Class ImmutableIborFutureConvention
- java.lang.Object
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- com.opengamma.strata.product.index.type.ImmutableIborFutureConvention
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- 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.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
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Nested Class Summary
Nested Classes Modifier and Type Class Description static class
ImmutableIborFutureConvention.Builder
Deprecated.The bean-builder forImmutableIborFutureConvention
.static class
ImmutableIborFutureConvention.Meta
Deprecated.The meta-bean forImmutableIborFutureConvention
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Method Summary
All Methods Static Methods Instance Methods Concrete Methods Deprecated Methods 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 forImmutableIborFutureConvention
.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.
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Method Detail
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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 indexdateSequence
- the sequence of dates- Returns:
- the convention
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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 interfaceIborFutureConvention
- Parameters:
tradeDate
- the trade datesecurityId
- the identifier of the securityminimumPeriod
- minimum period between the value date and the first futuresequenceNumber
- the 1-based sequence number of the futuresquantity
- the number of contracts traded, positive if buying, negative if sellingnotional
- the notional amount of one future contractprice
- the trade price of the futurerefData
- the reference data, used to resolve the trade dates- Returns:
- the trade
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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 interfaceIborFutureConvention
- Parameters:
tradeDate
- the trade datesecurityId
- the identifier of the securityyearMonth
- the year-month that the future is defined to be forquantity
- the number of contracts traded, positive if buying, negative if sellingnotional
- the notional amount of one future contractprice
- the trade price of the futurerefData
- the reference data, used to resolve the trade dates- Returns:
- the trade
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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 interfaceIborFutureConvention
- Parameters:
tradeDate
- the trade dateminimumPeriod
- minimum period between the trade date and the first futuresequenceNumber
- the 1-based sequence number of the futuresrefData
- the reference data, used to resolve the date- Returns:
- the future reference date
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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 interfaceIborFutureConvention
- Parameters:
tradeDate
- the trade dateyearMonth
- the year-month that the future is defined to be forrefData
- the reference data, used to resolve the date- Returns:
- the future reference date
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meta
public static ImmutableIborFutureConvention.Meta meta()
Deprecated.The meta-bean forImmutableIborFutureConvention
.- Returns:
- the meta-bean, not null
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builder
public static ImmutableIborFutureConvention.Builder builder()
Deprecated.Returns a builder used to create an instance of the bean.- Returns:
- the builder, not null
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metaBean
public ImmutableIborFutureConvention.Meta metaBean()
Deprecated.- Specified by:
metaBean
in interfaceorg.joda.beans.Bean
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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 interfaceIborFutureConvention
- Returns:
- the value of the property, not null
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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 interfaceIborFutureConvention
- Specified by:
getName
in interfaceNamed
- Returns:
- the value of the property, not null
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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
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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
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toBuilder
public ImmutableIborFutureConvention.Builder toBuilder()
Deprecated.Returns a builder that allows this bean to be mutated.- Returns:
- the mutable builder, not null
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