OvernightFutureCurveNode (OpenGamma Strata Market)

java.lang.Object
- com.opengamma.strata.market.curve.node.OvernightFutureCurveNode

All Implemented Interfaces:

CurveNode, Serializable, org.joda.beans.Bean, org.joda.beans.ImmutableBean
```
public final class OvernightFutureCurveNode
extends Object
implements CurveNode, org.joda.beans.ImmutableBean, Serializable
```
A curve node whose instrument is an Overnight Future.
The trade produced by the node will be a long for a positive quantity and a short for a negative quantity. This convention is line with other nodes where a positive quantity is similar to long a bond or deposit.

See Also:

Serialized Form

Nested Class Summary

Nested Classes
Modifier and Type	Class and Description
`static class`	`OvernightFutureCurveNode.Builder` The bean-builder for `OvernightFutureCurveNode`.
`static class`	`OvernightFutureCurveNode.Meta` The meta-bean for `OvernightFutureCurveNode`.

Method Summary

All Methods Static Methods Instance Methods Concrete Methods
Modifier and Type	Method and Description
`static OvernightFutureCurveNode.Builder`	`builder()` Returns a builder used to create an instance of the bean.
`LocalDate`	`date(LocalDate valuationDate, ReferenceData refData)` Calculates the date associated with the node.
`boolean`	`equals(Object obj)`
`double`	`getAdditionalSpread()` Gets the additional spread added to the price.
`CurveNodeDate`	`getDate()` Gets the method by which the date of the node is calculated, defaulted to 'End'.
`CurveNodeDateOrder`	`getDateOrder()` Gets the date order rules, used to ensure that the dates in the curve are in order.
`String`	`getLabel()` Gets the label to use for the node, may be empty.
`QuoteId`	`getRateId()` Gets the identifier of the market data value which provides the price.
`OvernightFutureTemplate`	`getTemplate()` Gets the template for the Overnight Futures associated with this node.
`int`	`hashCode()`
`double`	`initialGuess(MarketData marketData, ValueType valueType)` Gets the initial guess used for calibrating the node.
`static OvernightFutureCurveNode.Meta`	`meta()` The meta-bean for `OvernightFutureCurveNode`.
`OvernightFutureCurveNode.Meta`	`metaBean()`
`DatedParameterMetadata`	`metadata(LocalDate valuationDate, ReferenceData refData)` Returns metadata for the node.
`static OvernightFutureCurveNode`	`of(OvernightFutureTemplate template, QuoteId rateId)` Obtains a curve node for an Overnight Future using the specified contract and rate key.
`static OvernightFutureCurveNode`	`of(OvernightFutureTemplate template, QuoteId rateId, double additionalSpread)` Obtains a curve node for an Overnight Future using the specified contract, rate key and spread.
`static OvernightFutureCurveNode`	`of(OvernightFutureTemplate template, QuoteId rateId, double additionalSpread, String label)` Obtains a curve node for an Overnight Future using the specified contract, rate key, spread and label.
`Set<ObservableId>`	`requirements()` Determines the market data that is required by the node.
`ResolvedOvernightFutureTrade`	`resolvedTrade(double quantity, MarketData marketData, ReferenceData refData)` Creates a resolved trade representing the instrument at the node.
`ResolvedOvernightFutureTrade`	`sampleResolvedTrade(LocalDate valuationDate, FxRateProvider fxProvider, ReferenceData refData)` Creates a resolved trade representing the instrument at the node.
`OvernightFutureCurveNode.Builder`	`toBuilder()` Returns a builder that allows this bean to be mutated.
`String`	`toString()`
`OvernightFutureTrade`	`trade(double quantity, MarketData marketData, ReferenceData refData)` Creates a trade representing the instrument at the node.
`OvernightFutureCurveNode`	`withDate(CurveNodeDate date)` Returns a copy of this node with the specified date.

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 OvernightFutureCurveNode of(OvernightFutureTemplate template,
                                          QuoteId rateId)
```
    Obtains a curve node for an Overnight Future using the specified contract and rate key.
    
    Parameters:
    
    template - the template used for building the instrument for the node
    
    rateId - the identifier of the market rate for the security
    
    Returns:
    
    a node whose instrument is built from the template using a market rate
  - of
```
public static OvernightFutureCurveNode of(OvernightFutureTemplate template,
                                          QuoteId rateId,
                                          double additionalSpread)
```
    Obtains a curve node for an Overnight Future using the specified contract, rate key and spread.
    
    Parameters:
    
    template - the template used for building the instrument for the node
    
    rateId - the identifier of the market rate for the security
    
    additionalSpread - the additional spread amount added to the rate
    
    Returns:
    
    a node whose instrument is built from the template using a market rate
  - of
```
public static OvernightFutureCurveNode of(OvernightFutureTemplate template,
                                          QuoteId rateId,
                                          double additionalSpread,
                                          String label)
```
    Obtains a curve node for an Overnight Future using the specified contract, rate key, spread and label.
    
    Parameters:
    
    template - the template used for building the instrument for the node
    
    rateId - the identifier of the market rate for the security
    
    additionalSpread - the additional spread amount added to the rate
    
    label - the label to use for the node, if empty an appropriate default label will be generated
    
    Returns:
    
    a node whose instrument is built from the template using a market rate
  - requirements
```
public Set<ObservableId> requirements()
```
    Description copied from interface: CurveNode
    
    Determines the market data that is required by the node.
    This returns the market data needed to build the trade that the node represents.
    
    Specified by:
    
    requirements in interface CurveNode
    
    Returns:
    
    requirements for the market data needed to build a trade representing the instrument at the node
  - date
```
public LocalDate date(LocalDate valuationDate,
                      ReferenceData refData)
```
    Description copied from interface: CurveNode
    
    Calculates the date associated with the node.
    Each curve node has an associated date which defines the x-value in the curve. This date is visible in the parameter metadata.
    
    Specified by:
    
    date in interface CurveNode
    
    Parameters:
    
    valuationDate - the valuation date used when calibrating the curve
    
    refData - the reference data to use to resolve the trade
    
    Returns:
    
    the date associated with the node
  - metadata
```
public DatedParameterMetadata metadata(LocalDate valuationDate,
                                       ReferenceData refData)
```
    Description copied from interface: CurveNode
    
    Returns metadata for the node.
    This provides curve metadata for the node at the specified valuation date.
    
    Specified by:
    
    metadata in interface CurveNode
    
    Parameters:
    
    valuationDate - the valuation date used when calibrating the curve
    
    refData - the reference data to use to resolve the trade
    
    Returns:
    
    metadata for the node
  - trade
```
public OvernightFutureTrade trade(double quantity,
                                  MarketData marketData,
                                  ReferenceData refData)
```
    Description copied from interface: CurveNode
    
    Creates a trade representing the instrument at the node.
    This uses the observed market data to build the trade that the node represents. The reference data is typically used to find the start date of the trade from the valuation date. The resulting trade is not resolved. The notional of the trade is taken from the 'quantity' variable. The quantity is signed and will affect whether the trade is Buy or Sell. The valuation date is defined by the market data.
    
    Specified by:
    
    trade in interface CurveNode
    
    Parameters:
    
    quantity - the quantity or notional of the trade
    
    marketData - the market data required to build a trade for the instrument, including the valuation date
    
    refData - the reference data, used to resolve the trade dates
    
    Returns:
    
    a trade representing the instrument at the node
  - resolvedTrade
```
public ResolvedOvernightFutureTrade resolvedTrade(double quantity,
                                                  MarketData marketData,
                                                  ReferenceData refData)
```
    Description copied from interface: CurveNode
    
    Creates a resolved trade representing the instrument at the node.
    This uses the observed market data to build the trade that the node represents. The trade is then resolved using the specified reference data if necessary. The valuation date is defined by the market data.
    Resolved objects may be 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.
    
    Specified by:
    
    resolvedTrade in interface CurveNode
    
    Parameters:
    
    quantity - the quantity or notional of the trade
    
    marketData - the market data required to build a trade for the instrument, including the valuation date
    
    refData - the reference data, used to resolve the trade
    
    Returns:
    
    a trade representing the instrument at the node
  - sampleResolvedTrade
```
public ResolvedOvernightFutureTrade sampleResolvedTrade(LocalDate valuationDate,
                                                        FxRateProvider fxProvider,
                                                        ReferenceData refData)
```
    Description copied from interface: CurveNode
    
    Creates a resolved trade representing the instrument at the node.
    This uses an arbitrary quantity, typically 1, and an arbitrary market data quote, typically 0, to create a trade. This is useful when the trade is to be used to calculate the current par value. The FX provider is typically only used for cross-currency trades. In many cases, FxRateProvider.minimal() can be passed in.
    Resolved objects may be 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.
    
    Specified by:
    
    sampleResolvedTrade in interface CurveNode
    
    Parameters:
    
    valuationDate - the valuation date
    
    fxProvider - the FX rate provider
    
    refData - the reference data, used to resolve the trade
    
    Returns:
    
    a trade representing the instrument at the node
  - initialGuess
```
public double initialGuess(MarketData marketData,
                           ValueType valueType)
```
    Description copied from interface: CurveNode
    
    Gets the initial guess used for calibrating the node.
    This uses the observed market data to select a suitable initial guess. For example, a Fixed-Ibor swap would return the market quote, which is the fixed rate, providing that the value type is 'ZeroRate'. The valuation date is defined by the market data.
    This is primarily used as a performance hint. Since the guess is refined by calibration, in most cases any suitable number can be returned, such as zero.
    
    Specified by:
    
    initialGuess in interface CurveNode
    
    Parameters:
    
    marketData - the market data required to build a trade for the instrument, including the valuation date
    
    valueType - the type of y-value that the curve will contain
    
    Returns:
    
    the initial guess of the calibrated value
  - withDate
```
public OvernightFutureCurveNode withDate(CurveNodeDate date)
```
    Returns a copy of this node with the specified date.
    
    Parameters:
    
    date - the date to use
    
    Returns:
    
    the node based on this node with the specified date
  - meta
```
public static OvernightFutureCurveNode.Meta meta()
```
    The meta-bean for OvernightFutureCurveNode.
    
    Returns:
    
    the meta-bean, not null
  - builder
```
public static OvernightFutureCurveNode.Builder builder()
```
    Returns a builder used to create an instance of the bean.
    
    Returns:
    
    the builder, not null
  - metaBean
```
public OvernightFutureCurveNode.Meta metaBean()
```
    Specified by:
    
    metaBean in interface org.joda.beans.Bean
  - getTemplate
```
public OvernightFutureTemplate getTemplate()
```
    Gets the template for the Overnight Futures associated with this node. The contract specification of the future.
    
    Returns:
    
    the value of the property, not null
  - getRateId
```
public QuoteId getRateId()
```
    Gets the identifier of the market data value which provides the price.
    
    Returns:
    
    the value of the property, not null
  - getAdditionalSpread
```
public double getAdditionalSpread()
```
    Gets the additional spread added to the price. This amount is directly added to the price, where 0.993 represents a 0.7% rate.
    
    Returns:
    
    the value of the property
  - getLabel
```
public String getLabel()
```
    Gets the label to use for the node, may be empty.
    If empty, a default label will be created when the metadata is built. The default label depends on the valuation date, so cannot be created in the node.
    
    Specified by:
    
    getLabel in interface CurveNode
    
    Returns:
    
    the value of the property, not null
  - getDate
```
public CurveNodeDate getDate()
```
    Gets the method by which the date of the node is calculated, defaulted to 'End'.
    
    Returns:
    
    the value of the property
  - getDateOrder
```
public CurveNodeDateOrder getDateOrder()
```
    Gets the date order rules, used to ensure that the dates in the curve are in order. If not specified, this will default to CurveNodeDateOrder.DEFAULT.
    
    Specified by:
    
    getDateOrder in interface CurveNode
    
    Returns:
    
    the value of the property, not null
  - toBuilder
```
public OvernightFutureCurveNode.Builder toBuilder()
```
    Returns a builder that allows this bean to be mutated.
    
    Returns:
    
    the mutable builder, not null
  - equals
```
public boolean equals(Object obj)
```
    Overrides:
    
    equals in class Object
  - hashCode
```
public int hashCode()
```
    Overrides:
    
    hashCode in class Object
  - toString
```
public String toString()
```
    Overrides:
    
    toString in class Object

Copyright 2009-Present by OpenGamma Inc. and individual contributors
Apache v2 licensed
Additional documentation can be found at strata.opengamma.io.

Class OvernightFutureCurveNode

Nested Class Summary

Method Summary

Methods inherited from class java.lang.Object

Methods inherited from interface org.joda.beans.Bean

Method Detail

of

of

of

requirements

date

metadata

trade

resolvedTrade

sampleResolvedTrade

initialGuess

withDate

meta

builder

metaBean

getTemplate

getRateId

getAdditionalSpread

getLabel

getDate

getDateOrder

toBuilder

equals

hashCode

toString