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/*
* Copyright (C) 2018 - present by OpenGamma Inc. and the OpenGamma group of companies
*
* Please see distribution for license.
*/
package com.opengamma.strata.product.index;
import java.io.Serializable;
import java.time.LocalDate;
import java.util.Map;
import java.util.NoSuchElementException;
import org.joda.beans.Bean;
import org.joda.beans.ImmutableBean;
import org.joda.beans.JodaBeanUtils;
import org.joda.beans.MetaBean;
import org.joda.beans.MetaProperty;
import org.joda.beans.gen.BeanDefinition;
import org.joda.beans.gen.ImmutableDefaults;
import org.joda.beans.gen.ImmutablePreBuild;
import org.joda.beans.gen.ImmutableValidator;
import org.joda.beans.gen.PropertyDefinition;
import org.joda.beans.impl.direct.DirectFieldsBeanBuilder;
import org.joda.beans.impl.direct.DirectMetaBean;
import org.joda.beans.impl.direct.DirectMetaProperty;
import org.joda.beans.impl.direct.DirectMetaPropertyMap;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.Resolvable;
import com.opengamma.strata.basics.currency.Currency;
import com.opengamma.strata.basics.index.OvernightIndex;
import com.opengamma.strata.basics.value.Rounding;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.SecuritizedProduct;
import com.opengamma.strata.product.SecurityId;
import com.opengamma.strata.product.rate.OvernightRateComputation;
import com.opengamma.strata.product.swap.OvernightAccrualMethod;
/**
* A futures contract based on an Overnight index.
*
* An Overnight rate future is a financial instrument that is based on the future value of
* an Overnight index interest rate. The profit or loss of an Overnight rate future is settled daily.
* This class represents the structure of a single futures contract.
*
* For example, the widely traded "30-Day Federal Funds futures contract" has a notional
* of 5 million USD, is based on the US Federal Funds Effective Rate 'USD-FED-FUND',
* expiring the last business day of each month.
*
*
Price
* The price of an Overnight rate future is based on the interest rate of the underlying index.
* It is defined as {@code (100 - percentRate)}.
*
* Strata uses decimal prices for Overnight rate futures in the trade model, pricers and market data.
* The decimal price is based on the decimal rate equivalent to the percentage.
* For example, a price of 99.32 implies an interest rate of 0.68% which is represented in Strata by 0.9932.
*/
@BeanDefinition(constructorScope = "package")
public final class OvernightFuture
implements SecuritizedProduct, Resolvable, ImmutableBean, Serializable {
/**
* The security identifier.
*
* This identifier uniquely identifies the security within the system.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final SecurityId securityId;
/**
* The currency that the future is traded in, defaulted from the index if not set.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final Currency currency;
/**
* The notional amount.
*
* This is the full notional of the deposit, such as 5 million dollars.
* The notional expressed here must be positive.
* The currency of the notional is specified by {@code currency}.
*/
@PropertyDefinition(validate = "ArgChecker.notNegativeOrZero")
private final double notional;
/**
* The accrual factor, defaulted from the index if not set.
*
* This is the year fraction of the contract, typically 1/12 for a 30-day future.
* As such, it is often unrelated to the day count of the index.
* The year fraction must be positive.
*/
@PropertyDefinition(validate = "ArgChecker.notNegativeOrZero")
private final double accrualFactor;
/**
* The last date of trading.
*
* This must be a valid business day on the fixing calendar of {@code index}.
* For example, the last trade date is often the last business day of the month.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate lastTradeDate;
/**
* The first date of the rate calculation period.
*
* This is not necessarily a valid business day on the fixing calendar of {@code index}.
* However, it will be adjusted in {@code OvernightRateComputation} if needed.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate startDate;
/**
* The last date of the rate calculation period.
*
* This is not necessarily a valid business day on the fixing calendar of {@code index}.
* However, it will be adjusted in {@code OvernightRateComputation} if needed.
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate endDate;
/**
* The underlying Overnight index.
*
* The future is based on this index.
* It will be a well known market index such as 'USD-FED-FUND'.
*/
@PropertyDefinition(validate = "notNull")
private final OvernightIndex index;
/**
* The method of accruing Overnight interest.
*
* The average rate is calculated based on this method over the period between {@code startDate} and {@code endDate}.
*/
@PropertyDefinition(validate = "notNull")
private final OvernightAccrualMethod accrualMethod;
/**
* The definition of how to round the futures price, defaulted to no rounding.
*
* The price is represented in decimal form, not percentage form.
* As such, the decimal places expressed by the rounding refers to this decimal form.
* For example, the common market price of 99.7125 for a 0.2875% rate is
* represented as 0.997125 which has 6 decimal places.
*/
@PropertyDefinition(validate = "notNull")
private final Rounding rounding;
//-------------------------------------------------------------------------
@ImmutableValidator
private void validate() {
ArgChecker.inOrderNotEqual(startDate, endDate, "startDate", "endDate");
}
//-------------------------------------------------------------------------
@ImmutableDefaults
private static void applyDefaults(Builder builder) {
builder.rounding(Rounding.none());
}
@ImmutablePreBuild
private static void preBuild(Builder builder) {
if (builder.index != null) {
if (builder.currency == null) {
builder.currency = builder.index.getCurrency();
}
}
}
//-------------------------------------------------------------------------
@Override
public ResolvedOvernightFuture resolve(ReferenceData refData) {
OvernightRateComputation overnightAveragedRate = OvernightRateComputation.of(
index, startDate, endDate, 0, accrualMethod, refData);
return ResolvedOvernightFuture.builder()
.securityId(securityId)
.accrualFactor(accrualFactor)
.currency(currency)
.notional(notional)
.lastTradeDate(lastTradeDate)
.overnightRate(overnightAveragedRate)
.rounding(rounding)
.build();
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code OvernightFuture}.
* @return the meta-bean, not null
*/
public static OvernightFuture.Meta meta() {
return OvernightFuture.Meta.INSTANCE;
}
static {
MetaBean.register(OvernightFuture.Meta.INSTANCE);
}
/**
* The serialization version id.
*/
private static final long serialVersionUID = 1L;
/**
* Returns a builder used to create an instance of the bean.
* @return the builder, not null
*/
public static OvernightFuture.Builder builder() {
return new OvernightFuture.Builder();
}
/**
* Creates an instance.
* @param securityId the value of the property, not null
* @param currency the value of the property, not null
* @param notional the value of the property
* @param accrualFactor the value of the property
* @param lastTradeDate the value of the property, not null
* @param startDate the value of the property, not null
* @param endDate the value of the property, not null
* @param index the value of the property, not null
* @param accrualMethod the value of the property, not null
* @param rounding the value of the property, not null
*/
OvernightFuture(
SecurityId securityId,
Currency currency,
double notional,
double accrualFactor,
LocalDate lastTradeDate,
LocalDate startDate,
LocalDate endDate,
OvernightIndex index,
OvernightAccrualMethod accrualMethod,
Rounding rounding) {
JodaBeanUtils.notNull(securityId, "securityId");
JodaBeanUtils.notNull(currency, "currency");
ArgChecker.notNegativeOrZero(notional, "notional");
ArgChecker.notNegativeOrZero(accrualFactor, "accrualFactor");
JodaBeanUtils.notNull(lastTradeDate, "lastTradeDate");
JodaBeanUtils.notNull(startDate, "startDate");
JodaBeanUtils.notNull(endDate, "endDate");
JodaBeanUtils.notNull(index, "index");
JodaBeanUtils.notNull(accrualMethod, "accrualMethod");
JodaBeanUtils.notNull(rounding, "rounding");
this.securityId = securityId;
this.currency = currency;
this.notional = notional;
this.accrualFactor = accrualFactor;
this.lastTradeDate = lastTradeDate;
this.startDate = startDate;
this.endDate = endDate;
this.index = index;
this.accrualMethod = accrualMethod;
this.rounding = rounding;
validate();
}
@Override
public OvernightFuture.Meta metaBean() {
return OvernightFuture.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the security identifier.
*
* This identifier uniquely identifies the security within the system.
* @return the value of the property, not null
*/
@Override
public SecurityId getSecurityId() {
return securityId;
}
//-----------------------------------------------------------------------
/**
* Gets the currency that the future is traded in, defaulted from the index if not set.
* @return the value of the property, not null
*/
@Override
public Currency getCurrency() {
return currency;
}
//-----------------------------------------------------------------------
/**
* Gets the notional amount.
*
* This is the full notional of the deposit, such as 5 million dollars.
* The notional expressed here must be positive.
* The currency of the notional is specified by {@code currency}.
* @return the value of the property
*/
public double getNotional() {
return notional;
}
//-----------------------------------------------------------------------
/**
* Gets the accrual factor, defaulted from the index if not set.
*
* This is the year fraction of the contract, typically 1/12 for a 30-day future.
* As such, it is often unrelated to the day count of the index.
* The year fraction must be positive.
* @return the value of the property
*/
public double getAccrualFactor() {
return accrualFactor;
}
//-----------------------------------------------------------------------
/**
* Gets the last date of trading.
*
* This must be a valid business day on the fixing calendar of {@code index}.
* For example, the last trade date is often the last business day of the month.
* @return the value of the property, not null
*/
public LocalDate getLastTradeDate() {
return lastTradeDate;
}
//-----------------------------------------------------------------------
/**
* Gets the first date of the rate calculation period.
*
* This is not necessarily a valid business day on the fixing calendar of {@code index}.
* However, it will be adjusted in {@code OvernightRateComputation} if needed.
* @return the value of the property, not null
*/
public LocalDate getStartDate() {
return startDate;
}
//-----------------------------------------------------------------------
/**
* Gets the last date of the rate calculation period.
*
* This is not necessarily a valid business day on the fixing calendar of {@code index}.
* However, it will be adjusted in {@code OvernightRateComputation} if needed.
* @return the value of the property, not null
*/
public LocalDate getEndDate() {
return endDate;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying Overnight index.
*
* The future is based on this index.
* It will be a well known market index such as 'USD-FED-FUND'.
* @return the value of the property, not null
*/
public OvernightIndex getIndex() {
return index;
}
//-----------------------------------------------------------------------
/**
* Gets the method of accruing Overnight interest.
*
* The average rate is calculated based on this method over the period between {@code startDate} and {@code endDate}.
* @return the value of the property, not null
*/
public OvernightAccrualMethod getAccrualMethod() {
return accrualMethod;
}
//-----------------------------------------------------------------------
/**
* Gets the definition of how to round the futures price, defaulted to no rounding.
*
* The price is represented in decimal form, not percentage form.
* As such, the decimal places expressed by the rounding refers to this decimal form.
* For example, the common market price of 99.7125 for a 0.2875% rate is
* represented as 0.997125 which has 6 decimal places.
* @return the value of the property, not null
*/
public Rounding getRounding() {
return rounding;
}
//-----------------------------------------------------------------------
/**
* Returns a builder that allows this bean to be mutated.
* @return the mutable builder, not null
*/
public Builder toBuilder() {
return new Builder(this);
}
@Override
public boolean equals(Object obj) {
if (obj == this) {
return true;
}
if (obj != null && obj.getClass() == this.getClass()) {
OvernightFuture other = (OvernightFuture) obj;
return JodaBeanUtils.equal(securityId, other.securityId) &&
JodaBeanUtils.equal(currency, other.currency) &&
JodaBeanUtils.equal(notional, other.notional) &&
JodaBeanUtils.equal(accrualFactor, other.accrualFactor) &&
JodaBeanUtils.equal(lastTradeDate, other.lastTradeDate) &&
JodaBeanUtils.equal(startDate, other.startDate) &&
JodaBeanUtils.equal(endDate, other.endDate) &&
JodaBeanUtils.equal(index, other.index) &&
JodaBeanUtils.equal(accrualMethod, other.accrualMethod) &&
JodaBeanUtils.equal(rounding, other.rounding);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(securityId);
hash = hash * 31 + JodaBeanUtils.hashCode(currency);
hash = hash * 31 + JodaBeanUtils.hashCode(notional);
hash = hash * 31 + JodaBeanUtils.hashCode(accrualFactor);
hash = hash * 31 + JodaBeanUtils.hashCode(lastTradeDate);
hash = hash * 31 + JodaBeanUtils.hashCode(startDate);
hash = hash * 31 + JodaBeanUtils.hashCode(endDate);
hash = hash * 31 + JodaBeanUtils.hashCode(index);
hash = hash * 31 + JodaBeanUtils.hashCode(accrualMethod);
hash = hash * 31 + JodaBeanUtils.hashCode(rounding);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(352);
buf.append("OvernightFuture{");
buf.append("securityId").append('=').append(JodaBeanUtils.toString(securityId)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("notional").append('=').append(JodaBeanUtils.toString(notional)).append(',').append(' ');
buf.append("accrualFactor").append('=').append(JodaBeanUtils.toString(accrualFactor)).append(',').append(' ');
buf.append("lastTradeDate").append('=').append(JodaBeanUtils.toString(lastTradeDate)).append(',').append(' ');
buf.append("startDate").append('=').append(JodaBeanUtils.toString(startDate)).append(',').append(' ');
buf.append("endDate").append('=').append(JodaBeanUtils.toString(endDate)).append(',').append(' ');
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("accrualMethod").append('=').append(JodaBeanUtils.toString(accrualMethod)).append(',').append(' ');
buf.append("rounding").append('=').append(JodaBeanUtils.toString(rounding));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code OvernightFuture}.
*/
public static final class Meta extends DirectMetaBean {
/**
* The singleton instance of the meta-bean.
*/
static final Meta INSTANCE = new Meta();
/**
* The meta-property for the {@code securityId} property.
*/
private final MetaProperty securityId = DirectMetaProperty.ofImmutable(
this, "securityId", OvernightFuture.class, SecurityId.class);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty currency = DirectMetaProperty.ofImmutable(
this, "currency", OvernightFuture.class, Currency.class);
/**
* The meta-property for the {@code notional} property.
*/
private final MetaProperty notional = DirectMetaProperty.ofImmutable(
this, "notional", OvernightFuture.class, Double.TYPE);
/**
* The meta-property for the {@code accrualFactor} property.
*/
private final MetaProperty accrualFactor = DirectMetaProperty.ofImmutable(
this, "accrualFactor", OvernightFuture.class, Double.TYPE);
/**
* The meta-property for the {@code lastTradeDate} property.
*/
private final MetaProperty lastTradeDate = DirectMetaProperty.ofImmutable(
this, "lastTradeDate", OvernightFuture.class, LocalDate.class);
/**
* The meta-property for the {@code startDate} property.
*/
private final MetaProperty startDate = DirectMetaProperty.ofImmutable(
this, "startDate", OvernightFuture.class, LocalDate.class);
/**
* The meta-property for the {@code endDate} property.
*/
private final MetaProperty endDate = DirectMetaProperty.ofImmutable(
this, "endDate", OvernightFuture.class, LocalDate.class);
/**
* The meta-property for the {@code index} property.
*/
private final MetaProperty index = DirectMetaProperty.ofImmutable(
this, "index", OvernightFuture.class, OvernightIndex.class);
/**
* The meta-property for the {@code accrualMethod} property.
*/
private final MetaProperty accrualMethod = DirectMetaProperty.ofImmutable(
this, "accrualMethod", OvernightFuture.class, OvernightAccrualMethod.class);
/**
* The meta-property for the {@code rounding} property.
*/
private final MetaProperty rounding = DirectMetaProperty.ofImmutable(
this, "rounding", OvernightFuture.class, Rounding.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"securityId",
"currency",
"notional",
"accrualFactor",
"lastTradeDate",
"startDate",
"endDate",
"index",
"accrualMethod",
"rounding");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return securityId;
case 575402001: // currency
return currency;
case 1585636160: // notional
return notional;
case -1540322338: // accrualFactor
return accrualFactor;
case -1041950404: // lastTradeDate
return lastTradeDate;
case -2129778896: // startDate
return startDate;
case -1607727319: // endDate
return endDate;
case 100346066: // index
return index;
case -1335729296: // accrualMethod
return accrualMethod;
case -142444: // rounding
return rounding;
}
return super.metaPropertyGet(propertyName);
}
@Override
public OvernightFuture.Builder builder() {
return new OvernightFuture.Builder();
}
@Override
public Class beanType() {
return OvernightFuture.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code securityId} property.
* @return the meta-property, not null
*/
public MetaProperty securityId() {
return securityId;
}
/**
* The meta-property for the {@code currency} property.
* @return the meta-property, not null
*/
public MetaProperty currency() {
return currency;
}
/**
* The meta-property for the {@code notional} property.
* @return the meta-property, not null
*/
public MetaProperty notional() {
return notional;
}
/**
* The meta-property for the {@code accrualFactor} property.
* @return the meta-property, not null
*/
public MetaProperty accrualFactor() {
return accrualFactor;
}
/**
* The meta-property for the {@code lastTradeDate} property.
* @return the meta-property, not null
*/
public MetaProperty lastTradeDate() {
return lastTradeDate;
}
/**
* The meta-property for the {@code startDate} property.
* @return the meta-property, not null
*/
public MetaProperty startDate() {
return startDate;
}
/**
* The meta-property for the {@code endDate} property.
* @return the meta-property, not null
*/
public MetaProperty endDate() {
return endDate;
}
/**
* The meta-property for the {@code index} property.
* @return the meta-property, not null
*/
public MetaProperty index() {
return index;
}
/**
* The meta-property for the {@code accrualMethod} property.
* @return the meta-property, not null
*/
public MetaProperty accrualMethod() {
return accrualMethod;
}
/**
* The meta-property for the {@code rounding} property.
* @return the meta-property, not null
*/
public MetaProperty rounding() {
return rounding;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return ((OvernightFuture) bean).getSecurityId();
case 575402001: // currency
return ((OvernightFuture) bean).getCurrency();
case 1585636160: // notional
return ((OvernightFuture) bean).getNotional();
case -1540322338: // accrualFactor
return ((OvernightFuture) bean).getAccrualFactor();
case -1041950404: // lastTradeDate
return ((OvernightFuture) bean).getLastTradeDate();
case -2129778896: // startDate
return ((OvernightFuture) bean).getStartDate();
case -1607727319: // endDate
return ((OvernightFuture) bean).getEndDate();
case 100346066: // index
return ((OvernightFuture) bean).getIndex();
case -1335729296: // accrualMethod
return ((OvernightFuture) bean).getAccrualMethod();
case -142444: // rounding
return ((OvernightFuture) bean).getRounding();
}
return super.propertyGet(bean, propertyName, quiet);
}
@Override
protected void propertySet(Bean bean, String propertyName, Object newValue, boolean quiet) {
metaProperty(propertyName);
if (quiet) {
return;
}
throw new UnsupportedOperationException("Property cannot be written: " + propertyName);
}
}
//-----------------------------------------------------------------------
/**
* The bean-builder for {@code OvernightFuture}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private SecurityId securityId;
private Currency currency;
private double notional;
private double accrualFactor;
private LocalDate lastTradeDate;
private LocalDate startDate;
private LocalDate endDate;
private OvernightIndex index;
private OvernightAccrualMethod accrualMethod;
private Rounding rounding;
/**
* Restricted constructor.
*/
private Builder() {
applyDefaults(this);
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(OvernightFuture beanToCopy) {
this.securityId = beanToCopy.getSecurityId();
this.currency = beanToCopy.getCurrency();
this.notional = beanToCopy.getNotional();
this.accrualFactor = beanToCopy.getAccrualFactor();
this.lastTradeDate = beanToCopy.getLastTradeDate();
this.startDate = beanToCopy.getStartDate();
this.endDate = beanToCopy.getEndDate();
this.index = beanToCopy.getIndex();
this.accrualMethod = beanToCopy.getAccrualMethod();
this.rounding = beanToCopy.getRounding();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return securityId;
case 575402001: // currency
return currency;
case 1585636160: // notional
return notional;
case -1540322338: // accrualFactor
return accrualFactor;
case -1041950404: // lastTradeDate
return lastTradeDate;
case -2129778896: // startDate
return startDate;
case -1607727319: // endDate
return endDate;
case 100346066: // index
return index;
case -1335729296: // accrualMethod
return accrualMethod;
case -142444: // rounding
return rounding;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
this.securityId = (SecurityId) newValue;
break;
case 575402001: // currency
this.currency = (Currency) newValue;
break;
case 1585636160: // notional
this.notional = (Double) newValue;
break;
case -1540322338: // accrualFactor
this.accrualFactor = (Double) newValue;
break;
case -1041950404: // lastTradeDate
this.lastTradeDate = (LocalDate) newValue;
break;
case -2129778896: // startDate
this.startDate = (LocalDate) newValue;
break;
case -1607727319: // endDate
this.endDate = (LocalDate) newValue;
break;
case 100346066: // index
this.index = (OvernightIndex) newValue;
break;
case -1335729296: // accrualMethod
this.accrualMethod = (OvernightAccrualMethod) newValue;
break;
case -142444: // rounding
this.rounding = (Rounding) newValue;
break;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
return this;
}
@Override
public Builder set(MetaProperty property, Object value) {
super.set(property, value);
return this;
}
@Override
public OvernightFuture build() {
preBuild(this);
return new OvernightFuture(
securityId,
currency,
notional,
accrualFactor,
lastTradeDate,
startDate,
endDate,
index,
accrualMethod,
rounding);
}
//-----------------------------------------------------------------------
/**
* Sets the security identifier.
*
* This identifier uniquely identifies the security within the system.
* @param securityId the new value, not null
* @return this, for chaining, not null
*/
public Builder securityId(SecurityId securityId) {
JodaBeanUtils.notNull(securityId, "securityId");
this.securityId = securityId;
return this;
}
/**
* Sets the currency that the future is traded in, defaulted from the index if not set.
* @param currency the new value, not null
* @return this, for chaining, not null
*/
public Builder currency(Currency currency) {
JodaBeanUtils.notNull(currency, "currency");
this.currency = currency;
return this;
}
/**
* Sets the notional amount.
*
* This is the full notional of the deposit, such as 5 million dollars.
* The notional expressed here must be positive.
* The currency of the notional is specified by {@code currency}.
* @param notional the new value
* @return this, for chaining, not null
*/
public Builder notional(double notional) {
ArgChecker.notNegativeOrZero(notional, "notional");
this.notional = notional;
return this;
}
/**
* Sets the accrual factor, defaulted from the index if not set.
*
* This is the year fraction of the contract, typically 1/12 for a 30-day future.
* As such, it is often unrelated to the day count of the index.
* The year fraction must be positive.
* @param accrualFactor the new value
* @return this, for chaining, not null
*/
public Builder accrualFactor(double accrualFactor) {
ArgChecker.notNegativeOrZero(accrualFactor, "accrualFactor");
this.accrualFactor = accrualFactor;
return this;
}
/**
* Sets the last date of trading.
*
* This must be a valid business day on the fixing calendar of {@code index}.
* For example, the last trade date is often the last business day of the month.
* @param lastTradeDate the new value, not null
* @return this, for chaining, not null
*/
public Builder lastTradeDate(LocalDate lastTradeDate) {
JodaBeanUtils.notNull(lastTradeDate, "lastTradeDate");
this.lastTradeDate = lastTradeDate;
return this;
}
/**
* Sets the first date of the rate calculation period.
*
* This is not necessarily a valid business day on the fixing calendar of {@code index}.
* However, it will be adjusted in {@code OvernightRateComputation} if needed.
* @param startDate the new value, not null
* @return this, for chaining, not null
*/
public Builder startDate(LocalDate startDate) {
JodaBeanUtils.notNull(startDate, "startDate");
this.startDate = startDate;
return this;
}
/**
* Sets the last date of the rate calculation period.
*
* This is not necessarily a valid business day on the fixing calendar of {@code index}.
* However, it will be adjusted in {@code OvernightRateComputation} if needed.
* @param endDate the new value, not null
* @return this, for chaining, not null
*/
public Builder endDate(LocalDate endDate) {
JodaBeanUtils.notNull(endDate, "endDate");
this.endDate = endDate;
return this;
}
/**
* Sets the underlying Overnight index.
*
* The future is based on this index.
* It will be a well known market index such as 'USD-FED-FUND'.
* @param index the new value, not null
* @return this, for chaining, not null
*/
public Builder index(OvernightIndex index) {
JodaBeanUtils.notNull(index, "index");
this.index = index;
return this;
}
/**
* Sets the method of accruing Overnight interest.
*
* The average rate is calculated based on this method over the period between {@code startDate} and {@code endDate}.
* @param accrualMethod the new value, not null
* @return this, for chaining, not null
*/
public Builder accrualMethod(OvernightAccrualMethod accrualMethod) {
JodaBeanUtils.notNull(accrualMethod, "accrualMethod");
this.accrualMethod = accrualMethod;
return this;
}
/**
* Sets the definition of how to round the futures price, defaulted to no rounding.
*
* The price is represented in decimal form, not percentage form.
* As such, the decimal places expressed by the rounding refers to this decimal form.
* For example, the common market price of 99.7125 for a 0.2875% rate is
* represented as 0.997125 which has 6 decimal places.
* @param rounding the new value, not null
* @return this, for chaining, not null
*/
public Builder rounding(Rounding rounding) {
JodaBeanUtils.notNull(rounding, "rounding");
this.rounding = rounding;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(352);
buf.append("OvernightFuture.Builder{");
buf.append("securityId").append('=').append(JodaBeanUtils.toString(securityId)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(currency)).append(',').append(' ');
buf.append("notional").append('=').append(JodaBeanUtils.toString(notional)).append(',').append(' ');
buf.append("accrualFactor").append('=').append(JodaBeanUtils.toString(accrualFactor)).append(',').append(' ');
buf.append("lastTradeDate").append('=').append(JodaBeanUtils.toString(lastTradeDate)).append(',').append(' ');
buf.append("startDate").append('=').append(JodaBeanUtils.toString(startDate)).append(',').append(' ');
buf.append("endDate").append('=').append(JodaBeanUtils.toString(endDate)).append(',').append(' ');
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("accrualMethod").append('=').append(JodaBeanUtils.toString(accrualMethod)).append(',').append(' ');
buf.append("rounding").append('=').append(JodaBeanUtils.toString(rounding));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}