecated.

The meta-bean for ImmutableIborFutureConvention.

Returns:

the meta-bean, not null

builder

public static ImmutableIborFutureConvention.Builder builder()

Deprecated.

Returns a builder used to create an instance of the bean.

Returns:

the builder, not null

metaBean

public ImmutableIborFutureConvention.Meta metaBean()

Deprecated.

Specified by:

metaBean in interface org.joda.beans.Bean

getIndex

public 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'.

Specified by:

getIndex in interface IborFutureConvention

Returns:

the value of the property, not null

getName

public String getName()

Deprecated.

Gets the convention name, such as 'USD-LIBOR-3M-Quarterly-IMM'.

This will default to the name of the index suffixed by the name of the date sequence if not specified.

Specified by:

getName in interface IborFutureConvention

Specified by:

getName in interface Named

Returns:

the value of the property, not null

getDateSequence

public DateSequence getDateSequence()

Deprecated.

Gets the sequence of dates that the future is based on.

This is used to calculate the reference date of the future that is the start date of the underlying synthetic deposit.

Returns:

the value of the property, not null

getBusinessDayAdjustment

public BusinessDayAdjustment getBusinessDayAdjustment()

Deprecated.

Gets the business day adjustment to apply to the reference date.

The reference date, which is often the third Wednesday of the month, will be adjusted as defined here.

Returns:

the value of the property, not null

toBuilder

public ImmutableIborFutureConvention.Builder toBuilder()

Deprecated.

Returns a builder that allows this bean to be mutated.

Returns:

the mutable builder, not null

equals

public boolean equals(Object obj)

Deprecated.

Overrides:

equals in class Object

hashCode

public int hashCode()

Deprecated.

Overrides:

hashCode in class Object