com.opengamma.strata.product.index.ResolvedIborFutureOption Maven / Gradle / Ivy
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/*
* Copyright (C) 2016 - 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.time.ZonedDateTime;
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.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.index.IborIndex;
import com.opengamma.strata.basics.value.Rounding;
import com.opengamma.strata.collect.ArgChecker;
import com.opengamma.strata.product.ResolvedProduct;
import com.opengamma.strata.product.SecurityId;
import com.opengamma.strata.product.common.PutCall;
import com.opengamma.strata.product.option.FutureOptionPremiumStyle;
/**
* A futures option contract based on an Ibor index, resolved for pricing.
*
* This is the resolved form of {@link IborFutureOption} and is an input to the pricers.
* Applications will typically create a {@code ResolvedIborFutureOption} from a {@code IborFutureOption}
* using {@link IborFutureOption#resolve(ReferenceData)}.
*
* A {@code ResolvedIborFutureOption} is bound to data that changes over time, such as holiday calendars.
* If the data changes, such as the addition of a new holiday, the resolved form will not be updated.
* Care must be taken when placing the resolved form in a cache or persistence layer.
*
*
Price
* The price of an Ibor future option is based on the price of the underlying future, the volatility
* and the time to expiry. The price of the at-the-money option tends to zero as expiry approaches.
*
* Strata uses decimal prices for Ibor future options in the trade model, pricers and market data.
* The decimal price is based on the decimal rate equivalent to the percentage.
* For example, an option price of 0.2 is related to a futures price of 99.32 that implies an
* interest rate of 0.68%. Strata represents the price of the future as 0.9932 and thus
* represents the price of the option as 0.002.
*/
@BeanDefinition(constructorScope = "package")
public final class ResolvedIborFutureOption
implements ResolvedProduct, ImmutableBean, Serializable {
/**
* The security identifier.
*
* This identifier uniquely identifies the security within the system.
*/
@PropertyDefinition(validate = "notNull")
private final SecurityId securityId;
/**
* Whether the option is put or call.
*
* A call gives the owner the right, but not obligation, to buy the underlying at
* an agreed price in the future. A put gives a similar option to sell.
*/
@PropertyDefinition
private final PutCall putCall;
/**
* The strike price, in decimal form.
*
* This is the price at which the option applies and refers to the price of the underlying future.
* The rate implied by the strike can take negative values.
*
* Strata uses decimal prices for Ibor 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.
*/
@PropertyDefinition
private final double strikePrice;
/**
* The expiry of the option.
*
* The date must not be after last trade date of the underlying future.
*/
@PropertyDefinition(validate = "notNull")
private final ZonedDateTime expiry;
/**
* The style of the option premium.
*
* The two options are daily margining and upfront premium.
*/
@PropertyDefinition(validate = "notNull")
private final FutureOptionPremiumStyle premiumStyle;
/**
* The definition of how to round the option 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.
*/
@PropertyDefinition(validate = "notNull")
private final Rounding rounding;
/**
* The underlying future.
*/
@PropertyDefinition(validate = "notNull")
private final ResolvedIborFuture underlyingFuture;
//-------------------------------------------------------------------------
@ImmutableDefaults
private static void applyDefaults(Builder builder) {
builder.rounding(Rounding.none());
}
@ImmutableValidator
private void validate() {
LocalDate lastTradeDate = underlyingFuture.getLastTradeDate();
ArgChecker.inOrderOrEqual(expiry.toLocalDate(), lastTradeDate, "expiry.date", "underlying.lastTradeDate");
ArgChecker.isTrue(
strikePrice < 2, "Strike price must be in decimal form, such as 0.993 for a 0.7% rate, but was: {}", strikePrice);
}
//-------------------------------------------------------------------------
/**
* Gets the expiry date of the option.
*
* @return the expiry date
*/
public LocalDate getExpiryDate() {
return expiry.toLocalDate();
}
/**
* Gets the Ibor index that the option is based on.
*
* @return the Ibor index
*/
public IborIndex getIndex() {
return underlyingFuture.getIndex();
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code ResolvedIborFutureOption}.
* @return the meta-bean, not null
*/
public static ResolvedIborFutureOption.Meta meta() {
return ResolvedIborFutureOption.Meta.INSTANCE;
}
static {
MetaBean.register(ResolvedIborFutureOption.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 ResolvedIborFutureOption.Builder builder() {
return new ResolvedIborFutureOption.Builder();
}
/**
* Creates an instance.
* @param securityId the value of the property, not null
* @param putCall the value of the property
* @param strikePrice the value of the property
* @param expiry the value of the property, not null
* @param premiumStyle the value of the property, not null
* @param rounding the value of the property, not null
* @param underlyingFuture the value of the property, not null
*/
ResolvedIborFutureOption(
SecurityId securityId,
PutCall putCall,
double strikePrice,
ZonedDateTime expiry,
FutureOptionPremiumStyle premiumStyle,
Rounding rounding,
ResolvedIborFuture underlyingFuture) {
JodaBeanUtils.notNull(securityId, "securityId");
JodaBeanUtils.notNull(expiry, "expiry");
JodaBeanUtils.notNull(premiumStyle, "premiumStyle");
JodaBeanUtils.notNull(rounding, "rounding");
JodaBeanUtils.notNull(underlyingFuture, "underlyingFuture");
this.securityId = securityId;
this.putCall = putCall;
this.strikePrice = strikePrice;
this.expiry = expiry;
this.premiumStyle = premiumStyle;
this.rounding = rounding;
this.underlyingFuture = underlyingFuture;
validate();
}
@Override
public ResolvedIborFutureOption.Meta metaBean() {
return ResolvedIborFutureOption.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the security identifier.
*
* This identifier uniquely identifies the security within the system.
* @return the value of the property, not null
*/
public SecurityId getSecurityId() {
return securityId;
}
//-----------------------------------------------------------------------
/**
* Gets whether the option is put or call.
*
* A call gives the owner the right, but not obligation, to buy the underlying at
* an agreed price in the future. A put gives a similar option to sell.
* @return the value of the property
*/
public PutCall getPutCall() {
return putCall;
}
//-----------------------------------------------------------------------
/**
* Gets the strike price, in decimal form.
*
* This is the price at which the option applies and refers to the price of the underlying future.
* The rate implied by the strike can take negative values.
*
* Strata uses decimal prices for Ibor 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.
* @return the value of the property
*/
public double getStrikePrice() {
return strikePrice;
}
//-----------------------------------------------------------------------
/**
* Gets the expiry of the option.
*
* The date must not be after last trade date of the underlying future.
* @return the value of the property, not null
*/
public ZonedDateTime getExpiry() {
return expiry;
}
//-----------------------------------------------------------------------
/**
* Gets the style of the option premium.
*
* The two options are daily margining and upfront premium.
* @return the value of the property, not null
*/
public FutureOptionPremiumStyle getPremiumStyle() {
return premiumStyle;
}
//-----------------------------------------------------------------------
/**
* Gets the definition of how to round the option 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.
* @return the value of the property, not null
*/
public Rounding getRounding() {
return rounding;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying future.
* @return the value of the property, not null
*/
public ResolvedIborFuture getUnderlyingFuture() {
return underlyingFuture;
}
//-----------------------------------------------------------------------
/**
* 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()) {
ResolvedIborFutureOption other = (ResolvedIborFutureOption) obj;
return JodaBeanUtils.equal(securityId, other.securityId) &&
JodaBeanUtils.equal(putCall, other.putCall) &&
JodaBeanUtils.equal(strikePrice, other.strikePrice) &&
JodaBeanUtils.equal(expiry, other.expiry) &&
JodaBeanUtils.equal(premiumStyle, other.premiumStyle) &&
JodaBeanUtils.equal(rounding, other.rounding) &&
JodaBeanUtils.equal(underlyingFuture, other.underlyingFuture);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(securityId);
hash = hash * 31 + JodaBeanUtils.hashCode(putCall);
hash = hash * 31 + JodaBeanUtils.hashCode(strikePrice);
hash = hash * 31 + JodaBeanUtils.hashCode(expiry);
hash = hash * 31 + JodaBeanUtils.hashCode(premiumStyle);
hash = hash * 31 + JodaBeanUtils.hashCode(rounding);
hash = hash * 31 + JodaBeanUtils.hashCode(underlyingFuture);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(256);
buf.append("ResolvedIborFutureOption{");
buf.append("securityId").append('=').append(JodaBeanUtils.toString(securityId)).append(',').append(' ');
buf.append("putCall").append('=').append(JodaBeanUtils.toString(putCall)).append(',').append(' ');
buf.append("strikePrice").append('=').append(JodaBeanUtils.toString(strikePrice)).append(',').append(' ');
buf.append("expiry").append('=').append(JodaBeanUtils.toString(expiry)).append(',').append(' ');
buf.append("premiumStyle").append('=').append(JodaBeanUtils.toString(premiumStyle)).append(',').append(' ');
buf.append("rounding").append('=').append(JodaBeanUtils.toString(rounding)).append(',').append(' ');
buf.append("underlyingFuture").append('=').append(JodaBeanUtils.toString(underlyingFuture));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code ResolvedIborFutureOption}.
*/
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", ResolvedIborFutureOption.class, SecurityId.class);
/**
* The meta-property for the {@code putCall} property.
*/
private final MetaProperty putCall = DirectMetaProperty.ofImmutable(
this, "putCall", ResolvedIborFutureOption.class, PutCall.class);
/**
* The meta-property for the {@code strikePrice} property.
*/
private final MetaProperty strikePrice = DirectMetaProperty.ofImmutable(
this, "strikePrice", ResolvedIborFutureOption.class, Double.TYPE);
/**
* The meta-property for the {@code expiry} property.
*/
private final MetaProperty expiry = DirectMetaProperty.ofImmutable(
this, "expiry", ResolvedIborFutureOption.class, ZonedDateTime.class);
/**
* The meta-property for the {@code premiumStyle} property.
*/
private final MetaProperty premiumStyle = DirectMetaProperty.ofImmutable(
this, "premiumStyle", ResolvedIborFutureOption.class, FutureOptionPremiumStyle.class);
/**
* The meta-property for the {@code rounding} property.
*/
private final MetaProperty rounding = DirectMetaProperty.ofImmutable(
this, "rounding", ResolvedIborFutureOption.class, Rounding.class);
/**
* The meta-property for the {@code underlyingFuture} property.
*/
private final MetaProperty underlyingFuture = DirectMetaProperty.ofImmutable(
this, "underlyingFuture", ResolvedIborFutureOption.class, ResolvedIborFuture.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"securityId",
"putCall",
"strikePrice",
"expiry",
"premiumStyle",
"rounding",
"underlyingFuture");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return securityId;
case -219971059: // putCall
return putCall;
case 50946231: // strikePrice
return strikePrice;
case -1289159373: // expiry
return expiry;
case -1257652838: // premiumStyle
return premiumStyle;
case -142444: // rounding
return rounding;
case -165476480: // underlyingFuture
return underlyingFuture;
}
return super.metaPropertyGet(propertyName);
}
@Override
public ResolvedIborFutureOption.Builder builder() {
return new ResolvedIborFutureOption.Builder();
}
@Override
public Class beanType() {
return ResolvedIborFutureOption.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 putCall} property.
* @return the meta-property, not null
*/
public MetaProperty putCall() {
return putCall;
}
/**
* The meta-property for the {@code strikePrice} property.
* @return the meta-property, not null
*/
public MetaProperty strikePrice() {
return strikePrice;
}
/**
* The meta-property for the {@code expiry} property.
* @return the meta-property, not null
*/
public MetaProperty expiry() {
return expiry;
}
/**
* The meta-property for the {@code premiumStyle} property.
* @return the meta-property, not null
*/
public MetaProperty premiumStyle() {
return premiumStyle;
}
/**
* The meta-property for the {@code rounding} property.
* @return the meta-property, not null
*/
public MetaProperty rounding() {
return rounding;
}
/**
* The meta-property for the {@code underlyingFuture} property.
* @return the meta-property, not null
*/
public MetaProperty underlyingFuture() {
return underlyingFuture;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return ((ResolvedIborFutureOption) bean).getSecurityId();
case -219971059: // putCall
return ((ResolvedIborFutureOption) bean).getPutCall();
case 50946231: // strikePrice
return ((ResolvedIborFutureOption) bean).getStrikePrice();
case -1289159373: // expiry
return ((ResolvedIborFutureOption) bean).getExpiry();
case -1257652838: // premiumStyle
return ((ResolvedIborFutureOption) bean).getPremiumStyle();
case -142444: // rounding
return ((ResolvedIborFutureOption) bean).getRounding();
case -165476480: // underlyingFuture
return ((ResolvedIborFutureOption) bean).getUnderlyingFuture();
}
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 ResolvedIborFutureOption}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private SecurityId securityId;
private PutCall putCall;
private double strikePrice;
private ZonedDateTime expiry;
private FutureOptionPremiumStyle premiumStyle;
private Rounding rounding;
private ResolvedIborFuture underlyingFuture;
/**
* Restricted constructor.
*/
private Builder() {
applyDefaults(this);
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(ResolvedIborFutureOption beanToCopy) {
this.securityId = beanToCopy.getSecurityId();
this.putCall = beanToCopy.getPutCall();
this.strikePrice = beanToCopy.getStrikePrice();
this.expiry = beanToCopy.getExpiry();
this.premiumStyle = beanToCopy.getPremiumStyle();
this.rounding = beanToCopy.getRounding();
this.underlyingFuture = beanToCopy.getUnderlyingFuture();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 1574023291: // securityId
return securityId;
case -219971059: // putCall
return putCall;
case 50946231: // strikePrice
return strikePrice;
case -1289159373: // expiry
return expiry;
case -1257652838: // premiumStyle
return premiumStyle;
case -142444: // rounding
return rounding;
case -165476480: // underlyingFuture
return underlyingFuture;
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 -219971059: // putCall
this.putCall = (PutCall) newValue;
break;
case 50946231: // strikePrice
this.strikePrice = (Double) newValue;
break;
case -1289159373: // expiry
this.expiry = (ZonedDateTime) newValue;
break;
case -1257652838: // premiumStyle
this.premiumStyle = (FutureOptionPremiumStyle) newValue;
break;
case -142444: // rounding
this.rounding = (Rounding) newValue;
break;
case -165476480: // underlyingFuture
this.underlyingFuture = (ResolvedIborFuture) 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 ResolvedIborFutureOption build() {
return new ResolvedIborFutureOption(
securityId,
putCall,
strikePrice,
expiry,
premiumStyle,
rounding,
underlyingFuture);
}
//-----------------------------------------------------------------------
/**
* 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 whether the option is put or call.
*
* A call gives the owner the right, but not obligation, to buy the underlying at
* an agreed price in the future. A put gives a similar option to sell.
* @param putCall the new value
* @return this, for chaining, not null
*/
public Builder putCall(PutCall putCall) {
this.putCall = putCall;
return this;
}
/**
* Sets the strike price, in decimal form.
*
* This is the price at which the option applies and refers to the price of the underlying future.
* The rate implied by the strike can take negative values.
*
* Strata uses decimal prices for Ibor 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.
* @param strikePrice the new value
* @return this, for chaining, not null
*/
public Builder strikePrice(double strikePrice) {
this.strikePrice = strikePrice;
return this;
}
/**
* Sets the expiry of the option.
*
* The date must not be after last trade date of the underlying future.
* @param expiry the new value, not null
* @return this, for chaining, not null
*/
public Builder expiry(ZonedDateTime expiry) {
JodaBeanUtils.notNull(expiry, "expiry");
this.expiry = expiry;
return this;
}
/**
* Sets the style of the option premium.
*
* The two options are daily margining and upfront premium.
* @param premiumStyle the new value, not null
* @return this, for chaining, not null
*/
public Builder premiumStyle(FutureOptionPremiumStyle premiumStyle) {
JodaBeanUtils.notNull(premiumStyle, "premiumStyle");
this.premiumStyle = premiumStyle;
return this;
}
/**
* Sets the definition of how to round the option 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.
* @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;
}
/**
* Sets the underlying future.
* @param underlyingFuture the new value, not null
* @return this, for chaining, not null
*/
public Builder underlyingFuture(ResolvedIborFuture underlyingFuture) {
JodaBeanUtils.notNull(underlyingFuture, "underlyingFuture");
this.underlyingFuture = underlyingFuture;
return this;
}
//-----------------------------------------------------------------------
@Override
public String toString() {
StringBuilder buf = new StringBuilder(256);
buf.append("ResolvedIborFutureOption.Builder{");
buf.append("securityId").append('=').append(JodaBeanUtils.toString(securityId)).append(',').append(' ');
buf.append("putCall").append('=').append(JodaBeanUtils.toString(putCall)).append(',').append(' ');
buf.append("strikePrice").append('=').append(JodaBeanUtils.toString(strikePrice)).append(',').append(' ');
buf.append("expiry").append('=').append(JodaBeanUtils.toString(expiry)).append(',').append(' ');
buf.append("premiumStyle").append('=').append(JodaBeanUtils.toString(premiumStyle)).append(',').append(' ');
buf.append("rounding").append('=').append(JodaBeanUtils.toString(rounding)).append(',').append(' ');
buf.append("underlyingFuture").append('=').append(JodaBeanUtils.toString(underlyingFuture));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}