com.opengamma.strata.product.index.IborFutureSecurity Maven / Gradle / Ivy
Show all versions of strata-product Show documentation
/*
* 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.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.DerivedProperty;
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.google.common.collect.ImmutableSet;
import com.opengamma.strata.basics.ReferenceData;
import com.opengamma.strata.basics.currency.Currency;
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.PositionInfo;
import com.opengamma.strata.product.SecurityId;
import com.opengamma.strata.product.SecurityInfo;
import com.opengamma.strata.product.TradeInfo;
/**
* A security representing a futures contract based on an Ibor index.
*
* An Ibor future is a financial instrument that is based on the future value of
* an Ibor index interest rate. The profit or loss of an Ibor future is settled daily.
* An Ibor future is also known as a STIR future (Short Term Interest Rate).
*
* For example, the widely traded "CME Eurodollar futures contract" has a notional
* of 1 million USD, is based on the USD Libor 3 month rate 'USD-LIBOR-3M', expiring
* two business days before an IMM date (the 3rd Wednesday of the month).
*
*
Price
* The price of an Ibor future is based on the interest rate of the underlying index.
* It is defined as {@code (100 - percentRate)}.
*
* 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.
*/
@BeanDefinition
public final class IborFutureSecurity
implements RateIndexSecurity, ImmutableBean, Serializable {
/**
* The standard security information.
*
* This includes the security identifier.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final SecurityInfo info;
/**
* The notional amount.
*
* This is the full notional of the deposit, such as 1 million dollars.
* The notional expressed here must be positive.
* The currency of the notional the same as the currency of the index.
*/
@PropertyDefinition(validate = "ArgChecker.notNegativeOrZero")
private final double notional;
/**
* The last date of trading.
* This date is also the fixing date for the Ibor index.
* This is typically 2 business days before the IMM date (3rd Wednesday of the month).
*/
@PropertyDefinition(validate = "notNull")
private final LocalDate lastTradeDate;
/**
* The underlying Ibor index.
*
* The future is based on this index.
* It will be a well known market index such as 'USD-LIBOR-3M'.
*/
@PropertyDefinition(validate = "notNull", overrideGet = true)
private final IborIndex index;
/**
* 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;
//-------------------------------------------------------------------------
@Override
@DerivedProperty
public Currency getCurrency() {
return index.getCurrency();
}
@Override
public ImmutableSet getUnderlyingIds() {
return ImmutableSet.of();
}
//-------------------------------------------------------------------------
@Override
public IborFutureSecurity withInfo(SecurityInfo info) {
return toBuilder().info(info).build();
}
//-------------------------------------------------------------------------
@Override
public IborFuture createProduct(ReferenceData refData) {
return IborFuture.builder()
.securityId(getSecurityId())
.notional(notional)
.index(index)
.lastTradeDate(lastTradeDate)
.rounding(rounding)
.build();
}
@Override
public IborFutureTrade createTrade(
TradeInfo info,
double quantity,
double tradePrice,
ReferenceData refData) {
return new IborFutureTrade(info, createProduct(refData), quantity, tradePrice);
}
@Override
public IborFuturePosition createPosition(PositionInfo positionInfo, double quantity, ReferenceData refData) {
return IborFuturePosition.ofNet(positionInfo, createProduct(refData), quantity);
}
@Override
public IborFuturePosition createPosition(
PositionInfo positionInfo,
double longQuantity,
double shortQuantity,
ReferenceData refData) {
return IborFuturePosition.ofLongShort(positionInfo, createProduct(refData), longQuantity, shortQuantity);
}
//------------------------- AUTOGENERATED START -------------------------
/**
* The meta-bean for {@code IborFutureSecurity}.
* @return the meta-bean, not null
*/
public static IborFutureSecurity.Meta meta() {
return IborFutureSecurity.Meta.INSTANCE;
}
static {
MetaBean.register(IborFutureSecurity.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 IborFutureSecurity.Builder builder() {
return new IborFutureSecurity.Builder();
}
private IborFutureSecurity(
SecurityInfo info,
double notional,
LocalDate lastTradeDate,
IborIndex index,
Rounding rounding) {
JodaBeanUtils.notNull(info, "info");
ArgChecker.notNegativeOrZero(notional, "notional");
JodaBeanUtils.notNull(lastTradeDate, "lastTradeDate");
JodaBeanUtils.notNull(index, "index");
JodaBeanUtils.notNull(rounding, "rounding");
this.info = info;
this.notional = notional;
this.lastTradeDate = lastTradeDate;
this.index = index;
this.rounding = rounding;
}
@Override
public IborFutureSecurity.Meta metaBean() {
return IborFutureSecurity.Meta.INSTANCE;
}
//-----------------------------------------------------------------------
/**
* Gets the standard security information.
*
* This includes the security identifier.
* @return the value of the property, not null
*/
@Override
public SecurityInfo getInfo() {
return info;
}
//-----------------------------------------------------------------------
/**
* Gets the notional amount.
*
* This is the full notional of the deposit, such as 1 million dollars.
* The notional expressed here must be positive.
* The currency of the notional the same as the currency of the index.
* @return the value of the property
*/
public double getNotional() {
return notional;
}
//-----------------------------------------------------------------------
/**
* Gets the last date of trading.
* This date is also the fixing date for the Ibor index.
* This is typically 2 business days before the IMM date (3rd Wednesday of the month).
* @return the value of the property, not null
*/
public LocalDate getLastTradeDate() {
return lastTradeDate;
}
//-----------------------------------------------------------------------
/**
* Gets the underlying Ibor index.
*
* The future is based on this index.
* It will be a well known market index such as 'USD-LIBOR-3M'.
* @return the value of the property, not null
*/
@Override
public IborIndex getIndex() {
return index;
}
//-----------------------------------------------------------------------
/**
* 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()) {
IborFutureSecurity other = (IborFutureSecurity) obj;
return JodaBeanUtils.equal(info, other.info) &&
JodaBeanUtils.equal(notional, other.notional) &&
JodaBeanUtils.equal(lastTradeDate, other.lastTradeDate) &&
JodaBeanUtils.equal(index, other.index) &&
JodaBeanUtils.equal(rounding, other.rounding);
}
return false;
}
@Override
public int hashCode() {
int hash = getClass().hashCode();
hash = hash * 31 + JodaBeanUtils.hashCode(info);
hash = hash * 31 + JodaBeanUtils.hashCode(notional);
hash = hash * 31 + JodaBeanUtils.hashCode(lastTradeDate);
hash = hash * 31 + JodaBeanUtils.hashCode(index);
hash = hash * 31 + JodaBeanUtils.hashCode(rounding);
return hash;
}
@Override
public String toString() {
StringBuilder buf = new StringBuilder(224);
buf.append("IborFutureSecurity{");
buf.append("info").append('=').append(JodaBeanUtils.toString(info)).append(',').append(' ');
buf.append("notional").append('=').append(JodaBeanUtils.toString(notional)).append(',').append(' ');
buf.append("lastTradeDate").append('=').append(JodaBeanUtils.toString(lastTradeDate)).append(',').append(' ');
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("rounding").append('=').append(JodaBeanUtils.toString(rounding)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(getCurrency()));
buf.append('}');
return buf.toString();
}
//-----------------------------------------------------------------------
/**
* The meta-bean for {@code IborFutureSecurity}.
*/
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 info} property.
*/
private final MetaProperty info = DirectMetaProperty.ofImmutable(
this, "info", IborFutureSecurity.class, SecurityInfo.class);
/**
* The meta-property for the {@code notional} property.
*/
private final MetaProperty notional = DirectMetaProperty.ofImmutable(
this, "notional", IborFutureSecurity.class, Double.TYPE);
/**
* The meta-property for the {@code lastTradeDate} property.
*/
private final MetaProperty lastTradeDate = DirectMetaProperty.ofImmutable(
this, "lastTradeDate", IborFutureSecurity.class, LocalDate.class);
/**
* The meta-property for the {@code index} property.
*/
private final MetaProperty index = DirectMetaProperty.ofImmutable(
this, "index", IborFutureSecurity.class, IborIndex.class);
/**
* The meta-property for the {@code rounding} property.
*/
private final MetaProperty rounding = DirectMetaProperty.ofImmutable(
this, "rounding", IborFutureSecurity.class, Rounding.class);
/**
* The meta-property for the {@code currency} property.
*/
private final MetaProperty currency = DirectMetaProperty.ofDerived(
this, "currency", IborFutureSecurity.class, Currency.class);
/**
* The meta-properties.
*/
private final Map> metaPropertyMap$ = new DirectMetaPropertyMap(
this, null,
"info",
"notional",
"lastTradeDate",
"index",
"rounding",
"currency");
/**
* Restricted constructor.
*/
private Meta() {
}
@Override
protected MetaProperty metaPropertyGet(String propertyName) {
switch (propertyName.hashCode()) {
case 3237038: // info
return info;
case 1585636160: // notional
return notional;
case -1041950404: // lastTradeDate
return lastTradeDate;
case 100346066: // index
return index;
case -142444: // rounding
return rounding;
case 575402001: // currency
return currency;
}
return super.metaPropertyGet(propertyName);
}
@Override
public IborFutureSecurity.Builder builder() {
return new IborFutureSecurity.Builder();
}
@Override
public Class beanType() {
return IborFutureSecurity.class;
}
@Override
public Map> metaPropertyMap() {
return metaPropertyMap$;
}
//-----------------------------------------------------------------------
/**
* The meta-property for the {@code info} property.
* @return the meta-property, not null
*/
public MetaProperty info() {
return info;
}
/**
* 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 lastTradeDate} property.
* @return the meta-property, not null
*/
public MetaProperty lastTradeDate() {
return lastTradeDate;
}
/**
* 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 rounding} property.
* @return the meta-property, not null
*/
public MetaProperty rounding() {
return rounding;
}
/**
* The meta-property for the {@code currency} property.
* @return the meta-property, not null
*/
public MetaProperty currency() {
return currency;
}
//-----------------------------------------------------------------------
@Override
protected Object propertyGet(Bean bean, String propertyName, boolean quiet) {
switch (propertyName.hashCode()) {
case 3237038: // info
return ((IborFutureSecurity) bean).getInfo();
case 1585636160: // notional
return ((IborFutureSecurity) bean).getNotional();
case -1041950404: // lastTradeDate
return ((IborFutureSecurity) bean).getLastTradeDate();
case 100346066: // index
return ((IborFutureSecurity) bean).getIndex();
case -142444: // rounding
return ((IborFutureSecurity) bean).getRounding();
case 575402001: // currency
return ((IborFutureSecurity) bean).getCurrency();
}
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 IborFutureSecurity}.
*/
public static final class Builder extends DirectFieldsBeanBuilder {
private SecurityInfo info;
private double notional;
private LocalDate lastTradeDate;
private IborIndex index;
private Rounding rounding;
/**
* Restricted constructor.
*/
private Builder() {
}
/**
* Restricted copy constructor.
* @param beanToCopy the bean to copy from, not null
*/
private Builder(IborFutureSecurity beanToCopy) {
this.info = beanToCopy.getInfo();
this.notional = beanToCopy.getNotional();
this.lastTradeDate = beanToCopy.getLastTradeDate();
this.index = beanToCopy.getIndex();
this.rounding = beanToCopy.getRounding();
}
//-----------------------------------------------------------------------
@Override
public Object get(String propertyName) {
switch (propertyName.hashCode()) {
case 3237038: // info
return info;
case 1585636160: // notional
return notional;
case -1041950404: // lastTradeDate
return lastTradeDate;
case 100346066: // index
return index;
case -142444: // rounding
return rounding;
default:
throw new NoSuchElementException("Unknown property: " + propertyName);
}
}
@Override
public Builder set(String propertyName, Object newValue) {
switch (propertyName.hashCode()) {
case 3237038: // info
this.info = (SecurityInfo) newValue;
break;
case 1585636160: // notional
this.notional = (Double) newValue;
break;
case -1041950404: // lastTradeDate
this.lastTradeDate = (LocalDate) newValue;
break;
case 100346066: // index
this.index = (IborIndex) 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 IborFutureSecurity build() {
return new IborFutureSecurity(
info,
notional,
lastTradeDate,
index,
rounding);
}
//-----------------------------------------------------------------------
/**
* Sets the standard security information.
*
* This includes the security identifier.
* @param info the new value, not null
* @return this, for chaining, not null
*/
public Builder info(SecurityInfo info) {
JodaBeanUtils.notNull(info, "info");
this.info = info;
return this;
}
/**
* Sets the notional amount.
*
* This is the full notional of the deposit, such as 1 million dollars.
* The notional expressed here must be positive.
* The currency of the notional the same as the currency of the index.
* @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 last date of trading.
* This date is also the fixing date for the Ibor index.
* This is typically 2 business days before the IMM date (3rd Wednesday 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 underlying Ibor index.
*
* The future is based on this index.
* It will be a well known market index such as 'USD-LIBOR-3M'.
* @param index the new value, not null
* @return this, for chaining, not null
*/
public Builder index(IborIndex index) {
JodaBeanUtils.notNull(index, "index");
this.index = index;
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(224);
buf.append("IborFutureSecurity.Builder{");
buf.append("info").append('=').append(JodaBeanUtils.toString(info)).append(',').append(' ');
buf.append("notional").append('=').append(JodaBeanUtils.toString(notional)).append(',').append(' ');
buf.append("lastTradeDate").append('=').append(JodaBeanUtils.toString(lastTradeDate)).append(',').append(' ');
buf.append("index").append('=').append(JodaBeanUtils.toString(index)).append(',').append(' ');
buf.append("rounding").append('=').append(JodaBeanUtils.toString(rounding)).append(',').append(' ');
buf.append("currency").append('=').append(JodaBeanUtils.toString(null));
buf.append('}');
return buf.toString();
}
}
//-------------------------- AUTOGENERATED END --------------------------
}